COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Interim Management Report Interim Financial Statements
231 Business and economy
232 Earnings performance, assets and financial position
237 Forecast
240 Report on post-balance sheet date events
241 Risk Report
IV. Special portfolios with particular risks
1. Asset-backed securities (ABSs)
In the first half of the current year the following charges
to earnings resulted from ABS investments: P&L impacts
from fair value remeasurement and from impairments in
the amount of €1.5bn and charges to the revaluation
reserve for not-yet-impaired positions in the banking book
in the amount of €0.3bn. Key drivers here were US CDOs
of ABSs and non-US RMBS / CDOs from unhedged and
monoline-hedged ABS holdings as well as exposures in
the CMBS / CRE CDOs and large corporate CDO asset
classes.
The 2009 financial year will again bring high charges in
the ABS portfolio of Commerzbank, although we expect the
The rating distribution for the individual ABS sub-portfolios
listed in this section of the risk report are based on
the ratings valid as at June 30, 2009; they also represent the
ratings relevant for Basel II.
a) ABS secondary market
These are investments in ABS securities that were made by
Commerzbank as part of its replacement credit business or
in its function as arranger and market maker in these products.
very poor performance by US non-prime RMBSs and US
CDOs of ABSs to spread to other asset classes such as
CMBSs, RMBSs and CDO Corporates due to the worsening
recession in the US and in major European economies. The
crisis will no longer be confined to the financial markets but
will have an increasing impact on the real economy.
The ongoing tight liquidity situation in the secondary
markets for ABSs is presenting great challenges to our
planned reduction with a market value of €26.3bn of those
ABS portfolios identified as critical (critical in this context
means that we expect further losses in market value or – in
the case of conduit investments, which have not yet registered
losses – we cannot exclude the possibility of losses
over time). Given this environment we do not expect an
efficient reduction of this exposure in 2009.
in € bn Dec 2008 Mar 2009 Jun 2009
Nominal Market values Nominal Market values Nominal Market values
Secondary market ABS 23.9 17.3 22.4 15.0 25.5 16.6
thereof critical portfolios 18.0 11.5 16.4 9.2 19.6 10.9
thereof government guaranteed 1 5.9 5.8 6.0 5.8 5.7 5.6
Conduits 11.1 11.1 10.6 10.6 9.5 9.5
thereof critical conduits 4.7 4.7 4.5 4.5 3.6 3.6
thereof other conduits 6.4 6.4 6.1 6.1 5.9 5.9
ABS hedge book 13.7 10.3 14.7 11.2 14.2 10.6
SIV – K2 2 4.7 4.7 3.2 3.2 N/A N/A
CIRC 1.1 1.2 0.8 0.9 0.6 0.7
Other 0.2 0.2 0.6 0.6 0.7 0.6
Commerzbank 54.7 44.8 52.4 41.5 50.5 38.0
thereof critical portfolios 42.4 32.6 40.3 29.5 38.7 26.3
therof other ABS positions 12.3 12.2 12.1 12.0 11.9 11.6
1 In addition government guaranteed ABS with a market value of €0.6bn resulting from the liquidation of K2 have been allocated to PRU (compare a) ABS secondary market)
2 SIV K2’s assets have been transferred onto Commerzbank’s balance sheet in June. K2 is now orderly being liquidated
The increase in volume relative to the first quarter
(market value of €15bn) resulted from the regular-way
liquidation of the “K2” structured investment vehicle (SIV),
in the course of which Commerzbank acquired its assets in
their entirety.
Within the ABS secondary market, government guaranteed
paper represents the largest share with €6.2bn, of which
about €4.2bn are attributable to US government guaranteed
student loans. The bulk of the remaining exposure is from
ABS tranches which are based on portfolios of loans to
255