COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 295 351
258 202 Statement of comprehensive income
260 204 Balance sheet
262 206 Statement of changes in equity
264 208 Cash flow statement
266 210 Notes
409 353 Auditors’ report
Applying the fair value option in order to avoid accounting mismatches and for financial instruments with embedded derivatives
produced the following values as broken down by balance sheet item:
€m 31.12.2011 31.12.2010 Change in %
Claims on banks – – .
Claims on customers 619 805 – 23.1
Financial investments 2,597 2,048 26.8
Total assets 3,216 2,853 12.7
Liabilities to banks 34 591 – 94.2
Liabilities to customers 1,497 1,292 15.9
Securitised liabilities 3,080 3,206 – 3.9
Subordinated and hybrid capital 24 24 .
Total liabilities 4,635 5,113 – 9.3
Of the total claims of €619m measured at fair value, €266m
(previous year: €159m) were hedged by credit derivatives. In the
year under review, the change in the fair value of claims
attributeable to changes in default risk was €24m (previous year:
€– 130m) and amounted cumulatively to €– 148m (previous year:
€– 166m).
The change in the fair value of the related risk-limiting credit
derivatives amounted to €30m in the financial year 2010
(previous year: €28m) and amounted cumulatively to €– 2m
(previous year: €– 22m).
For liabilities to which the fair value option was applied, the
change in fair value for credit-risk reasons was €– 293m for the
2011 financial year (previous year: €–89m). The cumulative
change was €– 359m (previous year: €–138m). The repayment
amount of the financial liabilities measured at fair value was
€4,501m (previous year: €8,625m).
The credit risk-specific changes in the fair value of the claims
and liabilities were primarily calculated as changes in fair values
less value changes resulting from market conditions.
The fair value option was also used for financial instruments
if their management and performance is measured on a fair
value basis. This applied chiefly to repurchase agreements,
money market transactions and cash collaterals paid and
received. The following balance sheet items were affected:
€m 31.12.2011 31.12.2010 Change in %
Claims on banks 23,779 48,073 – 50.5
Claims on customers 23,244 27,611 – 15.8
Financial investments 721 1,461 – 50.7
Total assets 47,744 77,145 – 38.1
Liabilities to banks 12,996 41,882 – 69.0
Liabilities to customers 30,356 18,358 65.4
Securitised liabilities – – .
Subordinated and hybrid capital – – .
Total liabilities 43,352 60,240 – 28.0
There were no significant changes in the fair values of assets
and liabilities arising from default risk, since these consisted of
short-term money market transactions and collaterals in
securities lending business. Furthermore, for €40,535m of
financial assets at fair value through profit or loss (reverse repos
after netting; previous year: €64,554m) we received €48,642m
(previous year: €78,988m) of securities as collateral to reduce
counterparty risk.
The repayment amount of financial liabilities at fair value
through profit or loss was €43,284m (previous year: €60,260m).
Group Financial Statements