COMMERZBANK AKTIENGESELLSCHAFT

260 Commerzbank Interim Report as of June 30, 2009
Monoline asset classes
Market values in € bn
AAA
AA
A
BBB
BB
< BB
1 (18)
1 (1)
0 (1)
8.7
(9.5)
Values in parentheses: December 2008
Monoline asset ratings
Based on market values | in %
7 (3)
14 (1)
Values in parentheses: December 2008
5.3 (5.3) Non-US RMBS
1.7 (2.6) US ABS CDO
0.8 (1.0) Corporate CDO
0.2 (0.3) US RMBS
0.6 (0.2) Other ABS
0.1 (0.1) CMBS / CRE CDO
77 (76)
The mark-to-market value of the trading book transactions
with monoliners was €2.9bn as at June 30, 2009.
Including the add-ons for potential market fluctuations
which must be taken into account from a risk point of view,
the risk exposure was €4.2bn. There are CDAs of €1.7bn
available to cover the potential default risk from these
transactions. The default of monoliners has been hedged
to a limited extend.
d) Credit enhancements to ABS portfolios – Credit
Investment Related Conduits (CIRC)
As of the reporting date of June 30, 2009, we reduced the
exposure under both ABS-CIRC structures based on the
values at the end of 2008 from the nominal amount of
€1.6bn to €1.3bn. After deducting the cumulative first loss
positions covered by other investors and top-up amounts
paid under margin calls, the net nominal position was
€0.7bn.
Other insurers asset classes
Market values in € bn
AAA
AA
A
BBB
BB
< BB
0 (7)
1.9
(0.8)
Other insurers asset ratings
Based on market values | in %
5 (0)
7 (13)
0.2 (0.1) CMBS / CRE CDO
0.2 (0.1) US ABS CDO
0.4 (0.1) Non-US RMBS
1.0 (0.4) Corporate CDO
0.1 (0.1) Other ABS
20 (1)
34 (43)
34 (36)
e) Originator positions
In addition to the secondary market positions discussed in the
previous pages, Commerzbank and Eurohypo have in recent
years securitized receivables with a current volume of €14.3bn,
primarily for capital management purposes, of which risk
exposures of €8.7bn were retained as at June 30, 2009.
The exposures stemming from the role of originator reflect
the perspective of statutory reporting. In addition to
Commerzbank’s securitized credit portfolios, securities
repurchased on the secondary market and / or tranches retained
are also listed. This applies regardless of whether the
tranches were securitized in the sense of a tradable security.
The clean up call for the Promise-K 2006-1 transaction
was exercised on June 30, 2009. As a result, the first loss
pieces are €49m lower than in the previous quarter.