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ANNUAl FINANCIAl STATEmENTS
NOmINAl AND FAIR VAlUE OF THE INTEREST DERIVATIVES:
[ € million ] Dec 31, 2010 dec 31, 2009
Nominal volume with external parties 3,448 2,060
fair value of the derivatives
(external parties) 78 –111
Nominal volume of mirror
transactions 613 202
fair value of the derivatives
(mirror transactions) 27 –11
On December 31, 2010, the portfolio of cross­currency swaps
consisted mainly of instruments with a remaining term of more
than one year. The underlyings are included in the balance sheet
items “loans to affiliated companies,” “Bonds” and “liabilities to
affiliated companies.” The maximum term is ten years. The positive
development in the value of the cross­currency swaps is attributable
mainly to the weakening of the euro against the Japanese
yen and the Swiss franc. It was not necessary for a provision to
be created for potential losses because the unrealized losses
resulting from the valuation units which have been created are
opposed by corresponding unrealized profits from the underlyings.
These underlyings exist in the form of micro hedges, and the
maturities of the underlying and hedge are identical. The hedged
exchange rate risks are completely eliminated.
NOmINAl AND mARKET VAlUE OF THE
CURRENCY SWAPS/FORWARDS
[ € million ] Dec 31, 2010 dec 31, 2009
Nominal volume with external parties 1,763 1,257
thereof currency swaps 1,252 838
thereof currency forwards
fair value of the derivatives
511 396
(external) –4 7
thereof currency swaps –2 6
thereof currency forwards
Nominal volume of mirror
–2 1
transactions 1,411 1,183
fair value of the derivatives
(mirror transactions) 1 –9
The currency hedging contracts in the portfolio as of December
31, 2010 mainly consisted of currency forwards with a remaining
term of less than one year. The underlyings are included in the
balance sheet items “Receivables due from affiliated companies”
and “liabilities to affiliated companies.” The maximum term is
five years. most of the transactions with external counterparties
have been transmitted to DB ml AG. The development in value
was mainly attributable to the weakening of the euro against
the US dollar and the Swedish krona. These hedges exist in the
form of micro hedges, and the maturities of the underlying and
hedge are identical. The hedged exchange rate risks are completely
eliminated.
NOmINAl AND FAIR VAlUE OF THE ENERGY DERIVATIVES:
Diesel fuel [t] Dec 31, 2010 dec 31, 2009
Nominal volume with external parties
fair value of the derivatives
589,000 525,000
(external parties)
Nominal volume of mirror
39 –25
transactions 589,000 525,000
fair value of the derivatives
(mirror transactions) – 39 25
gas, heating oil [t] Dec 31, 2010 dec 31, 2009
Nominal volume with external parties 173,000 162,000
fair value of the derivatives
(external parties) 2 5
Nominal volume of mirror
transactions 173,000 162,000
fair value of the derivatives
(mirror transactions) –2 –5
coal, BAfA [ t hard coal equivalent ] Dec 31, 2010 dec 31, 2009
Nominal volume with external parties 949,000 1,603,000
fair value of the derivatives
(external parties) –10 – 62
Nominal volume of mirror
transactions 949,000 1,603,000
fair value of the derivatives
(mirror transactions) 10 62
As of December 31, 2010, the portfolio of energy price hedges
consisted of hedges with a term of less than one year as well as
hedges with longer terms. The maximum term is four years.
most of the transactions were forwarded to DB Energie GmbH,
and an insignificant part of the diesel hedges was forwarded
directly to subsidiaries of DB ml AG. The development in value
of the external energy derivatives is mainly based on the prices
on the energy markets which have increased in the course of
the financial year. These hedges exist in the form of micro hedges,
and the underlying and hedge are identical. The hedged risks
are completely eliminated.
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