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Overall risk position in financial year 2011

As a result of taking credit spread risks from intragroup securities into account in market risk for the first time as well as the inclusion of close-out risks (model risk), the overall risk of the comdirect group can only be compared with the previous year’s figure to a limited extent. Consequently we have not cited the figures for the previous year. At the end of 2011, the economically required capital stood at €235.2m (end 2010: €146.6m) with a confidence level of 99.91% and a holding period of one year.

Breakdown of economically required capital 2011 (in € million)

  As of 31.12.2011
Market risk 83.75
Credit risk 61.13
Operational risk 38.48
Business risk 24.56
Model risk 27.27
Economically required capital 235.19

The limit utilisation level was non-critical both with respect to the aggregate risk and all individual risks throughout the whole of the year. At the end of 2011, the utilisation level of the overall limit was 54.2% (end 2010: 36.2%). Even under stress conditions, the economic risk-bearing capability remained consistent throughout the year; with an overall risk of €274.6m under stress, the utilisation level of the risk coverage potential was 72.0%.

The economically required capital for market risks increased to €83.8m (end 2010: €40.3m) primarily as a result of the new calculation method. Market risks thus represent the comdirect group’s greatest individual risk; the share of the overall risk rose to 35.6% (previous year: 28.4%). On a comparable basis, market risks are also more significant than a year ago; however, the rise in credit spread volatility against the backdrop of the sovereign debt crisis in the eurozone was countered by the risk-mitigating effect of the active reduction of the PIIGS portfolio and decline in durations (see Business performance and earnings situation at the comdirect group). The overall risk of the comdirect group included credit risks with a total CVaR of €61.1m (end 2010: €33.6m); the sovereign debt crisis had an impact here in the form of rating migrations. As with market risk, the negative effect was limited by the consistent reduction in the exposure to European bank bonds (see Business performance and earnings situation at the comdirect group). Fluctuations in the economically required capital for model risk stemmed from increases in model investments as a result of the intervening rise in customer deposits. The operational risk and business risk remained essentially unchanged over the year.

As of the reporting date, the risk weighted assets calculated in accordance with the requirements of the Solvency Regulation (SolvV) totalled €513.9m (previous year: €545.7m excluding intragroup receivables in the Commerzbank Group).

In preparation for the future requirements of Basel III, since financial year 2010 banks have had to calculate the leverage ratio and report it to the regulator. This is the ratio of Tier I capital (Tier I capital of €351.3m; see note (53)) to total assets (non-risk weighted). Pursuant to the regulations applying from the start of 2018, the leverage ratio must amount to at least 3%.

To summarise, the comdirect group has enough of a risk buffer to certainly withstand even lengthy weak market phases. From today’s perspective, there are no realistic risks in evidence that could threaten the continued existence of the comdirect group.