COMMERZBANK AKTIENGESELLSCHAFT

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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”.
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 219 163 157 213 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 Default risk Default risk refers to the risk of losses due to defaults by counterparties as well as to changes in this risk. In addition to credit default risk and risk from third-party debtors, Commerzbank also includes under default risk issuer and counterparty risk as well as country and transfer risk. Default risk management Commerzbank manages default risk using a comprehensive risk management system comprising an organisational structure, methods and models, a risk strategy with quantitative and qualitative management tools and regulations and processes. The risk management system ensures that the entire portfolio and the sub-portfolios, right down to individual exposure level, are managed consistently and thoroughly on a top-down basis. The ratios, measures and input required for the operational process of risk management are based on overarching Group objectives and are enhanced at downstream levels by subportfolio and product specifics. Risk-based credit approval regulations focus management attention in the highest decision-making bodies on issues such as risk concentrations or deviations from the risk strategy. The management of risk concentrations within default risk includes both exposurerelated credit risk concentrations (bulk risks) as well as country and sector concentrations. In operational credit risk management, we continued to develop management mechanisms to improve the portfolio structure. In addition to further de-risking measures to reduce concentration risks, management focus was on the effects of the euro and sovereign debt crisis and the reduction of risks in the non-investment grade area. We developed our credit processes for domestic corporate customer business and were very successful in standardising our granular business with an improved “time to market”. Country risk management is based on the definition of risk limits as well as countryspecific strategies for achieving a desired target portfolio. Group Risk Report
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Fourth Supplement dated April 13, 2
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Financial Statements and Management
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Corporate Responsibility One bank.
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Environment As a financial services
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In a joint initiative by the overal
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Performance-related remuneration Th
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The members of the Board of Managin
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The monthly amount of the retiremen
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tion for the remainder of his term
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Loans to members of the Board of Ma
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Other details D&O liability insuran
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Details pursuant to Art. 289 of the
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up to five years effective from the
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The Supervisory Board oversees fina
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• Statements on presentation in t
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Since summer 2011, the environment
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At the beginning of December, Comme
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The changes in the individual earni
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As with the change in other assets
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Report on events after the reportin
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We assume that Germany will fare be
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the resulting impact on financial i
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The Asset Based Finance segment was
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Risk report Risk reporting takes pl
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Risk strategy and risk management T
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Macroeconomic stress tests are also
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Overview of management instruments
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The “reduction” area comprises
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Corporates & Markets This segment c
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Public Finance Commerzbank’s Asse
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Portfolio by region as at 31.12.201
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and Europe (CLOs). The exposure in
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In 2011, provisions in Central & Ea
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of the overdraft starts on the firs
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The year 2011 was mainly affected b
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The adjoining diagram documents the
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Available net liquidity in the comb
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OpRisk events by segment | €m 201
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Reputational risk Reputational risk
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Provisions for pensions are calcula
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Notes to the income statement (5) B
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(12) Securities At December 31, 201
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(16) Fiduciary transactions Financi
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(23) Other liabilities Financial St
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(27) Equity Financial Statements an
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c) Retained earnings € Financial
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(30) Non-distributable amounts Fina
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Other notes (33) Off-balance-sheet
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(34) Forward transactions Financial
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(36) Remuneration and loans to boar
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€1,000 LTP Number of participatin
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Name Registered office Share of cap
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) Associated companies Name Registe
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Foreign-exchange rates for €1 as
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Members of the Supervisory Board of
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(41) Boards of Commerzbank Aktienge
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Independent Auditor’s Report 1 To
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Significant subsidiaries and associ
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Annual Report 2011 of the Commerzba
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To our Shareholders Corporate Respo
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Recent developments Optimisation of
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COMMERZBANK AKTIENGESELLSCHAFT Fran
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Jahresabschluss und Lagebericht 201
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COMMERZBANK AKTIENGESELLSCHAFT

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