COMMERZBANK AKTIENGESELLSCHAFT

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Group Risk Report 214 158 Commerzbank Annual Report 2011 • Although the exposures in the Bank’s overall portfolio were substantially reduced, the volumes in the Mittelstandsbank segment generally remained stable. Despite implementing measures to strengthen our capital base, lending volumes to small companies in Germany, for example, increased overall in 2011. • In the Private Customer segment, risk density was reduced from 37 to 34 basis points due particularly to the implementation of systematic management measures in lower rating classes and the expansion of early risk identification. • From a market risk perspective, 2011 was dominated by the European sovereign debt crisis, which generated high volatility in the markets. The value at risk in the Bank’s trading books was significantly lowered by around one-third to €59m, due to the ongoing reduction in non-strategic positions amongst other things. • Whereas charges for operational risk and ongoing litigation had grown steadily in previous years, these declined for the first time in 2011 by €24m to €250m.
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 215 159 157 213 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 Risk-oriented overall bank management Risk management organisation Commerzbank defines risk as the danger of possible losses or profits foregone due to internal or external factors. In risk management we normally distinguish between quantifiable risks – those to which a value can normally be attached in financial statements or in regulatory capital requirements – and non-quantifiable types of risk such as reputational and compliance risk. The Bank’s Chief Risk Officer (CRO) is responsible for implementing the Group’s risk policy guidelines for quantifiable risks laid down by the Board of Managing Directors. The CRO regularly reports to the Board of Managing Directors and the Risk Committee of the Supervisory Board on the overall risk situation within the Group. Risk management activities are split between Credit Risk Management, Market Risk Management, Intensive Care and Risk Controlling, and Capital Management, all of which span across the group and report directly to the CRO. The heads of these four risk management divisions together with the CRO make up the Risk Management Board within Group Management. The Board of Managing Directors has delegated the operational management of risk to committees. Under the relevant rules of procedure these are the Group Credit Committee, the Group Market Risk Committee and the Group OpRisk Committee, in addition to the Group Strategic Risk Committee which decides on risk issues of an overarching nature. The CRO chairs all these committees and has the right of veto. Commerzbank’s Asset Liability Committee has responsibility for the Group-wide management of portfolio composition, capital allocation and development of RWAs, and is the major instigator of the internal capital adequacy assessment process (ICAAP). Risk strategy and risk management The risk strategy, together with the business strategy, defines the strategic guidelines for the development of Commerzbank’s investment portfolio. Risk-taking capability and liquidity are ensured by setting concrete limits for the risk resources available to the Group in the form of capital and liquidity reserves. Banks’ core functions as transformer of liquidity and risk might result in inevitable threats that can in an extreme case endanger the business continuity of the institution. For Commerzbank, these implied existential threats are e.g. the default of Germany, Poland, one 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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