COMMERZBANK AKTIENGESELLSCHAFT

264 Commerzbank Interim Report as of June 30, 2009
Exposure by underlying rating
in € bn
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba2
Ba3
0.0 (0.1)
0.0 (0.2)
0.0 (0.3)
0.2 (0.3)
0.3 (0.5)
0.4 (0.0)
Values in parentheses: December 2008
0.5 (0.5)
0.5 (0.4)
V. Operational and other risks
0.8 (1.5)
0.8 (0.8)
1.3 (2.1)
1. Operational risks
Operational risk is defined in accordance with the Solvency
Regulation as the risk of loss resulting from the inadequacy
or failure of internal processes, systems and people or from
external events. This definition includes legal risks; it does
not cover reputational or strategic risks.
Expected Loss by segment
in € m
159
48 Private Customers
24 Mittelstandsbank
Minimum rating for new
business since 08 /2007
5 Central and Eastern Europe
69 Corporates & Markets
7 Commercial Real Estate
7 Other and Consolidation
In the projects for the integration of Dresdner Bank,
which remained a large component of our work in the first
half of the year, the milestones necessary to ensure the
OpRisk analytic capability for the new Commerzbank were
achieved. As at the end of the first half of 2009, regulatory
risk-weighted assets were €15.3bn according to the new
Commerzbank’s integrated internal model. This is 12 %
below the sum total of the individual figures calculated for
the two banks. The official implementation of the joint
model for regulatory purposes is currently being discussed
with the regulatory authorities.
While the expected loss rose by 30 % in the first quarter
owing to the recalibration of the capital model, in the
second quarter it remained stable at €159m. The expected
loss figure therefore continues to reflect the existing operational
risks from the integration phase.
In the current financial year, losses (without legal risk
provisions) of €39m were recorded as at the end of June
2009 for the new Commerzbank (figure for 2008 as a whole
for Commerzbank and Dresdner Bank: €138m). Most of the
events were the result of procedural errors.
The approach to establishing provisions for legal risks
and the way that these are reported at new Commerzbank
were largely harmonized in the first quarter. In the second
quarter, the Group-wide coverage ratio for litigation risks
was increased from 14 % as at March 2009 to 19 % as at
end-June 2009, owing in particular to the assignment of the
purchase price allocation (PPA) portfolio on an individual
basis.
2. Other risks
In terms of all other quantifiable and non-quantifiable risks,
there were no significant changes in the first half of the year
compared to the position shown in the 2008 annual report.
Commerzbank uses state-of-the-art risk measurement
methods and models that are based on banking sector
practice. The results obtained with the risk models are
suitable for the purposes of the management of the Bank.
The measurement concepts are regularly reviewed by Risk
Control and by Internal Audit and the external auditors.
Despite the careful development of the models and regular
controls, models cannot cover all influencing factors arising
in reality, or the complex behaviour and interactions of these
factors. These limits to risk modelling are particularly in
evidence in extreme situations. Supplementary stress tests
and scenario analyses can only show examples of the risks
to which a portfolio may be exposed in extreme market
situations; an analysis of all conceivable scenarios is not
possible with stress tests either, as these cannot give a definitive
indication of the maximum loss in the case of an
extreme event.