COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 293 349
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
Financial liabilities
Trading liabilities Negative fair
values of
€m
derivatives1 At fair value
through profit
or loss2 Total
Fair value as at 1.1.2010 27 2,391 29 2,447
Changes in the group of consolidated companies
Gains or losses recognised in the income statement
– – – –
during the period 4 – – 4
Gains or losses recognised in equity – – – –
Purchases – – – –
Sales – – – –
Issues – – – –
Redemptions – – – –
Reclassifications 1,240 – 2,371 – 29 – 1,160
Fair value as at 31.12.2010 1,271 20 – 1,291
Changes in the group of consolidated companies
Gains or losses recognised in the income statement
– – – –
during the period – 8 – 24 – – 32
Gains or losses recognised in equity – – –
Purchases 32 – – 32
Sales – – 63 – – 63
Issues – 59 – 59
Redemptions – – 216 – – 216
Reclassifications – 1,054 1,386 – 332
Fair value as at 31.12.2011 241 1,162 – 1,403
1 Including hedging instruments.
2 Excluding trading assets and negative fair values attributable to derivatives.
Sensitivity analysis
Where the value of financial instruments is based on
unobservable input parameters, the precise level of these
parameters at the balance sheet date may be derived from a
range of reasonable possible alternatives at the judgement of the
management. In preparing the financial statements, appropriate
levels for these unobservable input parameters are chosen to be
consistent with existing market evidence and in line with the
Group’s valuation control approach.
The purpose of this disclosure is to illustrate the potential
impact of the relative uncertainty in the fair values of financial
instruments with valuations based on unobservable input
parameters, although it should be noted that these parameters
lie at the extreme ends of the range of reasonable possible
alternatives. In practice, it is unlikely that all unobservable
parameters would simultaneously lie at the extremes of their
range of reasonable possible alternatives and the estimates
given are thus likely to be greater than the true level of
uncertainty in the fair value of these instruments. The purpose of
these figures is not to estimate or predict future changes in fair
value. The unobservable parameters were shifted by either 1%
to 10% or by a measure of standard deviation as deemed
appropriate by our independent valuation experts in each
individual case.
Group Financial Statements