COMMERZBANK AKTIENGESELLSCHAFT

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Group Risk Report 212 156 Commerzbank Annual Report 2011 Contents 213 157 Key developments in 2011 215 159 Risk-oriented overall bank management 159 215 Risk management organisation 159 215 Risk strategy and risk management 160 216 Risk-taking capability and stress testing 219 163 Default risk 163 219 Default risk management 166 222 Commerzbank Group by segment 167 223 Private Customers 168 224 Mittelstandsbank 168 224 Central & Eastern Europe 169 225 Corporates & Markets 169 225 Asset Based Finance 172 228 Portfolio Restructuring Unit (PRU) 172 228 Cross-segment portfolio analysis 172 228 Financial Institutions portfolio 173 229 Non-Bank Financial Institutions portfolio 173 229 Country classification 174 230 Rating classification 175 231 Sector classification Corporates 175 231 Structured credit portfolio 234 178 Intensive care 178 234 Loan loss provisions 179 235 Default portfolio 238 182 Market risk 182 238 Strategy and organisation 183 239 Market risk management 184 240 Market risk in the trading book 185 241 Market risk in the banking book 186 242 Market liquidity risk 243 187 Liquidity risk 187 243 Management and monitoring 187 243 Quantification and stress testing 189 245 Further development of liquidity risk management and Basel III 246 190 Operational risk 190 246 OpRisk management 191 247 OpRisk developments 248 192 Other risks 192 248 Business risk 192 248 Unquantifiable risks 251 195 Outlook The following Group Risk Report is also part of the Group Management Report. Due to rounding, numbers and percentages may not add up precisely to the totals provided.
To our Shareholders Corporate Responsibility Management Report Risk Report Report Group Financial Financial Statements Further Information 213 157 157 213 Key Key developments in in 2011 159 215 Risk-oriented overall overall bank management 163 219 Default risk 178 234 Intensive care 182 238 Market risk risk 187 243 Liquidity risk 190 246 Operational risk 192 248 Other risks 195 251 Outlook Key developments in 2011 In 2011, the risk situation was dominated by the sovereign debt crisis, which intensified in the second half of the year. In addition, the European Banking Authority (EBA) once again significantly significantly increased increased the the capital capital requirements for for the major European banks during the course of the year. To comply with these higher requirements, Commerzbank took initial initial action action in July 2011 2011 and, in November 2011, set set up up a comprehensive programme to to strengthen strengthen the the Bank’s capital situation, based based on the EBA requirements. requirements. As part of a a comprehensive package of measures, risk assets were reduced by around €20bn €20bn in the last quarter quarter of 2011. • Loan loss provisions in 2011 amounted amounted to €1.4bn. Compared to the prior year, a reduction of over one third was achieved achieved primarily primarily due due to the trend reversal in Asset Asset Based Finance. • We continued our clear risk risk reduction strategy in the Public Public Finance portfolio with a further cut cut in exposure (EaD) by €20bn to €89bn. Our original target of bringing risk exposure down down to below €100bn by the the end of 2012 was already achieved at the end end of the first first half of 2011. We are are still targeting an an overall reduction to below €70bn for the end end of 2014. 2014. • In Commercial Real Estate Estate we continued the reduction of existing business, primarily at Eurohypo Eurohypo AG, while minimising the impact on earnings and lowered total exposure by a further €13bn to €57bn. • The strategy of systematic risk reduction in existing Ship Finance portfolios succeeded in achieving further stabilisation during during the period under review. Compared with December 31, 2010, 2010, exposure was lowered from €21bn to €18bn. • In the PRU segment, segment, the risk exposures of the structured credit portfolio were reduced significantly by €3.4bn to €13.7bn during the year. The remaining positions in in the the PRU (correlation trading portfolio) were fully wound down in the the second quarter of 2011. 2011. • In the Central & & Eastern Europe segment, the positive economic environment environment in Poland helped helped to improve the good risk quality quality further, with risk density in this segment being reduced from 84 to 73 basis points. points. • In anticipation of of regulatory changes exposure and RWA of Corporates & Markets were reduced mainly during the second half of the year. The The exposure decreased by €17bn to €61bn €61bn compared to the previous year. Group Risk Report
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Fourth Supplement dated April 13, 2
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Financial Statements and Management
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Corporate Responsibility One bank.
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Environment As a financial services
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In a joint initiative by the overal
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Performance-related remuneration Th
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The members of the Board of Managin
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The monthly amount of the retiremen
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tion for the remainder of his term
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Loans to members of the Board of Ma
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Other details D&O liability insuran
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Details pursuant to Art. 289 of the
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up to five years effective from the
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The Supervisory Board oversees fina
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• Statements on presentation in t
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Since summer 2011, the environment
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At the beginning of December, Comme
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The changes in the individual earni
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As with the change in other assets
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Report on events after the reportin
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We assume that Germany will fare be
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the resulting impact on financial i
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The Asset Based Finance segment was
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Risk report Risk reporting takes pl
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Risk strategy and risk management T
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Macroeconomic stress tests are also
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Overview of management instruments
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The “reduction” area comprises
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Corporates & Markets This segment c
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Public Finance Commerzbank’s Asse
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Portfolio by region as at 31.12.201
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and Europe (CLOs). The exposure in
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In 2011, provisions in Central & Ea
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of the overdraft starts on the firs
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The year 2011 was mainly affected b
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The adjoining diagram documents the
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Available net liquidity in the comb
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OpRisk events by segment | €m 201
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Reputational risk Reputational risk
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Provisions for pensions are calcula
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Notes to the income statement (5) B
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(12) Securities At December 31, 201
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(16) Fiduciary transactions Financi
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(23) Other liabilities Financial St
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(27) Equity Financial Statements an
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c) Retained earnings € Financial
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(30) Non-distributable amounts Fina
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Other notes (33) Off-balance-sheet
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(34) Forward transactions Financial
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(36) Remuneration and loans to boar
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€1,000 LTP Number of participatin
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Name Registered office Share of cap
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) Associated companies Name Registe
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Foreign-exchange rates for €1 as
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Members of the Supervisory Board of
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(41) Boards of Commerzbank Aktienge
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Independent Auditor’s Report 1 To
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Significant subsidiaries and associ
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Annual Report 2011 of the Commerzba
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To our Shareholders Corporate Respo
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Recent developments Optimisation of
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COMMERZBANK AKTIENGESELLSCHAFT Fran
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Jahresabschluss und Lagebericht 201
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COMMERZBANK AKTIENGESELLSCHAFT

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