COMMERZBANK AKTIENGESELLSCHAFT

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Group Risk Report 222 166 Commerzbank Annual Report 2011 › Note 84 – Default risk Page 296 f. Commerzbank Group by segment To manage and limit default risks, we use the risk parameters exposure at default (EaD), expected loss (EL), risk density (EL/EaD) and credit Value at Risk (CVaR = economically required capital for credit risk with a confidence level of 99.91%) as well as all-in for bulk risk. These credit risk parameters are distributed in the rating levels 1.0 – 5.8 as follows over the segments: Credit risk figures by segment as at 31.12.2011 Exposure at default €bn Expected loss €m Risk density bp CVaR Private Customers 65 218 34 €m 789 Residential mortgage loans 36 93 26 Investment properties 6 14 24 Individual loans Consumer and instalment loans/ 12 58 51 credit cards 9 48 52 Domestic subsidiaries 1 4 28 Foreign subsidiaries and other 1 1 7 Mittelstandsbank 115 357 31 3,361 Financial Institutions 20 87 43 Corporates Domestic 81 230 28 Corporates International 14 40 28 Central & Eastern Europe 26 192 73 664 BRE Group 23 152 68 CB Eurasija 2 16 97 Bank Forum
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 223 167 157 213 Key developments in 2011 159 215 Risk-oriented overall bank management 163 219 Default risk 178 234 Intensive care 182 238 Market risk 187 243 Liquidity risk 190 246 Operational risk 192 248 Other risks 195 251 Outlook In 2009, Commerzbank set up a comprehensive de-risking program for the entire Group. On the basis of a clear allocation of sub-portfolios to the core bank, reduction and optimisation areas, targets were formulated for the individual areas and implemented as part of Roadmap 2012. The “reduction” area comprises the Public Finance portfolio in addition to the internal portfolio restructuring unit, PRU. Exposure in the Public Finance sector has been reduced by €40bn, or 31%, to €89bn since the end of 2009, and a portfolio reduction in the amount of €20bn was possible in 2010 and 2011 respectively. We are still targeting an overall reduction in exposure in this area, where we aim to reduce risk exposure to below €70bn by the end of 2014. Since the end of 2009, exposure in the PRU has declined by more than 60% to €12bn. It is a remarkable achievement that all positions apart from the Structured Credit portfolio were entirely wound down in the second half of 2011. During the fourth quarter of 2011 the existing strategy of PRU was aligned with the new criterion capital optimisation. The Real Estate and Shipping portfolios were combined under the label “optimisation”. In Real Estate the focus was on the Bank’s core markets. Steps were taken to reduce subportfolios outside these core markets. Compared with the end of 2009, the exposure in this area has fallen by €25bn to €71bn. In Ship Finance, activities were directed mainly at lowering risk in the existing portfolio. The exposure, which was mainly denominated in US dollar, was reduced in this area by €4bn to €18bn despite a significantly stronger US dollar against the euro. The exposure reduction in the core bank is mainly due to the sale of subsidiaries in the Private Customers segment as well as risk reduction in the Corporates & Markets segment. In contrast the exposure of Mittelstandsbank was increased by €5bn since the end of 2009. EaD | €bn 31.12.2011 31.12.2010 31.12.2009 Core bank 299 324 336 Optimisation 93 111 124 Real Estate 71 87 96 Shipping 21 25 28 thereof Ship Finance 18 21 22 Downsize 101 127 161 Public Finance 89 109 129 PRU 12 18 32 Group 492 562 621 Table 15 Private Customers The Private Customers segment covers the activities of the Private Customers division, which includes branch business in Germany for private and business customers as well as the Wealth Management, and the Direct Banking division. We meet the financing needs of our customers with a broad and modern product range. The focus of the portfolio is on classical owner-occupied home financing and the financing of real estate capital investments (residential mortgage loans and investment properties with an EaD of €42bn). Another major activity is to ensure the supply of credit services for our business customers (individual loans €12bn). In addition, we meet our customers’ day-to-day lending requirements with consumer loans (consumer and instalment loans/credit cards €9bn). 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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