COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Interim Management Report Interim Financial Statements
Sub-segment breakdown
Market values in € bn
9.5
(11.1)
Values in parentheses: December 2008
231 Business and economy
232 Earnings performance, assets and financial position
237 Forecast
240 Report on post-balance sheet date events
241 Risk Report
The risk assessment of conduit assets is performed
depending on the class of receivables securitized, using the
Bank’s own BaFin-certified ABS rating procedure and
taking into account the individual risk profile of the securitization
positions held. The rating structure as at June 30,
2009 is shown below:
Rating structure
Based on market values | in %
AAA
AA
A
BBB
≤ BBB
3 (1)
13 (19)
Values in parentheses: December 2008
26 % (23 %) Corporate Loans
24 % (27 %) Trade Receivables
16 % (14 %) Auto Loans / Leases
9%(9 %) Film Receivables
5 % (6 %) Equipment Leasing
5 % (5 %) Div. Payments Rights
6 % (5 %) Capital Commitments
0 % (5 %) Rated Securities
2 % (2 %) Consumer Loans
7%(4 %) Other
19 (17)
24 (23)
40 (41)
Silver Tower
The volume of the ABS structures issued by Silver Tower
was €5.4bn as at June 30, 2009 (€5.6bn at March 31, 2009).
Most of this volume is from the securitization of receivables
portfolios of and for customers but also includes exposures
from the securitization of in-house loan receivables (Silver
Tower 125, volume €2.0bn) which were securitized as part
of an active credit risk management. The Silver Tower portfolio
includes a CLO transaction with a volume of €0.5bn
which we classify as critical and is hence to be managed by
the PRU.
Beethoven
The volume of the ABS structures issued by Beethoven was
€2.6bn at June 30, 2009 (€3.3bn at March 31, 2009). The
decline versus March of this year is due to our successful
efforts to manage down non-strategic ABS transactions without
creating losses. Given that all the risks of the ABS transactions
issued via this vehicle, the majority of which stem
from the US, are no longer in line with the franchise concept
of the new Commerzbank, the aim is to completely eliminate
these positions, some of which are considered critical, over
time. The PRU will manage all the Beethoven assets.
Kaiserplatz
The volume of the ABS structures issued by Kaiserplatz
was €1.2bn as at June 30, 2009 (€1.2bn at March 31, 2009).
Virtually all the assets of Kaiserplatz consist of securitizations
of receivables portfolios of and for customers. This
conduit contains assets totalling €0.3bn which we consider
to be critical and in need of management by the PRU.
Other bank conduits
The volume of assets due from other bank conduits was
€0.2bn as at June 30, 2009, corresponding to a decline of
€0.3bn since the end of March this year. The exposure
consists exclusively of liquidity facilities granted.
c) ABS hedge book
This portfolio includes all the ABS positions which are
collateralized by credit default swaps. During the financial
market crisis, credit insurers (known as monoliners) who
are specialized in hedging default risks from both normal
but in particular structured credit exposures have been
under increasing pressure.
As there has been no change in the negative outlook
for the monoliner industry, Commerzbank is currently conducting
negotiations regarding the reversal of monolinehedged
positions. Here we expect further noteworthy charges
to earnings beyond the counterparty default adjustments
(CDAs). Commerzbank had insured ABS positions with a
nominal value of €14.2bn as at June 30, 2009 (market
value €10.6bn). Of the secured market value, €8.7bn were
insured by monoliners and €1.9bn by other counterparties.
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