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72 Commerzbank AG 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. 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.
Available net liquidity in the combined stress scenario of the internal liquidity model €bn 120 80 40 0 -40 -80 -120 -160 31.12. 2011 daily values 10.1. 2012 Available Net Liquidity (ANL) Components of the ANL-profile monthly values 18.1. 26.1. 3.2. 11.2. 21.2. 28.2. 31.07. 31.12. 2012 Balance Sheet Liquidity Forward Cash Exposure Dynamic Trade Strategy The internal ANL model with a time horizon of up to one year is supplemented by the stable funding concept with a horizon of more than one year. The stable funding concept forms the basis for the internal offsetting of liquidity costs and is used to determine the volume of issues planned on the capital markets. In doing so, the structural liquidity requirement for the Bank’s core lending business is compared to the liabilities available long-term to the Bank including core customer deposit bases. Further development of liquidity risk management and Basel III With a view to the further development of liquidity risk monitoring and the current reporting system, we have made it a priority to support various regulatory initiatives to harmonise international liquidity risk standards. Commerzbank takes into account the effect of the liquidity risk ratios defined in the Basel III requirements and actively participates in a constructive dialogue with the supervisory authorities. In addition, the bank is increasing the analysis options available for liquidity risk reporting by continuously developing the infrastructure used for this purpose. The Bank initiated a strategic project in the third quarter of 2011 to coordinate and further develop central issues arising from Basel III, the cross-charging of liquidity costs and the management of liquidity risk using the internal liquidity risk model. Financial Statements and Management Report 2011 73
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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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Significant subsidiaries and associ
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Annual Report 2011 of the Commerzba
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Group Risk Report In the Group Risk
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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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