COMMERZBANK AKTIENGESELLSCHAFT

Risk report
Risk reporting takes place according to the internal risk management of Commerzbank at the
Group and segment level. The basis for this is formed by the financial figures according to
IFRS as well as the key risk figures according to the regulatory requirements. The financial
data and key risk figures of the Private Customers, Mittelstandsbank and Corporates & Markets
segments relate mainly to Commerzbank Aktiengesellschaft. The key figures of the segment
Central & Eastern Europe relate mainly to BRE Bank SA in Warsaw, while the key figures of
the segment Asset Based Finance relate mostly to Eurohypo AG and Deutsche Schiffsbank AG.
Key developments in 2011
In 2011, the risk situation was dominated by the sovereign debt crisis, which intensified in
the second half of the year. In addition, the European Banking Authority (EBA) once again
significantly increased the capital requirements for the major European banks during the
course of the year. To comply with these higher requirements, Commerzbank took initial
action in July 2011 and, in November 2011, set up a comprehensive programme to
strengthen the Bank’s capital situation, based on the EBA requirements. As part of a
comprehensive package of measures, risk assets were reduced by around €20bn in the last
quarter of 2011.
• Loan loss provisions in 2011 amounted to €1.4bn. Compared to the prior year, a reduction
of over one third was achieved primarily due to the trend reversal in Asset Based Finance.
• We continued our clear risk reduction strategy in the Public Finance portfolio with a further
cut in exposure (EaD) by €20bn to €89bn. Our original target of bringing risk exposure
down to below €100bn by the end of 2012 was already achieved at the end of the first
half of 2011. We are still targeting an overall reduction to below €70bn for the end of 2014.
• In Commercial Real Estate we continued the reduction of existing business, primarily at
Eurohypo AG, while minimising the impact on earnings and lowered total exposure by a
further €13bn to €57bn.
• The strategy of systematic risk reduction in existing Ship Finance portfolios succeeded
in achieving further stabilisation during the period under review. Compared with December
31, 2010, exposure was lowered from €21bn to €18bn.
• In the PRU segment, the risk exposures of the structured credit portfolio were reduced
significantly by €3.4bn to €13.7bn during the year. The remaining positions in the PRU
(correlation trading portfolio) were fully wound down in the second quarter of 2011.
• In the Central & Eastern Europe segment, the positive economic environment in Poland
helped to improve the good risk quality further, with risk density in this segment being
reduced from 84 to 73 basis points.
• In anticipation of regulatory changes exposure and RWA of Corporates & Markets were
reduced mainly during the second half of the year. The exposure decreased by €17bn to
€61bn compared to the previous year.
• Although the exposures in the Bank’s overall portfolio were substantially reduced, the
volumes in the Mittelstandsbank segment generally remained stable. Despite implementing
measures to strengthen our capital base, lending volumes to small companies in Germany,
for example, increased overall in 2011.
The Risk Report is also part of the Management Report. Due to rounding, numbers and percentages may not add up precisely
to the totals provided.
Financial Statements and Management Report 2011 47