COMMERZBANK AKTIENGESELLSCHAFT

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
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 page 45 in the Management Report.
Financial Statements and Management Report 2011 51