COMMERZBANK AKTIENGESELLSCHAFT

Group Risk Report
218
162 Commerzbank Annual Report 2011
› Group Management Report
Page 154
stress scenarios is also assessed based on utilisation of the capital available for risk
coverage. The utilisation level in the stress case was consistently below 100% in 2011.
We also developed our risk-taking capability and stress test concept during 2011. The
risk-taking capability concept was extended in accordance with regulatory requirements
defined in Germany and applied correspondingly throughout 2011. In addition to the regular
stress tests, “reverse stress tests” were first implemented at Group level in 2011. Contrary to
regular stress testing, the result of the simulation is determined in advance: a sustained
threat to the business model. The aim of this analysis process in the reverse stress test is to
improve the transparency of Bank-specific risk potentials and interactions of risk via the
identification and assessment of extreme scenarios and events.
In June 2011, Commerzbank took part in a regulatory EU-wide stress test, which was
carried out by the EBA in conjunction with national supervisory bodies. The aim of this
stress test was to examine the resistance of the European banking sector to a stressed
market environment. As expected, Commerzbank passed the stress test. In both scenarios,
the Bank has a Core Tier I ratio which is significantly above the 5% required by the EBA.
The Core Tier I ratio calculated according to EBA standards was 8.9% in the baseline stress
scenario, and 6.4% in the adverse stress scenario.
The European Council has ordered that by June 30, 2012, 71 European banks with
international operations must have a Core Tier I ratio of 9%, which is well above the
regulatory requirement, including the simulation of partially defaulted European government
bonds. In order to determine the capital requirement needed for this, the EBA carried out an
EU capital exercise in November 2011. Based on figures of September 30, 2011, the capital
requirement for Commerzbank was calculated to be around €5.3bn.
In order to comply with the capital requirements specified by the EBA, Commerzbank has
created a comprehensive capital plan and has already initiated and implemented first
measures in the fourth quarter. This enabled us to achieve a reduction in risk-weighted
assets of around €20bn in the fourth quarter of 2011, compared with the RWA starting point
of €256bn established by the EBA. This reduction was the result of systematic RWA
management, for example, by lowering volumes outside core markets in accordance with
conditions imposed by the EU, and by efficiently controlling market and counterparty risks.
In addition, the regular annual parameter update and improved data quality for lending
collateral had a positive effect on the level of RWA. In the first half of 2012, it is also intended
to further reduce risk assets by some €15bn, partly through risk transfers via synthetic
securitisations and through volume reductions in line with our business and risk strategy.
For additional details regarding the package of measures to meet the capital requirements
of the EBA, see section “Outlook and opportunities report”.