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
US Non-prime CDO portfolio All positions in this subsegment
which were not assigned highest seniority in
the waterfall of their respective transaction structure have in
the meantime been almost completely written down. In light
of the previous comments on the US non-prime RMBSs, this
is because CDOs are securitizations of securitizations, the
majority of which have US non-prime RMBS tranches as
their underlying assets and consequently have an even
higher leverage.
In the first half of the current financial year the following
charges resulted on an aggregated basis: P&L impacts from
fair value remeasurement and from impairments in the
amount of €0.4bn. The revaluation reserve remained
virtually unchanged with a marginal reduction of €13m.
Vintages
Based on market values | in %
≤ 2004
2005
2006
2007
2008
2009
2 (–)
7 (1)
9 (27)
11 (–)
Values in parentheses: December 2008
Rating breakdown
Based on market values, underlying RMBS | in %
AAA
AA
A
BBB
≤ BB
0 (1)
0 (2)
0 (0)
18 (8)
Values in parentheses: December 2008
27 (18)
44 (54)
82 (89)
The substantial decline in US CDOs of ABSs is due to the
sale of positions to Allianz SE at the beginning of the year
with a nominal volume of €2.0bn and a market value at
year-end 2008 of €1.6bn.
US Non-prime RMBS portfolio As described previously,
whilst the growth of past-due mortgage loans is slowing,
there are still a large number of foreclosures taking place
in the US real estate market. These foreclosures are leading
to increasing accumulated losses in the RMBS portfolios
and in turn to write-downs on RMBS securities held by
Commerzbank. The performance of these transactions is also
being hampered by the historical low in loan repayments,
which prior to the crisis had climbed to unprecedented
heights fuelled by a combination of rising real estate prices
and low interest rates. This development is explained by the
fact that the chances of refinancing even a properly served
mortgage loan in the US market are virtually non-existent at
the moment.
In the first half of the current financial year the following
charges resulted on an aggregated basis: P&L impacts from
fair value remeasurement and from impairments in the
amount of €0.2bn and an offsetting positive change in the
revaluation reserve for assets in the banking book in the
amount of €77m.
Vintages
Based on market values | in %
≤ 2004
2005
2006
2007
Rating breakdown
Based on market values | in %
AAA
AA
A
BBB
≤ BB
3 (7)
4 (2)
Values in parentheses: December 2008
12 (8)
11 (11)
19 (28)
Values in parentheses: December 2008
28 (26)
28 (30)
40 (43)
55 (46)
257