COMMERZBANK AKTIENGESELLSCHAFT

Group Risk Report
244
188 Commerzbank Annual Report 2011
Risk concentrations can lead to increased outflows of liquidity, particularly in a stress
situation, and thus to increased liquidity risk. Risk concentrations occur in the liquidity risk
management environment in various forms, for example, in terms of maturities, large
individual creditors or currencies. Liquidity risk management is performed centrally through
the existing liquidity risk limit structure and takes into account liquidity risk tolerance. With
the support of ongoing monitoring and reporting, risk concentrations on the funding front
are recognised in a timely manner and can largely be avoided.
Additional components of liquidity risk management are a “survival period” calculation in
terms of MaRisk and the analysis of additional inverse stress scenarios.
The stress scenarios relevant for management in the ANL model are run daily and
reported to management. The underlying assumptions and the set limits are checked
regularly and adjusted to reflect changed market conditions as necessary. In addition to the
ongoing adjustments to the model, the Bank was prompted by validation results in 2011 to
take action in response to the ongoing sovereign debt crisis in the eurozone. Requirements
were tightened with regard to assets realisable in stress scenarios, deposits from some
institutional investor groups were classified as less stable, and the internal early warning
thresholds were tightened. In accordance with current guidelines, these adjustments were
documented in a formal process and approved, depending on their potential impact, by the
relevant committees.
The limit concept in place ensures that an emerging liquidity bottleneck can be identified
at the earliest possible stage and that steps can be taken to cope with it early enough. The
internal limit framework beneath the Group limit was fundamentally revised in order to
transfer management mechanisms efficiently to the Group units and to simplify the
management of the Group limit. Moreover, individual currency limits were defined more
narrowly as a result of the continued market crisis. All key Group units are included in the
Commerzbank liquidity risk model.
The stress scenarios described form the basis of detailed contingency plans, in the
context of which the Group ALCO can approve various measures to secure liquidity. This
contingency planning is based on an integrated process which consists of the liquidity risk
contingency plan and the supplementary Treasury action plan. This concept enables a clear
allocation of responsibility for the processes to be followed in emergency situations as well
as the adequate definition of any action that may need to be taken.
The graph of ANL and its subcomponents FCE, DTS and BSL on the next page shows
that, under the stress scenario relevant for the management of risks calculated as at
December 31, 2011, a sufficient liquidity surplus existed throughout the period analysed.
In the year 2011, the calculated liquidity surpluses were always above the limits set by the
Board of Managing Directors, despite a market environment marked by the European debt
crisis. The same applies to the fulfilment of the external regulatory requirements of the
German Liquidity Regulation. Commerzbank’s funding situation remained unchanged in
2011. In this respect we continued to benefit from our core business activities in retail and
corporate banking and a widely diversified funding base in terms of products, regions and
investors in the money and capital markets. In order to cope with short-term liquidity
bottlenecks, the Bank has a liquidity buffer of assets eligible for discounting at the central
bank. As at December 31, 2011, the volume of freely available assets eligible for discounting
at the central bank after haircut that were included in ANL modelling as part of the balance
sheet liquidity was €65.8bn.