Commerzbank Aktiengesellschaft Benchmark Compliance Statement

A. Information

Date of creation of the compliance statement

09/08/19

Last updated

December 2021

Identity of the administrator

Commerzbank AG

This section should identify:
• the non-significant benchmark in respect of which provisions do not apply,
• the provisions that the administrator has chosen not to apply, and
• an explanation as to why it is appropriate not to apply each provision.
Each section should be completed for any identified group of non-significant benchmarks provided by the administrator in respect of which:
• the same provisions are not complied with, and
• the same explanations for non-compliance apply.

B. Commerzbank AG chooses to not apply the following provisions of Regulation (EU) 2016/1011 with respect to its non-significant benchmarks below

Identification of benchmark(s) for which this section is relevant

All Commerzbank AG Equity Indices
All Commerzbank AG Multi Asset Indices

4. (i) clear identification of each single provision;
(ii) for each provision listed under point (i), a dedicated, detailed and clear explanation of the reasons why the administrator considers it appropriate not to comply with that specific provision

4(i)
Article 4(2) - The provision of a benchmark shall be operationally separated from any part of an administrator’s business that may create an actual or potential conflict of interest.
Article 4(7)(d) Administrators shall ensure that their employees and any other natural persons whose services are placed at their disposal or under their control and who are directly involved in the provision of a benchmark are prohibited from contributing to a benchmark determination by way of engaging in bids, offers and trades on a personal basis or on behalf of market participants, except where such way of contribution is explicitly required as part of the benchmark methodology and is subject to specific rules therein
Article 4(8) An administrator shall establish specific internal control procedures to ensure the integrity and reliability of the employee or person determining the benchmark, including at least internal sign-off by management before the dissemination of the benchmark.
Article 5(2) Administrators shall develop and maintain robust procedures regarding their oversight function, which shall be made available to the relevant competent authorities.
Article 5(3) The oversight function shall operate with integrity and shall have the following responsibilities, which shall be adjusted by the administrator based on the complexity, use and vulnerability of the benchmark:
(a) reviewing the benchmark's definition and methodology at least annually;
(e) overseeing any third party involved in the provision of the benchmark, including calculation or dissemination agents;
Article 6(3) The control framework shall include;
(a) management of operational risk;
(b) adequate and effective business continuity and disaster recovery plans;
(c) contingency procedures that are in place in the event of a disruption to the process of the provision of the benchmark.
Article 6(5) The control framework shall be documented, reviewed and updated as appropriate and made available to the relevant competent authority and, upon request, to users.
Article 7(2) An administrator shall designate an internal function with the necessary capability to review and report on the administrator’s compliance with the benchmark methodology and this regulation.
Article 11(2) Administrators shall ensure that their controls in respect of input data include:
(c) a process for validating input data, including against other indicators or data, to ensure its integrity and accuracy.
Article 13(2) The procedures required under point (c) of paragraph 1 shall provide for:
(a) advance notice, with a clear time frame, that gives the opportunity to analyse and comment upon the impact of such proposed material changes; and
(b) the comments referred to in point (a) of this para-graph, and the administrator's response to those comments, to be made accessible after any consultation, except where confidentiality has been requested by the originator of the comments.
Article 14(2) An administrator shall monitor input data and contributors in order to be able to notify the competent authority and provide all relevant information where the administrator suspects that, in relation to a benchmark, any conduct has taken place that may involve manipulation or attempted manipulation of the benchmark, under Regulation (EU) No 596/2014, including collusion to do so. The competent authority of the administrator shall, where applicable, transmit such information to the relevant authority under Regulation (EU) No 596/2014.

4(ii)
Article 4(2) - Commerzbank AG has not established a fully separated legal entity to perform benchmark administration tasks due to the costs involved and Commerzbank AG is an administrator of non-significant benchmarks only. Governance and Oversight of Benchmark Administration is performed by an Index Committee. The vast majority of input data within Commerzbank AG Indices is publicly available data and discretion is limited.
Article 4(7)(d) Commerzbank AG employees involved in the provision of a benchmark may as part of their normal business activities submit bids or make offers on index constituents for hedging purposes. These bids and offers are part of normal market activities on recognised trading venues.
Article 4(8) The majority of indices administered by Commerzbank AG are technical indices where a static formula performs any index rebalancing automatically. Commerzbank AG administers several thousand such indices and it is not practical for management to formally sign off on each individual index publication on a daily basis.
Article 5(2) Commerzbank AG has developed and maintains robust procedures regarding the oversight function in respect of its benchmarks. However, these procedures, although complying with the spirit of Article 5(2) and with most of the detail set out in ESMA’s Guidelines in respect of non-significant benchmarks, do not completely comply with every single detail set out in such Guidelines for reasons of proportionality,
Article 5(3)(a) Commerzbank AG’s benchmarks are all rules-based indices with fixed definitions. Any changes to the definitions and/or methodology can occur only after extraordinary events. The Index Committee reviews any change, required by an extraordinary event, to the definition and/or methodology of the benchmark on an ad-hoc basis.
Article 5(3)(e) Commerzbank AG has legal agreements and due diligence procedures in place with third parties involved in the provision of benchmarks, including calculation agents. However, as the involvement of third parties is limited and well-defined, it would be disproportionate for the oversight function to oversee activities of such third parties.
Article 6(3) Commerzbank AG benchmarks are non- significant benchmarks and are subject to a proportionate control framework. However it is not proportionate to detail the contingency procedures in place for each individual non-significant benchmark when each non- significant benchmark operates on a rule based basis.
Article 6(5) Commerzbank AG benchmarks are non-significant benchmarks and therefore it would be disproportionate to apply this provision and would involve the transmission of data that is confidential and may not be appropriate to disclose to users.
Article 11(2)(c) Commerzbank AG administers its benchmarks using input data, which readily available. Robust controls are in place during the calculation of each benchmark; However, a comprehensive validation process for all input data used, to ensure its integrity and accuracy, would be disproportionate due to the nature of the data.
Article 13(2) Commerzbank AG acts as administrator exclusively for non-significant benchmarks, which are rules-based. Advance notice, with a clear time frame, and an extensive consultation period, would be disproportionate to the impact that material changes could cause.
Article 7(2) Commerzbank AG has several internal functions that review compliance with Benchmark Methodology and the relevant provisions of this regulation. It would not be proportionate to appoint one single function to perform such a review.
Article 14(2) Commerzbank AG administers its benchmarks using input data, which is readily available. Therefore, risk of and scope to manipulate this data is very remote and does not require such monitoring.

 

Please note that Commerzbank has reached an agreement to sell its Equity Markets & Commodities business, which includes the issuance and trading of investment and leverage products as well as the administration of indices, to Société Générale S.A. As part of the transaction Commerzbank envisages the discontinuance of its administration role in respect of indices within the next few years.