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Overall risk position in financial year 2012

At the end of 2012, comdirect’s overall risk position stood at €159.4m (end 2011: €235.2m) with a confidence level of 99.91% and a holding period of one year. The substantial decrease in the amount of economically required capital is due in particular to lower market, model and operational risks.

Breakdown of economic capital required 2012 (in € million)

  As of 31.12.2012
Market risk 53.0
Credit risk 66.5
Operational risk 19.9
Business risk 18.3
Model risk 1.8
Economic capital required 159.4

The limit utilisation level largely declined and was non-critical with respect to the aggregate risk and all individual risks throughout the whole of the year. At the end of 2012, the utilisation level of the overall limit was 36.6% (end 2011: 54.2%). Even under stress conditions, the economic risk-bearing capacity remained consistent throughout the year; with an overall risk of €178m under stress, the utilisation level of the economic capital was 41%.

The economic capital required for market risks amounted to €53.0m at the end of 2012 (end 2011: €83.8m) and was thus significantly lower than the previous year's figure. The continual decrease in market risks is due to the largely calmer market situation as well as the consistent reduction of the volume of bank bonds from stricken countries in the eurozone (so-called “PIIGS” nations). This PIIGS strategy significantly limited the credit spread risk.

The overall risk of the comdirect group included credit risks with a total CVaR of €66.5m (end 2011: €61.1m); 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 exposure to European bank bonds (see Financial situation and assets of the comdirect group).

The substantial fall in the economic capital required for model risk is attributable to continual growth in deposits and the high level of stability in our customer deposits. The decrease in operational risk stems from comdirect’s low OpRisk losses in the past, which are taken into account by the new ErC allocation based on loss data in Commerzbank’s AMA model.

As of the balance sheet date, the risk weighted assets calculated in accordance with the requirements of the Solvency Regulation (SolvV) totalled €635.5m.

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 1 capital (Tier 1 capital of €385.9m; see note (53)) to total assets (non-risk weighted). Pursuant to the regulations scheduled to apply from the start of 2018, the leverage ratio must amount to at least 3%.

To summarise, comdirect 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 comdirect.