Commerzbank : Disclosure Report as at 31 March 2019 in accordance with CRR

2019Disclosure Report as at 31 March

in accordance with the Capital Requirements Regulation (CRR)

Contents

• Introduction

• Equity capital, capital requirement and RWA

• Capital structure
• Capital requirement and RWA

• Appendix

• Supplement to equity structure (CAP1)
• List of abbreviations

Due to rounding, numbers and percentages presented throughout this report may not add up precisely to the totals provided.

Introduction

Equity capital, capital requirement and RWA

Appendix 3

Introduction

Commerzbank

Commerzbank is a leading international commercial bank with branches and offices in almost 50 countries. In the two business segments Private and Small-Business Customers and Corporate Clients, the Bank offers a comprehensive portfolio of financial services which is precisely aligned to its clients' needs. With approximately 1,000 branches, Commerzbank has one of the densest branch networks among German private banks. In total, Commerz- bank serves more than 18 million private and small business cus- tomers, as well as more than 70,000 corporate clients, multina- tionals, financial service providers, and institutional clients worldwide.

A detailed description of Commerzbank Group is given in the Annual Report 2018 and in the Interim Report as at 31 March 2019.

Objective of the Disclosure Report

In this report Commerzbank Aktiengesellschaft as the ultimate parent company of the regulated banking group is complying with the disclosure requirements of Articles 431 - 455 of regulation (EU) No. 575/2013 - the Capital Requirements Regulation (CRR) - and the guidelines on the disclosure requirements under Part Eight of Regulation (EU) No. 575/2013 - EBA/GL/2016/11 - as at 31 March 2019. The tables defined according to the EBA guidelines and integrated into the report are indicated by the table names provided with the prefix EU.

Scope

This Disclosure Report is based on the group of companies consolidated for regulatory purposes. The companies consolidated for regulatory purposes only include those carrying out banking and other financial business. The consolidated group consists of a domestic parent company and its affiliated companies. The aim of regulatory consolidation is to prevent multiple use of capital that in fact exists only once by subsidiary companies in the financial sector. The companies consolidated under IFRS, by contrast, comprise all the companies controlled by the ultimate parent company.

With consolidated total assets that are regularly well in excess of €30bn, Commerzbank is one of the biggest financial institutions in Germany. Hence, independent of the criteria in Article 433 CRR, Commerzbank has implemented the reporting requirements during the period from Q2 2015 on and discloses the quarterly and semi- annually required information as appropriate.1

• See EBA/GL/2014/14, title V (18).and EBA/GL/2016/11 No. 46.

• Commerzbank Disclosure Report as at 31 March 2019

Equity capital, capital requirement and risk-weighted assets (RWA)

Capital structure

The composition of the regulatory capital and the capital ratios are

given in the following table.

CAP1: Equity structure (basis: EU 1423/2013)

€m		31.3.2019	31.12.2018
Line
Common Equity Tier 1 capital: instruments and reserves
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	28,617	28,767
28	Total regulatory adjustments to Common Equity Tier 1 (CET1) capital	-5,028	-5,560
29	CET1 capital	23,588	23,206
36	Additional Tier 1 (AT1) capital before regulatory adjustments	798	904
43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	0	0
44	Additional Tier 1 (AT1) capital	798	904
45	Tier 1 capital (T1 = CET1 + AT1)	24,387	24,110
51	Tier 2 capital before regulatory adjustments	5,308	5,469
57	Total regulatory adjustments to Tier 2 capital	-80	-80
58	Tier 2 capital	5,228	5,389
59	Total capital (TC = Tier 1 + Tier 2)	29,614	29,499
60	Total risk-weighted assets	185,158	180,498
Capital ratios
61	Common Equity Tier 1 ratio (as a percentage of total risk exposure amount)	12.7	12.9
62	Tier 1 ratio (as a percentage of total risk exposure amount)	13.2	13.4
63	Total capital ratio (as a percentage of total risk exposure amount)	16.0	16.3

More details on the composition of Commerzbank's equity capital can be found in the Disclosure Report 2018 as well as in the "Statement of changes in equity" section and in Note 42 (Regula- tory capital requirements) of the Interim Report as at 31 March 2019.

Regarding the disclosure of leverage ratio information pursuant to article 451 CRR, we refer to Note 43 (Leverage ratio) of the Interim Report as at 31 March 2019, which is published on our web- site.

Commerzbank does not apply the transitional arrangements set out in article 473a CRR. Information on capital, capital ratios and leverage ratio reflect the full impact of the IFRS 9 introduction.

Information on liquidity risk and the liquidity coverage ratio (LCR) according to the guideline on LCR disclosure - EBA/GL/2017/01 - can be found in the Interim Report as at 31 March 2019 in the "Funding and liquidity" and "Liquidity risk" sections as well as in Note 44 (Liquidity coverage ratio).

Capital requirement and RWA

The capital requirements set out below relate to the Commerzbank Group and the figures are the same with regard to content as in the capital adequacy reports submitted to the Deutsche Bundes- bank under Basel 3 Pillar 1.

Introduction

Equity capital, capital requirement and RWA

Appendix 5

Capital requirements by risk type

Of the overall capital requirement 75% relates to credit risk positions (excluding counterparty credit risk). Further 7.1% of the overall capital requirement relates to counterparty credit risk. Based on the EBA requirements, credit value adjustments (CVAs) are also assigned to this credit risk category.

Securitised positions in the banking book are also shown as a seperate credit risk category subject to a capital requirement in the table EU OV1 below, accounting for 1.6% of total capital re- quirement. Commerzbank treats these according to the IRBA and SACR rules for securitised positions. Capital deduction items of

EU OV1: Overview of RWAs

securitisations directly reduce the equity capital and thus are not included in the capital requirements.

As at 31 March 2019, capital requirements for market risks are 4.3% of total requirements. Commerzbank generally uses an internal market risk model to calculate the regulatory capital require- ment; the standardised approaches are applied for smaller units in Commerzbank Group in accordance with the partial use option.

To calculate the capital adequacy requirement for operational risks, Commerzbank uses the advanced measurement approach (AMA). This risk category accounts for 11.6% of the total capital requirements.

€m				Risk-weighted assets	Capital
				(RWAs)		requirements
Article in CRR			31.03.2019		31.12.2018	31.03.2019
		1	Credit risk (excluding CCR)	138,755		134,328	11,100
438	(c) (d)	2	Of which the standardised approach	20,206		20,943	1,617
438	(c) (d)	3	Of which the foundation IRB (FIRB) approach	0		0	0
438	(c) (d)	4	Of which the advanced IRB (AIRB) approach	118,549		113,385	9,484
			Of which equity IRB under the simple risk-weighted approach or
438	(d)	5	the IMA	0		0	0
107, 438 (c) (d)	6	Counterparty credit risk (CCR)	13,139		12,739	1,051
438	(c) (d)	7	Of which mark to market	1,779		1,638	142
438	(c) (d)	8	Of which original exposure	0		0	0
		9	Of which the standardised approach	0		0	0
		10	Of which internal model method (IMM)	7,572		7,635	606
			Of which risk exposure amount for contributions to the default
438	(c) (d)	11	fund of a CCP	175		14	14
438	(c) (d)	12	Of which CVA	3,613		3,451	289
438	(e)	13	Settlement risk	0		0	0
449	(o) (i)	14	Securitisation exposures in the banking book (after the cap)	3,043		2,461	243
		15	Of which IRB approach	1,982		1,543	159
		16	Of which IRB supervisory formula approach (SFA)	670		538	54
		17	Of which internal assessment approach (IAA)	791		703	63
			Of which internal rating-based approach (SEC-IRBA)	269			22
		18	Of which the standardised approach	1,061		918	85
			Of which internal assessment approach (SEC-IAA)	175			14
438	(e)	19	Market risk	8,014		8,944	641
		20	Of which the standardised approach	1,053		1,533	84
		21	Of which IMA	6,962		7,410	557
438	(e)	22	Large exposures	0		0	0
438	(f)	23	Operational risk	21,562		21,393	1,725
		24	Of which basic indicator approach	0		0	0
		25	Of which the standardised approach	0		0	0
		26	Of which advanced measurement approach	21,562		21,393	1,725
			Amounts below the thresholds for deduction (subject to 250% risk
437	(2), 48, 60	27	weight)	644		633	51
500		28	Floor adjustment	0		0	0
		29	Total	185,158		180,498	14,813