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Group Risk Report 232 176 Commerzbank Annual Report 2011 The table below shows the composition and development of the structured credit exposure in PRU. Structured credit portfolio PRU Nominal values €bn 31.12.2011 31.12.2010 Risk values €bn Markdown ratio % Nominal values €bn Risk values €bn Markdown ratio % RMBS 3.2 1.9 40 5.1 3.0 41 CMBS 0.6 0.3 43 0.7 0.5 35 CDO 9.8 5.9 40 11.1 6.7 40 Other ABS 2.1 1.7 19 3.3 2.8 14 PFI/Infrastructure financing 4.3 3.8 13 4.3 3.8 11 CIRC 0.0 0.0 - 0.7 0.0 - Other structured credit positions 3.6 0.1 - 3.6 0.2 - Total 23.5 13.7 42 29.0 17.1 41 Table 22 The bulk of the portfolio consists of Collateralised Debt Obligations (CDO). These largely securitise US subprime RMBSs (CDOs of ABSs) in addition to corporate loans in the USA and Europe (CLOs). The exposure in Private Finance Initiatives (PFI)/Infrastructure financing consists of the private financing and the operation of public sector facilities and services, such as hospitals and water utilities. The credit risk of the portfolio is more than 80% hedged, mainly with monoline insurers. Residential Mortgage-backed Securities (RMBSs) are instruments that securitise private, largely European, real estate loans. The Credit Investment-related Conduits (CIRCs) portfolio was completely wound down in 2011. We expect write-ups over the residual life of these assets, with possible future writedowns on assets such as US RMBSs and US CDOs of ABSs, which have already been written down substantially, likely to be offset by a positive performance from other assets. The long period that has now passed since the structures were launched enables a more and more reliable basis for the assessment of the future performance of the portfolio. The overall economic development in countries of importance to us also progressed as we expected when we assessed the risks. Structured credit exposure non-PRU Below are details of structured credit positions from our strategic customer business which will continue to be allocated to the core bank in future and therefore were not transferred to the PRU. Structured credit portfolio non-PRU €bn 31.12.2011 31.12.2010 Nominal values Risk values Nominal values Risk values Conduit exposure 3.3 3.3 4.3 4.3 Other asset-backed exposures 6.1 5.8 6.5 6.3 Total 9.4 9.1 10.8 10.6 Table 23
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 233 177 157 213 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 the first quarter of 2011, the two conduits sponsored by Commerzbank, Kaiserplatz and Silver Tower, were consolidated and all transactions from Kaiserplatz were transferred to Silver Tower. The majority of the reported positions consist of liquidity facilities/back-up lines granted to Silver Tower, which Commerzbank’s corporate customers can use for interim funding of their own customer receivables. The conduits in turn are financed through the issue of asset-backed commercial paper (ABCP). Other asset-backed exposures were mainly government guaranteed ABS paper issued by Eurohypo AG in the Public Finance segment and by Commerzbank Europe (Ireland). Originator positions Commerzbank and Eurohypo AG have in recent years securitised loan receivables due from the Bank’s customers with a current volume of €8.9bn, primarily for capital management purposes. As at the reporting date on December 31, 2011, risk positions of €5.1bn were retained, with by far the largest portion of these positions (€4.7bn) consisting of senior tranches which are nearly all rated AAA or AA. Securitisation pool €bn Commerzbank volume1 Maturity Senior Mezzanine First loss piece Total volume 1 31.12.2011 Total volume 1 31.12.2010 Corporates 2013 – 2027 4.1 0.2
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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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Public Finance Commerzbank’s Asse
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and Europe (CLOs). The exposure in
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OpRisk events by segment | €m 201
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Reputational risk Reputational risk
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Independent Auditor’s Report 1 To
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Annual Report 2011 of the Commerzba
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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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