COMMERZBANK AKTIENGESELLSCHAFT

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Group Risk Report 242 186 Commerzbank Annual Report 2011 Market liquidity risk Market liquidity risk is the risk of the Bank not being able to liquidate or hedge risky positions in a timely manner, to the desired extent and on acceptable terms as a result of insufficient liquidity in the market. Market liquidity risk is measured by creating a liquidation profile for each portfolio in order to classify the portfolio in terms of its convertibility into cash using a market liquidity factor. The market risk based on a one-year-view is weighted with the market liquidity factor to calculate the market liquidity risk. At the end of 2011 Commerzbank earmarked €0.7bn in economic capital to cover market liquidity risk in the trading and banking book. Securities, which are more liable to market liquidity risk, include in particular asset-backed securities and specific positions in the equity investment portfolio.
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 243 187 157 213 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 Liquidity risk Liquidity risk is defined in the narrower sense as the risk that Commerzbank will be unable to meet its payment obligations on a day-to-day basis. In a broader sense, liquidity risk is the risk that future payments cannot be funded as and when they fall due, in full, in the correct currency and at standard market conditions. Management and monitoring Group Treasury at Commerzbank is responsible for managing liquidity risks. Additional information on this subject can be found in the section “Liquidity and Funding of Commerzbank Group” in the Group Management Report. Liquidity risks occurring over the course of the year are monitored by the independent risk function using an internal bank liquidity risk model. Key decisions on liquidity risk management and monitoring are made by the Group Asset Liability Committee (ALCO). At the operating level, additional subcommittees are responsible for dealing with liquidity risk issues at a local level and with methodological issues regarding the quantification and limitation of liquidity risks that are of lesser significance for the Group. Quantification and stress testing The internal bank liquidity risk model is the basis for liquidity management and reporting to the Board of Managing Directors. In relation to a reference date the risk measurement approach calculates the available net liquidity (ANL) for the next twelve months based on various scenarios. Commerzbank’s available net liquidity is calculated for various stress scenarios using the following three components: deterministic, i.e. contractually agreed cash flows (forward cash exposure, FCE), statistically expected economic cash flows for the relevant scenario (dynamic trade strategy, DTS), and the realisable assets in the relevant scenario (balance sheet liquidity, BSL). The stress scenario used by management which underlies the modelling allows for the impact of both a bank-specific stress event and a broader market crisis when calculating liquidity and setting limits. This stress scenario is derived from the risk tolerance which was determined in accordance with the overall risk strategy. This also includes the definition of scenarios that are no longer covered by risk tolerance. › Group Management Report Page 85 f. 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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