COMMERZBANK AKTIENGESELLSCHAFT

Portfolio by region
as at 31.12.2011
Exposure at default
€bn
Expected loss
€m
Financial Statements and Management Report 2011 61
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
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.
In 2011 a write-down of €2.2bn on the bonds issued and guaranteed by Greece was recognised
in the income statement.
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.