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Liquidity risk

Risk management, quantification and reporting

At comdirect bank, Treasury is responsible for managing liquidity. In order to cover a possible removal of liquidity by customers, the bank maintains a sufficient volume of funds due at call as well as highly liquid securities, which can be used as collateral to obtain liquidity.

To limit the liquidity risk we are also guided by the requirements of the Liquidity Regulation as well as internal management indicators. In addition to the required regulatory indicators, the liquidity risk is also managed using a limit system based on the available net liquidity concept. The future funding requirement is calculated using the available liquidity in the future, supplemented by the expected liquidity impact of decisions related to business policy and assumption about customer behaviour. The available net liquidity is determined and monitored for defined stress scenarios. Moreover, the future liquidity indicators in accordance with Basel III – the liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) – are already calculated and tracked as monitoring ratios.

Current risk situation

The comdirect group’s liquidity situation was again comfortable in the reporting year and characterised by a high level of surplus liquidity even in the stress scenario. The accumulated available net liquidity consistently exceeded the defined minimum values. In the stress scenario, the net liquidity amounted to €1,469m as of 31 December 2011 (end 2010: €1,623m) and €1,264m on average for the year (previous year: €1,284m). In this scenario we simulate an abrupt and massive outflow of customer deposits as well as a sharp rise in the utilisation of open credit lines. Haircuts on highly liquid assets are also simulated. In the one week up to one month maturity band, the accumulated value under stress conditions was considerably positive. We have thus clearly met the requirements placed on capital market-oriented institutions by MaRisk. They have to maintain adequate financial resources and highly liquid assets eligible for central bank borrowing in order to be able to bridge a short-term funding requirement for at least a week in the event of stress situation. Other components of the liquidity reserve may be used for the time horizon of at least one month, as long as these can be made liquid without significant losses in value and in compliance with regulatory requirements.

The regulatory liquidity indicator stood on average at 4.46 and was considerably higher than the minimum value of 1 required by the regulatory authorities. The liquidity indicator is calculated by comparing short-term cash and cash equivalents and payment obligations with a maturity of up to one month. The LCR and NSFR indicators calculated as monitoring ratios in accordance with Basel III were both at comfortable levels during the reporting year and higher than the minimum limits for compliance in the future.