COMMERZBANK AKTIENGESELLSCHAFT

Group Risk Report
228
172 Commerzbank Annual Report 2011
› Structured credit portfolio
Page 175 ff.
Portfolio Restructuring Unit (PRU)
The PRU only manages assets that have been classified as non-strategic by Commerzbank
and are therefore being wound down. Bundling allows these positions to be managed
uniformly and efficiently. They consist mainly of structured credit positions (essentially
asset-backed securities − ABSs) with a nominal value of €23.5bn as at December 31, 2011.
This predominantly (around 80% of the risk value 1 of €13.7bn) relates to investment grade
securities.
The remaining positions in the PRU (correlation trading portfolio) were fully wound down
in the second quarter of 2011.
Cross-segment portfolio analysis
It is important to note that the following positions are already contained in full in the Group
and segment presentations.
Financial Institutions portfolio
In 2011, the focus of the Financial Institutions sub-portfolio continued to be both on
proactive risk reduction across the whole portfolio, especially the existing bonds in Public
Finance, and on facilitating new business with clients of an adequate rating level, through
trade finance activities performed on behalf of our customers at Mittelstandsbank.
Consideration of country risks played a major part in this.
In the second quarter of 2011 there was a change in the definition of our Financial
Institutions portfolio. Exposures to selected institutions, such as the Federal Reserve Bank,
the European Central Bank and selected European issuing banks, which on account of their
specific function lie outside our risk management focus, were classified as “exceptional
debtors”, and were therefore excluded from the specific analysis of the Financial Institutions
portfolio. This exclusion resulted in a reduction of EaD in the amount of €13bn as at the
balance sheet date June 30, 2011. These exposures are still included in full in the
presentation of our Group portfolio in the section “Commerzbank Group by segment”.
We will maintain our risk strategy for the Financial Institution sub-portfolio in 2012. While
generally pursuing our reduction strategy across the whole portfolio we would still like to
continue supporting trade finance activities of our corporate customers at Mittelstandsbank
and to expand the activities with clients showing an appropriate rating level. The development
of risk in the portfolio will also be influenced by the progress of the European and
sovereign debt crisis.
1
Risk value is the balance sheet value of cash instruments. For long CDS positions it comprises the nominal value
of the reference instrument less the net present value of the credit derivative