COMMERZBANK AKTIENGESELLSCHAFT

and Europe (CLOs). The exposure in Private Finance Initiatives (PFI)/Infrastructure financ-
ing 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 write-
downs 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
Financial Statements and Management Report 2011 63
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
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.