COMMERZBANK AKTIENGESELLSCHAFT

256 Commerzbank Interim Report as of June 30, 2009
small- and medium-sized enterprises (SME). Guarantors in
this case are European countries and the European Investment
Bank (EIB). Of the above-mentioned €6.2bn government
guaranteed ABSs, some €5.6bn are managed outside
the PRU, while the remaining €0.6bn are managed by the
PRU. These relate to the “K2” portfolio, all the assets of
which are managed by the PRU.
US CDOs of ABSs and US RMBSs, the latter of which
include both prime and non-prime RMBSs, will have an
ongoing negative impact in 2009. While the growth in
past-due mortgage loans is slowing, the rate of foreclosures
in the US real estate market is very high. These foreclosures
and the rising unemployment rate in the US will
continue to depress house prices in the US over the near term.
In the first half of this year, the following charges
resulted on an aggregated basis for ABS secondary market:
P&L impacts from fair value remeasurement and from
impairments in the amount of €1.1bn and charges to the
revaluation reserve for not-yet-impaired positions in the
banking book in the amount of €0.3bn. Key drivers were US
RMBSs, US CDOs of ABSs, CDOs of large corporates,
CMBS / CRE CDOs and non-US RMBSs.
Portfolio breakdown of ABS secondary market
Underlying assets by product, market value in € bn
16.6
(17.3)
Values in parentheses: December 2008
6.2 (5.8) Government guaranteed
0.9 (2.3) US CDO
0.5 (0.9) US RMBS
2.5 (2.6) Non-US RMBS
1.3 (1.3) CMBS / CRE CDO
2.1 (1.2) Corporate CDO
1.9 (1.2) Consumer ABS
0.8 (0.7) SME CDO
0.5 (1.3) Other ABS
Rating breakdown of ABS secondary market
(trading and banking book)
Based on market values | in %
AAA
AA
A
BBB
< BBB
3 (3)
7 (9)
10 (8)
14 (17)
Values in parentheses: December 2008
Breakdown of underlyings by region
Market values in € bn
16.6
(17.3)
Values in parentheses: December 2008
1 mainly government guaranteed
8.7 (8.3) USA 1
1.5 (1.3) UK & Ireland
1.6 (1.9) Spain & Portugal
1.0 (0.8) Germany
1.2 (2.0) Italy
0.7 (0.5) Benelux
0.7 (0.8) Pan-European
1.1 (1.7) Other
66 (63)
Detailed overview of US non-prime portfolio
This sub-segment includes US non-prime RMBSs and US
CDOs of ABSs, whose portfolios are made up mainly of
tranches of US non-prime RMBS securitizations. The positions
are largely written down, although further impairments in
the current financial year are to be expected. For some of
the transactions, we currently receive ongoing repayments
due to the seniority of our investments in the waterfall
structure, but the future amount of these repayments
depends on the continued performance of the critical US
non-prime RMBS sector.
The losses in the US non-prime RMBS portfolios so far,
particularly the critical 2006 and 2007 vintages, are already
on average far above the level of the accumulated overall
losses of earlier vintages.
The effect in the first half of the current financial year
was as follows: P&L impacts from fair value remeasurement
and from impairments in the amount of €0.6bn and an offsetting
positive change in the revaluation reserve for assets
in the banking book in the amount of €0.1bn.