COMMERZBANK AKTIENGESELLSCHAFT

252 Commerzbank Interim Report as of June 30, 2009
Exposure to emerging markets countries (country rating ≥ 2.0) by segment:
Exposure at Default Risk density Expected Loss Loss at Default
Segment (in € bn) (in bp) (in € m) (in € bn)
30.06.2009 30.06.2009 30.06.2009 30.06.2009
Mittelstandsbank 15.4 47 72.2 4.3
Central and Eastern Europe 4.3 179 77.0 2.3
Corporates & Markets 7.2 40 28.5 2.0
Commercial Real Estate 5.4 70 37.7 2.1
Emerging Markets, total 32.3 67 215.4 10.7
Compared with the industrialized countries and measured
by past debt crises, the emerging markets have stood up
well to the financial crisis to date, and their economies have
for the most part recovered after initial sharp falls in production
and exports. However, the overall picture does not
tell the full story, as economic performance has varied widely
from one region to the next. Whereas in Latin America and
Asia there has been a modest economic upturn, eastern
Europe is still suffering from a severe lack of foreign currency
liquidity, even though the situation in the international
financial markets has eased a little since mid-February.
III. Market and liquidity risk
1. Market risk
Market price risk includes the risk of losses due to changes
in market prices (interest rates, commodities, spreads, exchange
rates, share prices) or in parameters that affect prices
such as volatility and correlations. To manage and limit market
risks, Commerzbank uses a wide range of instruments
including sensitivities, stress tests and scenario analyses,
VaR figures and economic capital indicators. Market risks
are limited and monitored by the Market Risk Committee.
Meanwhile, local banks in eastern Europe are still very
reluctant to lend. Further loan defaults can be expected,
particularly among companies and banks, but also among
private households. However, we consider sovereign
defaults unlikely, as government debt in most countries
is low, and the IMF and other international organizations
are also there to make finance available in emergencies. In
addition to the impact of the international financial crisis,
a number of emerging markets are suffering now that the
speculative bubbles in the local real estate markets have
burst.
Performance by emerging markets countries (country rating ≥ 2.0) by region:
Exposure at Default Risk density Expected Loss Loss at Default
Region (in € bn) (in bp) (in € m) (in € bn)
30.06.2009 30.06.2009 30.06.2009 30.06.2009
Europe (including Turkey) 18.7 84 156.5 6.6
Asia (including Middle East) 8.9 42 37.2 2.7
Africa 2.0 58 11.5 0.6
Central / South America 2.7 38 10.2 0.8
Emerging Markets, total 32.3 67 215.4 10.7
We also monitor market liquidity risk, which considers
the time it takes to close or hedge risk positions to the
extent desired.
In the financial market crisis, it was generally shown that
value at risk delivers unreliable risk forecasts for some
sub-portfolios. Commerzbank is aware of the restricted
information value of the value at risk model and is revising
the concept as part of the integration of the two institutions.
Stress and scenario analyses are being expanded, while
new regulatory requirements taking effect from 2011 are
being integrated into the value at risk concept.