COMMERZBANK AKTIENGESELLSCHAFT

(12) Securities
At December 31, 2011 the breakdown of marketable securities was as follows:
Financial Statements and Management Report 2011 87
Listed on a stock exchange Not listed
€m 31.12.2011 31.12.2010 31.12.2011 31.12.2010
Bonds and other fixed-income securities 18,486 21,892 13,449 17,646
Equities and other non-fixed-income
securities 673 1 – –
Equity holdings 4 14 – –
Holdings in affiliated companies – – – –
Of the bonds, notes and other fixed-income securities amounting to €31,935m (previous year: €39,968m), €3,372m will fall due in
2012.
(13) Trading Securities
At December 31, 2011 the breakdown of trading securities was as follows:
€m 31.12.2011 31.12.2010
Trading assets 169,185 183,286
Derivative financial instruments 126,864 131,455
Claims 3,128 1,688
Bonds and other fixed-income securities 26,450 36,698
Equities and other non-fixed-income securities 12,941 13,705
Risk deduction value at risk – 198 – 260
€m 31.12.2011 31.12.2010
Trading liabilities 140,497 160,262
Derivative financial instruments 128,622 133,665
Liabilities 11,875 26,597
Financial instruments held for trading purposes are measured at
fair value. The fair value corresponds to the market price in
accordance with Art. 255 (4) HGB. For listed products market
prices are used; for unlisted products comparable prices and
indicative prices from pricing service providers or other banks
are used. Non-derivative financial instruments for which market
prices are not available are measured applying normal market
procedures based on market parameters for each specific
instrument. The net present value method is most often applied.
If the fair value cannot thus be measured, the acquisition cost is
used instead in accordance with Art. 255 (4) HGB. For the
measurement of derivative instruments held for trading
purposes, we refer to the note on forward transactions.
In accordance with Art. 340e (3) HGB, when measuring the
trading portfolio, a market risk discount is applied based on a
risk-adjusted mark-to-market approach. The market risk dis-
count is calculated on the basis of the supervisory value at risk
approach and is calculated in such a way that the anticipated
maximum loss from the trading books will not be exceeded with
a 99% degree of probability over a holding period of 10 days.
An historical observation period of one year is used. The value at
risk is calculated centrally for the entire portfolio and deducted
from trading assets on the balance sheet. Net income from
interest and dividends in the trading portfolio is reported under
Net trading income. Commerzbank Aktiengesellschaft offsets
positive and negative fair values including compensation
payments thereon with central counterparties.
The internal criteria for including financial instruments in the
trading portfolio have not changed during the financial year.
In financial year 2011, Commerzbank Aktiengesellschaft
transferred €97m (previous year: €217m) from net trading
income to the Fund for general banking risks.