COMMERZBANK AKTIENGESELLSCHAFT

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Group Risk Report 230 174 Commerzbank Annual Report 2011 › Note 84 – Default risk Page 296 f. Portfolio by region as at 31.12.2011 Exposure at default €bn Expected loss €m Risk density bp Germany 250 649 26 Western Europe 115 443 38 Central and Eastern Europe 42 269 65 North America 40 111 28 Other 46 208 46 Total 492 1,680 34 Table 18 The table below shows the exposure to Greece, Ireland, Italy, Portugal and Spain based on the member state where the head office or the asset is located. EaD 1 as at 31.12.2011 €bn Sovereign Banks CRE Corporates/ Other Total 2011 Total 2010 Greece 2 0.8 0.1 0.2 0.1 1.1 3.8 Ireland 0.0 0.9 0.1 0.9 2.0 3.0 Italy 7.9 1.1 2.4 2.7 14.0 16.4 Portugal 0.8 0.5 1.7 0.3 3.4 3.7 Spain 2.8 4.6 4.1 3.2 14.6 17.6 1 Excluding exposure from Ship Finance. 2 Including non-impaired parts of Greek bonds in LaR and AfS. Table 19 In 2011 a write-down of €2.2bn on the bonds issued and guaranteed by Greece was recognised in the income statement. Details are shown in the notes to the consolidated financial statements. Rating classification The Group’s overall portfolio is split proportionately into the following internal rating classifications based on PD ratings: Rating breakdown as at 31.12.2011 | % 1.0– 1.8 2.0– 2.8 3.0– 3.8 4.0– 4.8 5.0– 5.8 Private Customers 27 46 19 5 3 Mittelstandsbank 13 59 22 4 2 Central & Eastern Europe 21 41 31 5 3 Corporates & Markets 44 39 13 2 1 Asset Based Finance 30 41 20 6 3 Group1 30 44 19 4 2 1 Including PRU as well as Others and Consolidation. Table 20
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 231 175 157 213 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 Sector classification corporates The table below shows the breakdown of the Bank’s corporates exposure by sector, irrespective of business segment: Sub-portfolio corporates by sector Exposure at default €bn 31.12.2011 31.12.2010 Expected loss €m Risk density bp Exposure at default €bn Expected loss €m Risk density bp Basic materials/ Energy/Metals 25 96 38 25 106 42 Consumption 21 82 40 21 110 53 Chemicals/Plastics 11 33 29 11 60 56 Automotive 11 26 25 11 55 48 Transport/Tourism Technology/ 10 38 38 11 58 53 Electrical industry 10 23 23 11 44 41 Services/Media 9 50 53 10 58 56 Mechanical engineering 8 25 32 9 66 75 Construction 4 17 41 5 49 103 Other 17 58 34 21 84 41 Total 126 447 36 134 690 51 Table 21 Structured credit portfolio Structured credit exposure PRU In 2011, the nominal volume of structured credit positions was reduced by €5.5bn to €23.5bn, and the risk value 1 by €3.4bn to €13.7bn. During the fourth quarter of 2011 the existing strategy of PRU was aligned with the new criterion capital optimisation. Markdown ratios 2 remain nearly unchanged year-on-year. 1 Risk value is the balance sheet value of cash instruments. For long CDS positions it comprises the nominal value of the reference instrument less the net present value of the credit derivative. 2 Markdown ratio = 1- (risk value/nominal value) Group Risk Report
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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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Recent developments Optimisation of
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COMMERZBANK AKTIENGESELLSCHAFT Fran
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Jahresabschluss und Lagebericht 201
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