COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 291 347
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
Fair value hierarchy
Under IFRS7, financial instruments carried at fair value are
assigned to the three levels of the fair value hierarchy as follows:
Level I: Financial instruments where the fair value is based
on quoted prices for identical financial instruments in an active
market.
Level II: Financial instruments where no quoted prices are
available for identical instruments in an active market and the
fair value is established using valuation techniques.
Level III: Financial instruments where valuation techniques
are used that incorporate inputs for which there is insufficient
observable market data and where these inputs have a more
than insignificant impact on the fair value.
The allocation of certain financial instruments to the relevant
level is subject to the judgement of management, particularly if
the valuation is based both on observable market data and
unobservable market data. An instrument’s classification may
change over time, to take account of changes in market liquidity
and in the interests of price transparency.
In the tables below the financial instruments reported in the
balance sheet at fair value are broken down by balance sheet
item and valuation method. They are broken down according to
whether fair value is based on quoted market prices (Level I),
observable market data (Level II) or unobservable market data
(Level III).
Financial assets Level I Level II Level III Total Level I1 Level II1 Level III Total
€bn 31.12.2011 31.12.2010
Claims on banks At fair value through
profit or loss – 23.8 – 23.8 – 48.1 – 48.1
Claims on customers At fair value through
profit or loss – 23.7 0.2 23.9 0.2 27.6 0.6 28.4
Positive fair values of derivative
hedging instruments Hedge accounting – 5.1 – 5.1 – 5.0 – 5.0
Trading assets
of which positive fair values
Held for trading 29.7 121.8 4.2 155.7 40.0 123.8 4.0 167.8
from derivatives – 121.1 2.5 123.6 – 123.0 0.7 123.7
Financial investments At fair value through
profit or loss
Available-for-sale
3.1 – 0.2 3.3 3.5 – – 3.5
financial assets 27.7 2.1 0.8 30.6 38.4 2.1 1.3 41.8
Total 60.5 176.5 5.4 242.4 82.1 206.6 5.9 294.6
1 Prior-year figures restated (available-for-sale financial assets only).
Group Financial Statements