COMMERZBANK AKTIENGESELLSCHAFT

of the overdraft starts on the first day the account is overdrawn. The following table shows
overdrafts outside the default portfolio based on the exposure at default (€m) as at end of
December 2011:
Segment > 0 ≤ 30 days > 30 ≤ 60 days > 60 ≤ 90 days > 90 days Total
Private Customers 648 88 68 0 803
Mittelstandsbank 1,256 57 40 13 1,367
Central & Eastern Europe1 5 1 0 0 583
Corporates & Markets 81 3 0 0 85
Asset Based Finance 363 98 15 31 508
Group1,2 2,366 251 124 46 3,364
1 BRE and Bank Forum are included only in total figures.
2 Including Others and Consolidation and PRU.
In 2011, total foreclosed assets decreased year-on-year by €98m to €170m (additions €49m,
disposals €115m, asset revaluation loss €30m, currency conversion €−2m). Of the year-end
portfolio of properties the major part with around €155m related to our mortgage subsidiary
Eurohypo AG. The properties are serviced and managed in companies in which Eurohypo AG
owns a majority stake through subsidiaries. This is normally EH Estate Management GmbH.
The aim is to increase the value and performance of the commercially-focused real estate
portfolio through EH Estate’s property expertise so that the properties can be placed on the
market again in the short to medium term.
Market risk
Market risk is the risk of financial losses due to changes in market prices (interest rates,
commodities, credit spreads, exchange rates and equity prices) or in parameters that affect
prices such as volatilities and correlations. The losses may impact profit or loss directly, e.g.
in the case of trading book positions, or may be reflected in the revaluation reserve or in
hidden liabilities/reserves in the case of banking book positions. We also monitor market
liquidity risk, which covers cases where it is not possible for the Bank to liquidate or hedge
risky positions in a timely manner and to the desired extent on acceptable terms as a result
of insufficient liquidity in the market.
Strategy and organisation
Based on our experience from the financial market crises, comprehensive guidelines relating
to the management and monitoring of market price risks were implemented with the market
risk strategy. The market risk strategy is derived from the overall risk strategy and the business
strategies of the individual segments and sets the market risk management objectives
with regard to Commerzbank’s key business activities. The core tasks of market risk management
are the identification of all key market risks and drivers of market risk for the Group,
the independent measurement and evaluation of these risks, and the risk/return-oriented
management for the Commerzbank Group based on these results and evaluations.
Financial Statements and Management Report 2011 67