COMMERZBANK AKTIENGESELLSCHAFT

Group Financial Statements
350
294 Commerzbank Annual Report 2011
The following table presents the sensitivity analysis by type of instrument:
Positive effects on income
statement
€m 2011
Negative effects on income
statement
Derivatives 121 – 145
changed parameters
Equity-related transactions 13 – 37 cash flow
Credit derivatives 40 – 40 correlation, discount yield
Interest-rate-related transactions 68 – 68 mean reversion, correlation
Other transactions – –
Securities 169 – 162
Interest-rate-related transactions 169 – 162 credit spread, discount yield
of which ABS 131 – 126 yield, recovery rate, credit spread
Equity-related transactions – –
Loans 5 – 5
Day-One-P&L
The Commerzbank Group has entred into transactions where the
fair value was calculated using a valuation model, where not all
material input parameters are observable in the market. The
initial carrying value of such transactions is the transaction
price. The difference between the transaction price and the fair
value of the valuation model is called day-one profit or loss. The
day-one profit or loss is not immediately recognized in profit or
loss, but over the tenor of the respective transaction. As soon as
there is aquoted market price on an active market for such
transactions or all material input parameters become observable,
the accrued day-one profit or loss is immediately recognized in
the net trading income. A cumulated difference between transaction
price and model valuation is calculated for all Level III
inventory. Material impacts only result from financial instruments
held for trading; the development is as follows:
Day-one-P&L Trading assets Trading liabilities Total Trading assets Trading liabilities Total
€m 2011 2010
Balance as at 1.1.
Allocations not recognised in
1 1 2 11 5 16
income statement
Reversals recognised in income
– 3 3 2 – 2
statement 1 1 2 12 4 16
Balance as at 31.12. – 3 3 1 1 2
(82) Information on financial assets and financial liabilities for which the fair value option is applied
In the Commerzbank Group, the fair value option is primarily
used to avoid accounting mismatches arising from securities and
loans hedged with interest rate or credit derivatives. This also
applies to structured debt instruments we have issued which
have been hedged with interest rate or foreign currency
derivatives.
The fair value option is also used for financial instruments if
their management and performance is evaluated on a fair value
basis and for financial instruments with embedded derivatives.
All in all, the results of applying the fair value option
amounted to €292m (previous year: €131m) (see Note 34).