COMMERZBANK AKTIENGESELLSCHAFT

258 Commerzbank Interim Report as of June 30, 2009
Commercial mortgage-backed securities (CMBSs)
With the spread of the financial market crisis to the real economy
since the end of last year, a rising rate of arrears
from tenant defaults and increasing vacancy rates in the
ABS segment of the commercial mortgage-backed securities
market can be observed. This affects both US and
European securitizations. The rating agencies have already
responded by making the relevant downgrades, some of
which involve several notches of various tranches of a
CMBS structure. Spread widenings in CMBS tranches were
already seen in the second half of 2008. They increased
near the end of 2008 and have risen even further in the
meantime due to downgrades already made and those that
are still expected to occur. Realized losses on CMBS deals
have been limited until now, although a significant increase
is anticipated. In contrast to US non-prime RMBSs for
instance, the portfolio development of CMBS transactions
depends on the performance of smaller-volume loans,
making a forecast very difficult at present.
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 €0.1bn and charges to the revaluation reserve for
not-yet-impaired positions in the banking book in the
amount of €0.1bn.
Breakdown by region
Market values in € bn
1.3
(1.4)
Values in parentheses: December 2008
16 % (14 %) USA
40 % (40 %) UK & Ireland
21 % (22 %) Germany
3%(6 %) Italy
10 % (5 %) Benelux
7%(8 %) Pan-European
4%(5 %) Other
Rating breakdown
Based on market values | in %
AAA
AA
A
BBB
≤ BB
3 (2)
6 (7)
9 (9)
18 (23)
Values in parentheses: December 2008
63 (59)
b) Conduits
The positions of Commerzbank (including its own securitizations)
in the asset-backed commercial paper (ABCP)
conduit business which are fully enclosed in the Bank’s
balance sheet amounted to €9.5bn at the end of the period
under review, a decline versus the first quarter of €1.1bn.
The exposure consists largely of so-called liquidity facilities
/ back-up lines granted to conduits administered by
Commerzbank. This substantial decline was due to amortizing
ABS programmes in the “Kaiserplatz” and “Silver
Tower” conduits and, to a substantially larger extent, to
complete repayments of prematurely terminated ABS
programmes in the “Beethoven” conduit. This reflects the
initial success of our efforts to actively manage down
non-strategic ABS assets at low costs. We expect to be able
to reduce other transactions in the third quarter just begun.
The underlying receivables of the Bank’s ABCP programmes
are strongly diversified and reflect the differing
business strategies pursued by the sellers of receivables or
customers. The receivables portfolios securitized via ABCP
conduits did not contain any US non-prime RMBS units. To
date, we have still recorded no losses on any of these
transactions. We do not currently see any need for loan loss
provisions in respect of the liquidity facilities / back-up lines
classified under the IFRS category “Loans and Receivables”.