COMMERZBANK AKTIENGESELLSCHAFT

Reference Entity Risks
The Notes do not create any legal relationship between the Noteholders and the Reference Entities.
The Noteholders will not have any right of recourse against the relevant Reference Entity in the event
of any loss.
Neither the Issuer nor any other person on behalf of the Issuer makes any representation or warranty
or accepts any responsibility whatsoever with respect to the creditworthiness of any Reference Entity
or otherwise that no Credit Linkage Event will occur with respect to any Reference Entity.
Volatility Risk due to Credit Linkage
If during the term of a Note, the creditworthiness of one or more Reference Entities deteriorates
significantly without the occurrence of a Credit Linkage Event being imminent, this may materially
adversely affect the market price of the Notes; such effect may also depend on the correlations
between the assets of the Reference Entities in the case of more than one Reference Entity (see
"Correlation Risks" below).
Moreover, the price of the Notes depends on the development of market prices of other credit default
swaps relating to the Reference Entity or Reference Entities.
Such credit default swap prices, in turn, are subject to volatility. Changes in the market price of the
relevant credit default swap may differ from the change in price of the Notes following the deterioration
of the creditworthiness of any relevant Reference Entity. Such a deterioration in the creditworthiness of
any relevant Reference Entity may cause the price of the Note to go down.
Furthermore, the change in the market price of the credit default swap does not only depend on the
expected creditworthiness in relation to the relevant Reference Entity or Reference Entities, but also
on factors such as the expectation of the market regarding the likelihood of debtors defaulting in
general. This may result in a negative impact on the price of the Notes due to price changes in the
overall default swaps market, even if no change has occurred regarding the expected creditworthiness
with respect to the Reference Entity or Reference Entities underlying the Notes. The market price of
Derivative Notes on the market is subject to greater levels of risk than is the market price of other
Notes.
Correlation Risks
The correlation between Reference Entities may affect the market price of the Notes linked to more
than one of the Reference Entities.
The term "correlation" as used herein refers to any correlation of at least two Reference Entities,
expressed as a percentage, whereby 100% means absolute positive correlation and – 100% means
absolute negative correlation.
A positive correlation indicates that the probability of the occurrence of Credit Linkage Events of any
two Reference Entities (Event Probability) tend to move in the same direction, a negative correlation
indicates that the Event Probabilities move in opposite directions. In the case of independent
movement of the Event Probability the correlation would be zero.
Correlation can change over time. Depending on the structure of the Notes, a change in correlation
can have a positive or negative effect on the market value of the Notes.
Conflicts of interest in relation to Reference Entities
The Issuer, the Determination Agent and their affiliates are entitled to purchase and sell the Notes for
their own account or for the account of others, to issue further Notes and to engage in transactions
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