Notes on the consolidated balance sheet – assets

(9) Financial assets at fair value through profit or loss

 

Fair value

 

31.12.2010

31.12.2009

Figures in EUR million

   

Fixed-income securities

   

Government debt securities of EU member states

14

26

Other foreign government debt securities

34

59

Debt securities issued by semi-governmental entities

97

95

Corporate securities

467

305

Investment funds

30

15

Covered bonds/asset-backed securities

230

227

Participation rights

102

107

Total fixed-income securities

974

834

     

Investment funds (variable-yield securities)

15

18

Other variable-yield securities

9

Total financial assets classified at fair value through profit or loss

989

861

     

Fixed-income securities

   

Government debt securities of EU member states

3

2

Other foreign government debt securities

49

53

Debt securities issued by semi-governmental entities

9

3

Corporate securities

7

6

Other securities

1

Total fixed-income securities

69

64

     

Investment funds (variable-yield securities)

83

62

Derivatives

80

112

Total financial assets held for trading

232

238

     

Total securities

1,221

1,099

The item “Covered bonds/asset-backed securities” includes German covered bonds (Pfandbriefe) with a carrying amount of EUR 121 (126) million (53 (56)%).

 

Fair value

Contractual maturity of fixed-income securities

31.12.2010

31.12.2009

Figures in EUR million

   

Due in one year

481

191

Due after one through two years

73

336

Due after two through three years

116

40

Due after three through four years

45

49

Due after four through five years

3

43

Due after five through ten years

41

26

Due after ten years

284

213

Total

1,043

898

 

Fair value

Rating structure of fixed-income securities

31.12.2010

31.12.2009

Figures in EUR million

   

AAA

154

256

AA

72

87

A

115

215

BBB or lower

702

340

Total

1,043

898

The rating categories are based on the classifications of leading international rating agencies.

The rating category of “BBB or lower” includes unrated fixed-income securities of EUR 194 (13) million.

The financial assets classified at fair value through profit or loss (with no trading intention) include inter alia structured products, in respect of which the fair value option afforded by IAS 39 was exercised. The carrying amount of these financial assets constitutes – contrary to the purely economic perspective – the maximum credit exposure. The amount of the change in fair value attributable to changes in the credit risk of financial assets is –EUR 12 million in the reporting period and EUR 8 million on an accumulated basis. There are no credit derivatives or similar hedging instruments for these securities.