COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 297 353
258 202 Statement of comprehensive income
260 204 Balance sheet
262 206 Statement of changes in equity
264 208 Cash flow statement
266 210 Notes
409 353 Auditors’ report
Commerzbank master scale
Commerzbank AG
rating
PD and EL mid-point
as percentage
PD and EL range
as percentage
S&P
1.0
1.2
0
0.01
0
0– 0.02
AAA AAA
1.4
1.6
0.02
0.04
0.02– 0.03
0.03– 0.05
AA+
AA, AA–
AA
1.8
2.0
0.07
0.11
0.05– 0.08
0.08– 0.13
A+, A
A–
A
2.2 0.17 0.13– 0.21 BBB+
2.4
2.6
0.26
0.39
0.21– 0.31
0.31– 0.47
BBB BBB
2.8 0.57 0.47– 0.68 BBB–
3.0 0.81 0.68– 0.96 BB+
3.2
3.4
1.14
1.56
0.96– 1.34
1.34– 1.81
BB BB
3.6 2.10 1.81– 2.40 BB–
3.8
4.0
2.74
3.50
2.40– 3.10
3.10– 3.90
B+
4.2 4.35 3.90– 4.86
4.4 5.42 4.86– 6.04 B B
4.6 6.74 6.04– 7.52
4.8
5.0
8.39
10.43
7.52– 9.35
9.35– 11.64
B–
5.2
5.4
5.6
5.8
12.98
16.15
20.09
47.34
11.64– 14.48
14.48– 18.01
18.01– 22.41
22.41– 99.99
CCC+
CCC to CC–
CCC
6.1 > 90 days past due
6.2 Imminent insolvency
6.3 100 Restructuring with recapitalisation
C, D-I, D-II
6.4 Termination without insolvency
6.5 Insolvency
Consistent with the master scale method, the default ranges
assigned to the ratings within the Commerzbank master scale
remain unchanged for the purpose of comparability (stable over
time and for the portfolio). External ratings are shown as well for
guidance. A direct reconciliation is not possible, however,
because for external ratings the observed default rates of
different portfolios fluctuate from year to year.
The credit approval authorities of both individual staff and the
committees (Board of Managing Directors, credit committee,
Investment grade
Non-investment grade
Default
credit sub-committees) are graduated by size of exposure and
rating group. The most important control variable for default risk
is expected losses (EL) as derived from the ratings. The credit
risk strategy sets target values for individual sub-portfolios. This
ensures that the expected risk provision is kept in line with the
strategic objectives of the Bank, such as the target rating from
rating agencies or the target portfolio quality and structure.
Group Financial Statements