COMMERZBANK AKTIENGESELLSCHAFT

To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 217
161
157 213 Key developments in 2011
159 215 Risk-oriented overall bank management
163 219 Default risk
178 234 Intensive care
182 238 Market risk
187 243 Liquidity risk
190 246 Operational risk
192 248 Other risks
195 251 Outlook
When determining the economic capital required, allowance is made for potential
unexpected fluctuations in value. Where such fluctuations exceed forecasts, they must be
covered by available economic capital in order to absorb unexpected losses (capital available
for risk coverage). The quantification of capital available for risk coverage is based on a
differentiated view on the accounting values of assets and liabilities and involves economic
valuations of certain balance sheet items.
The capital requirement for the risks taken is quantified using the internal economic
capital model. When setting the economic capital required, allowance is made for all the
types of risk at Commerzbank Group that are classified as material in the annual risk
inventory. The economic risk approach therefore also includes risk types that are not
included in the regulatory requirements for banks’ capital adequacy and reflects the effect of
portfolio-specific interrelationships. The confidence level of 99.91% in the economic capital
model is in line with the underlying gone concern assumptions and ensures the economic
risk-taking capability concept is internally consistent.
Risk-taking capability at Commerzbank Group level is monitored and managed monthly
at Group level. Risk-taking capability is assessed based on the utilisation of the capital
available for risk coverage, and is deemed to be assured as long as utilisation is below
100%. In 2011, the utilisation level was consistently well below 100% and was 81.5% as at
December 31, 2011.
Risk-taking capability Commerzbank Group | €bn 31.12.20112 31.12.20103 Capital available for risk coverage 27 36
Economically required capital 22 20
thereof for credit risk 13 14
thereof for market risk 8 6
thereof for OpRisk 2 3
thereof for business risk 2 2
thereof diversification between risk types – 4 – 4
Utilisation level1 81.5% 56.8%
1
Utilisation level = economically required capital/capital available for risk coverage.
2
Based on current methodology from the first quarter of 2011; only partially comparable to values for 2010.
3
2010 figures based on methodology as at 31 December 2010.
Table 13
The higher utilisation level during the year under review was mainly due to the increase of
the economically required capital for market risk, which was driven by heavy capital markets
turmoil in the second half of 2011, as well as the decrease of capital available for risk
coverage. The main drivers of the change in capital available for risk coverage were the
capital measure carried out in 2011 in order to repay most of the SoFFin’s silent
participation as well as actions taken to strengthen our capital structure and the
development of the Public Finance portfolio as a consequence of the crisis.
Macroeconomic stress tests are also used to check risk-taking capability in the face of
assumed adverse changes in the economic environment. The underlying scenarios, which
are updated regularly every quarter, show exceptional, but plausible, negative developments
in the economy and are applied across all risk types. In the scenario calculations, the input
parameters for the calculation of economic capital required are simulated to reflect the
forecast macroeconomic situation. In addition to the amount of capital required, the income
statement is also stressed using the macroeconomic scenarios and then, based on this,
changes in the capital available for risk coverage are simulated. The risk-taking capability in
Group Risk Report