Group Risk Management - Commerzbank AG · Dr. Stefan Schmittmann CRO Frankfurt/Main | 8 November...

Dr. Stefan Schmittmann ‌ CRO ‌‌‌ Frankfurt/Main | 8 November 2012

Group Risk ManagementInvestors’ Day 2012

1Dr. Stefan Schmittmann ‌ CRO ‌‌‌ Frankfurt/Main | 8 November 2012

Reduction of Investment Banking credit portfolio

Further reduction of risk concentrations

Reduction of LLP to €2.0bn

Roadmap 2012: targets achieved

�

�

Targeted reduction of PRU and CRE exposure �

�2009 2012e

4.2

1.7

Sep 09 Sep 12

117

59

Sep 09 Sep 12

9969

Sep 09 Sep 12

183

73

EaD | €bn

EaD | €bn

LLP | €bn

EaD | €bn


Overall exposure reduced by more than one third –mainly reduction of Non-Core Assets

Exposure at Default (EaD) Sep 12€bn

Core BankEaD: €329bn

EL: €895m

RD: 27bp

Non-Core AssetsEaD: €148bn

EL: €861m

RD: 58bp

Mar 09 Sep 09 Dec 10 Dec 11 Sep 12

720

657562

492 477

› Non-core exposure significantly reduced over the last years – CRE (-44%), Public Finance (-49%) and PRU (-75%)

› Good portfolio quality in the Core Bank, further de-risking of Non-Core Assets necessary

-34%

477


Single bulk risks continuously reduced

› Corporate bulk risks significantly reduced

› Remaining positions mainly sovereigns and SIFI banks

Mar 09 Jun 11 Dec 11 Sep 12

Top 25 bulk risksLaD > 1.0 €bn

LaD 0.5 – 1.0 €bn

LaD < 0.5 €bn

Number of bulks:

LaD €bn

18.8

16.2

14.4

13.2

-30%

4

21

4

11

10

3

7

15

3

6

16


Financial Institutions portfolio more than halved

1521

8172

1 Including so-called „exceptional debtors“

Exposure at Default€bn

› Focus on reduction of bond positions within Public Finance portfolio

› Continuous downsizing by use of maturities

› In addition: De-risking by improved derivatives‘collateralization

-57%

Core BankNon-Core Assets

66

Mar 09 Dec 10 Dec 11 Sep 12


Core Bank: credit risk overview

79%Coverage ratio incl. GLLP (%)

7.3Default portfolio (€bn)

0.2LLP (YtD, €bn)

110Credit RWA (€bn)

Sep 12

Exposure at DefaultSep 2012€bn

Risk DensitySep 2012bp

Core Bank: 27 bp

Trend 2012-15:

329

10

21

64

28

29

76 Private Customers

114 Mittelstandsbank

25 Central & Eastern Europe

69 Corporates & Markets

45 Others and Consolidation


Default portfolio of Core Bank significantly reduced

Default portfolio Core Bank €bn

› Net exposure reduction of €4.7bn (-39%) since end of 2009, coverage ratio slightly decreased

› Plan for 2015 shows an increase of the default portfolio due to business strategy (growth) of the Core Bank, coverage ratios remain stable

› NPL ratio in line with peers

12.0

11.1

9.2

7.3

Dec 09 Dec 10 Dec 11 Sep 12

≤ 9.0

2.9%

81%

3.1%

80%

3.2%

81%

NPL ratio

Coverage ratio

-39%

Plan 15

2.2%

79%


LLP€bn

Plan2015

Risk provisions for Core Bank on a very low level –Increase expected based on growth initiatives

2.6

≤ 1.0

0.4

0.9

20112009 2010

0.5

Forecast2012

› Successful LLP reduction over the last years

› Due to growth initiatives of the Core Bank increasing LLP expected over the next years

-85%


Non-Core Assets: credit risk overview

99%Coverage ratio incl. GLLP (%)

11.6Default portfolio (€bn)

0.9LLP (YtD, €bn)

64Credit RWA (€bn)

Sep 12



Non-Core Assets: 58 bp

Trend 2014-16:

148

Trend 2012/13:

80 Public Finance

49 Commercial Real Estate

16 Deutsche Schiffsbank

4 Other

29

173

64

33


Significant portfolio reduction in all NCA segments since end of 2008

Ship Finance portfolio development (EaD)

-36%

Q3 2012Q4 2011Q4 2009Q4 2008 Q4 2010

€bn

CRE portfolio development (EaD)

-44%

Q3 2012Q4 2011Q4 2009Q4 2008 Q4 2010

€bn

4957707786

1618212225

› Increased focus on CRE and Ship Finance exposure where reduction partly results from drifts into the default portfolio

› Successful reduction of Public Finance portfolio will be continued over the next years

PF portfolio development (EaD)

-49%€bn

8089109

129156

Q3 2012Q4 2011Q4 2009Q4 2008 Q4 2010


Sovereign exposure in (G)IIPS countries downsized since 2009

› Sovereign exposures in (G)IIPS countries significantly reduced over the last years

› Greek exposures completely sold after bond swap as part of the private sector involvement (PSI)

(G)IIPS Exposures (sovereign)€bn


-39%SpainPortugalItalyGreece19.9

16.8

12.3 12.2


Cluster

• Bulk Carrier (Handysize/-max)

• Bulk Carrier – Panamax

• Container 4,000 – 8,000 TEU

• Crude Oil Tanker

25% of CRE and Ship Finance portfolio within higher risk cluster

• Container > 8,000 TEU• Gas Tanker

• Yards

• Other (Cruise, Car Carrier, Offshore, Other)

Ship FinanceEaD in € bn

4.2(26%)

5.7(36%)

6.0(38%)

• Bulk Carrier (Capesize/VLOC)• Container < 2,000 TEU

• Container 2,000 – 4,000 TEU

• Product-/Chemical Tanker

• Italy

• USA

• Portugal• Others

• Germany

• France• Poland

• Other

Commercial Real EstateEaD in € bn

2.3

2.3

1.6

2.9

11.7(24%)

5.7

21.3

1.6

1.7

9.1 (19%)

28.0(57%)

• UK

• Spain

• Hungary

• Others

0.5

3.8

1.7

3.4

Risk of single exposures depend on LtVs, terms of charter/rental agreements and charterers/tenants credit worthiness

higherrisk

lowerrisk

mediumrisk

1.4

0.9

1.3

0.7

1.8

1.8

0.8

1.3

3.1

0.1

2.0

0.8


CRE and Ship Finance default portfolios with high coverage ratios

Commercial Real Estate Ship Finance

› Regular adjustment of market values for mortgage collaterals based on market development

› Coverage ratio in the default portfolio of 104% based on conservative collateral valuation

Market values of mortgage

collaterals €m

mortgage collateral

-63%2,238

1,804

824

1,065241

2007 Q4 2009 Q3 2012 Additionalcollateral

Totalcollateral

Example CRE Spain:

NPL ratio 16%

Germany

Spain

UK

US

Default-Portfolio and Ratios by Countries€m

CRE

Coverage 101%

NPL ratio 21%Coverage 104%




4,646 1582,386

6,9887,190

2,155

49

891

1,8981,971

206/913/11

1,1221,130

107/529/11

619647

2,191633 1,509

1,065 15

NPL ratio 16%

Germany

Spain

UK

US

Default-Portfolio and Ratios by Countries€m

CRE

Coverage 101%





4,646 1582,386

6,9887,190

2,155

49

891

1,8981,971

206/913/11

1,1221,130

107/529/11

619647

2,191633 1,509

1,065 15

Ship Finance

Container

Tanker

Bulker

Default portfolio

Default-Portfolio and Ratios by Segments€m

LLP Collateral GLLP





2,519 2051,012

4,1193,736

411/1,204/124

1,8451,738

341/604/39

1,008985

90/333/20

562443

Ship Finance

Container

Tanker

Bulker

Default portfolio

Default-Portfolio and Ratios by Segments€m

LLP Collateral GLLP



NPL ratioCoverage 94%


2,519 2051,012

4,1193,736

411/1,204/124

1,8451,738

341/604/39

1,008985

90/333/20

562443


Default portfolio of Non-Core Assets increased over the last years –decrease expected from 2014 on

Default portfolio Non-Core Assets€bn

› Plan 2016 shows a significant decrease in line with de-risking strategy and value-oriented downsizing of the portfolio

› Default portfolio almost completely covered by LLP and collateral

› NPL ratio will remain high over the next years


9.8

10.6 10.5

11.6

5.5%

99%

4.6%

101%

3.7%

97%

NPL ratio

Coverage ratio

+18%

Plan 16

99%

≤ 9.0

7.2%


Risk provisions for Non-Core Assets still on a high level –Significant reduction expected over the next years

LLP Commercial Real Estate €bn

LLP Ship Finance€bn

› After an increase of LLP in 2012 we expect declining LLP over the next years

› Plan 2016 for NCA: €0.4bn

› Key assumptions:

› Moderate recovery of charter rates from 2014 onwards

› Lower CRE exposures based on value-oriented de-risking of NCA portfolio

1.1

1.3

0.6

2009 2010 2011 Plan 2016

0.40.2 0.2

0.6

Forecast2012

0.6

2009 2010 2011 Plan 2016Forecast2012


RWA Management under the assumption of Basel 3 starting Jan. 2013

Risk Weighted Assets€bn

280

206

268

20112009 2010

237

September2012

› Strong Core Tier 1 ratio of 12.2% and EBA capital target exceeded – well prepared for Basel 3 capital requirements

› RWA level of €235bn – €240bn expected as of Jan 2013

Plan2016

~ 240

-26%

NCA

Core


Trading book market risk significantly reduced over the last years

2012–2016

61

34

Sep 12Dec 09

VaR trading book – trend(99%, 1 day) €m

VaR trading book – breakdown(99%, 1 day)Sep 12€m

› Integrated risk model has been set up for the management of all market risks

› Defined and accepted risk appetite components within Market Risk Strategy and across all market segments

-44%

28% Credit Spreads

41% Interest Rates

19% Equities

12% Other


Risk Management focus

Continued focus on granularity and more flexible portfolios

Risk-oriented support of growth initiatives in the Core Bank

Successfully managing the European sovereign debt crisis

De-Risking of Non-Core Assets portfolio

Managing the scarce RWA resources and economic capital


Backup


Core Bank: Private Customers

92

1.4

57

19

Dec 2011

92

1.2

79

19

Sep 2012

96

1.9

246

22

Dec 2010

LLP (YtD, €m)

Coverage ratio incl. GLLP (%)

Default portfolio (€bn)

Credit RWA (€bn)

Private Customers : 32 bpRisk DensitySep 2012bp


64

34

43

43

24

21

46 Residential mortgage loans

6 Investment Properties

11 Individual loans

9 Consumer and installment loans& credit cards

3 Domestic subsidiaries

1 Foreign subsidiaries and other

76


Core Bank: Mittelstandsbank

86

2.9

188

53

Dec 2011

77

2.9

-12

50

Sep 2012

83

3.9

279

63

Dec 2010

LLP (YtD, €m)



Credit RWA (€bn)

Mittelstandsbank: 28 bp



26

27

29

114

81 Corporates Domestic

14 Corporates International

19 Financial Institutions


Core Bank: Corporates & Markets

43

2.1

146

22

Dec 2011

50

2.1

33

21

Sep 2012

44

2.4

-27

37

Dec 2010

LLP (YtD, €m)



Credit RWA (€bn)

Corporates & Markets total: 21 bp


Risk DensitySep 2012 bp

14

26

41 Corporates

28 Markets69


Reconciliation of market risk RWA shows that percentages of positions included via internal models is comparable with international peers

RWA – Market riskSep 2012€bn

› Consistent internal model approach for 92% of the disclosed Market Risk RWA

› Under consideration of securitization positions and equity investments, the percentage of positions included via the internal model approach declines from 92% to 42%, corresponding to the level of international/US peers

Securitizationpositions

Standard approach

Internal model

As reported

7.5

4.7

2.4

Adjusted to intern. peers

12.5

92%

42%

58%

8%

Market risk RWA as reported

Market risk RWA adjusted

Equity Investments

Banking Book Assets

Capital deductionitems

27.2

12.5

27.2


For more information, please contact Commerzbank ´́́́s IR team:

[email protected]

Michael H. Klein (UK / Non-Euro Europe / Asia / Fixed Income)P: +49 69 136 24522M: [email protected]

Dirk Bartsch (Strategic IR)P: +49 69 136 22799M: [email protected]

Jürgen Ackermann (Europe / US)P: +49 69 136 22338M: [email protected]

Tanja Birkholz (Head of Investor Relations / Executive Management Board Member)P: +49 69 136 23854M: [email protected]

Ute Heiserer-Jäckel (Retail Investors)P: +49 69 136 41874M: [email protected]

Simone Nuxoll (Retail Investors)P: +49 69 136 45660M: [email protected]


Disclaimer

Investor Relations

This presentation contains forward-looking statements. Forward-looking statements are statements that are not historical facts; they include statements about Commerzbank’s beliefs and expectations and the assumptions underlying them. These statements are based on plans, estimates, projections and targets as they are currently available to the management of Commerzbank. Forward-looking statements therefore speak only as of the date they are made, and Commerzbank undertakes no obligation to update publicly any of them in light of new information or future events. By their very nature, forward-looking statements involve risks and uncertainties. A number of important factors could therefore cause actual results to differ materially from those contained in any forward-looking statement. Such factors include, among others, the conditions in the financial markets in Germany, in Europe, in the United States and elsewhere from which Commerzbank derives a substantial portion of its revenues and in which it hold a substantial portion of its assets, the development of assetprices and market volatility, potential defaults of borrowers or trading counterparties, the implementation of its strategic initiatives and the reliability of its risk management policies.

In addition, this presentation contains financial and other information which has been derived from publicly available information disclosed by persons other than Commerzbank (“external data”). In particular, external data has been derived from industry and customer-related data and other calculations taken or derived from industry reports published by third parties, market research reports and commercial publications. Commercial publications generally state that the information they contain has originated from sources assumed to be reliable, but that the accuracy and completeness of such information is not guaranteed and that the calculations contained therein are based on a series of assumptions. The external data has not been independently verified by Commerzbank. Therefore, Commerzbank cannot assume any responsibility for the accuracy of the external data taken or derived from public sources.

Copies of this document are available upon request or can be downloaded from www.commerzbank.com

Group Risk Management - Commerzbank AG · Dr. Stefan Schmittmann CRO Frankfurt/Main | 8 November...

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