COMMERZBANK AKTIENGESELLSCHAFT

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Group Financial Statements 364 308 Commerzbank Annual Report 2011 The fall in credit risk-weighted assets was largely due to a reduction in non-strategic business. The changes deriving from CRD III effective December 31, 2011 led to a significant increase in the capital requirement for market risk in particular. Capital adequacy requirement risk-weighted assets 1 €m 31.12.2011 31.12.2010 31.12.2011 31.12.2010 Change in % Credit risk 15,182 18,595 189,769 232,438 – 18.4 Market risk 1,640 1,059 20,500 13,238 54.9 Operational risk 2,106 1,746 26,325 21,825 20.6 Total 18,928 21,400 236,594 267,500 – 11.6 Eligible equity 36,560 40,857 – 10.5 Tier I capital ratio (%) 11.1 11.9 Total capital ratio (%) 15.5 15.3 1 Risk-weighted assets are calculated by multiplying the capital requirements by 12.5. The reconciliation of reported equity with eligible capital is as follows: 31.12.2011 €m Tier I capital/ Equity Tier II capital/ subordinated capital Reported in balance sheet 24,803 13,285 38,088 Revaluation reserve 2,511 2,511 Cash flow hedge reserve 810 810 Non-controlling interests not to be shown in Tier I capital (incl. revaluation reserve, cash flow hedge reserve), changes in the group of consolidated companies and goodwill – 1,686 – 1,686 Other capital subject to a 15% limit 1,114 1,114 Other capital subject to a 35% limit 1,632 1,632 Reclassification from silent participations to other capital – 750 – 750 Parts of subordinated capital not eligible due to limited residual term – 1,210 – 1,210 Deferred revaluation reserves for securities 61 61 Other – 2,245 – 1,765 – 4,010 Eligible equity 26,189 10,371 36,560 (97) Securitisation of loans The use of credit derivatives (such as credit default swaps, total return swaps and credit-linked notes) can reduce the risk weighting of a loan portfolio. The hedging effect of a credit derivative may relate both to individual loans or securities and to entire portfolios of loans or securities. As a rule, security is furnished by means of a synthetic securitisation by credit default swap (CDS) and/or by credit-linked notes (CLNs). This enables us to achieve three important goals: Total • Risk diversification (reduction of credit risks in the portfolio, especially concentration risks), • Easing the burden on equity capital (the transfer of credit risks to investors leads to a reduction in the regulatory capital requirements under the Solvency Regulation) and • Funding (use of securitisation as an alternative funding instrument to unsecured bearer bonds).
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 309 365 258 202 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 As of the 2011 financial year-end, the Commerzbank Group (Commerzbank Aktiengesellschaft and one subsidiary) had launched six securitisation programmes as the buyer of protection. Name of transaction Buyer of protection Year transacted Cosmo Finance 2007– 1 Commerzbank Aktiengesellschaft Cosmo Finance 2008– 1 Commerzbank Aktiengesellschaft Cosmo II– 1 Ltd. Commerzbank Aktiengesellschaft Provide GEMS 2002– 1 PLC Eurohypo Aktiengesellschaft Semper Finance 2006–1 Eurohypo Aktiengesellschaft Semper Finance 2007–1 Eurohypo Aktiengesellschaft The range of legal maturity dates stretches from 9 to 76 years. A total of €5.6bn loans to customers had been securitised by end- December 2011. This reduced the Bank’s risk-weighted assets by €1.7bn. Contract period of transactions (98) Average number of staff employed by the Bank during the year 2007 in years 20 Mittelstand customers 2008 14 Mittelstand customers 2011 9 Mittelstand customers 2002 45 Residential real estate portfolio 2006 76 Project Castle – commercial real estate portfolio 2007 36 Commercial real estate portfolio Type of claim Total Reduction of lending risk-weighted assets €m €m 1,951 490 1,498 552 990 347 170 39 645 154 385 89 5,639 1,671 2011 2010 Total Male Female Total Male Female Group 55,917 27,097 28,820 57,676 31,141 26,535 in Germany 42,377 20,977 21,400 43,378 21,776 21,602 outside Germany 13,540 6,120 7,420 14,298 9,365 4,933 The above figures include both full-time and part-time personnel. Not included in the figures is the average number of employees undergoing training within the Group. The average time worked by part-time staff was 62% (previous year: 59%) of the standard working time. 2011 2010 Total Male Female Total Male Female Trainees 2,503 1,227 1,276 2,616 1,313 1,303 Group Financial Statements
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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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Group Risk Report In the Group Risk
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Group Financial Statements Our Grou
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Page 313 and 314: To our Shareholders Corporate Respo
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Jahresabschluss und Lagebericht 201
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COMMERZBANK AKTIENGESELLSCHAFT

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