COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 141
85
127 71 Business and overall conditions
135 79 Earnings performance, assets and financial position
147 91 Segment performance
137 193 Our employees
143 199 Report on events after the reporting period
144 200 Outlook and opportunities report
Liquidity and funding of the Commerzbank Group
Liquidity management in 2011
Group liquidity management is the responsibility of Group Treasury, which is represented in
all major locations in Germany and abroad and has reporting lines in all subsidiaries.
Liquidity management comprises both operational and strategic elements. Operational liquidity
management encompasses management of daily payments, planning for expected
payment flows and managing access to central banks. It also deals with access to unsecured
and secured sources of funding on the money and capital markets and the management of
the liquidity portfolio. Strategic liquidity management involves drawing up and evaluating
maturity profiles for liquidity-relevant assets and liabilities, including modelling the proportion
of customer deposits which will be available on a permanent basis (the core deposit
base). It also involves the Group’s resultant issuance strategy and the calculation and allocation
of liquidity costs that are included in the management of the Bank’s business activities.
In order to compensate for unexpected short-term outflows of liquidity, Commerzbank
has a central liquidity portfolio of highly liquid securities eligible for central bank borrowing
purposes, backed by medium- to long-term funding.
This liquidity portfolio, which is supplemented by freely available cash resources, liquid
securities positions and credit balances with central banks, forms Commerzbank’s liquidity
reserve. This stood at €68.8bn at year-end and underscores Commerzbank’s stable liquidity
position.
Guidelines and limits for the funding profile and funds are derived from the business
strategy and reflect risk tolerance. The Group’s short- and medium-term funding is appropriately
diversified in terms of investor groups, regions, products and currencies.
Top-level decisions about liquidity management are taken by the central Asset & Liability
Committee (ALCO), which meets at regular intervals. Monitoring of set limits and of liquidity
risk is performed by an independent Risk function using an internal model. ALCO and the
Board of Managing Directors receive regular reports on the liquidity risk situation.
Commerzbank’s liquidity and solvency were adequate at all times during the period under
review. The regulatory provisions applicable to liquidity were complied with at all times. As
at the reporting date of December 31, 2011, Commerzbank Aktiengesellschaft’s key liquidity
figure under the German Liquidity Regulation’s standard approach was 1.17, significantly
higher than the minimum regulatory requirement of 1.00.
› Group Risk Report
Page 187 ff.
Group Management Report