Aareal Bank : Regulatory Disclosure Report for H1 2021 of Aareal Bank Group LCR correction dated 13 October 2021

Regulatory Disclosure Report for H1 2021

of Aareal Bank Group

Regulatory Disclosure Report for H1 2021

1. Preface
2. Overview of regulatory key metrics

1. Own funds

6 Composition of regulatory own funds

14 Reconciliation of regulatory own funds to balance sheet in the audited financial statements

16 Risk-weighted assets and regulatory capital requirements

19 Countercyclical Buffer

22 Credit Risks and Quantitative Information on Credit Risk Mitigation

22 Credit quality of exposures

1. Exposures subject to a general payment moratorium
2. Credit risk mitigation

1. Credit Risk Standard Approach

1. Advanced IRB Approach (AIRBA)

45 Liquidity Risk

45 Liquidity Coverage Ratio

48 Net Stable Funding Ratio (NSFR)

1. Leverage Ratio

1. Imprint

Regulatory Disclosure Report for H1 2021

Preface

3

Preface

Aareal Bank Group is classified as a significant institution within the scope of the Single Supervisory

Mechanism (SSM) and is therefore subject to direct supervision by the European Central Bank (ECB).

In March this year, the European Commission published the Implementation Regulation (EU) 2021/637 for the disclosure of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 (Capital Requirements Regulation - "CRR"). These substantiate the revised disclosure requirements to be applied from 28 June 2021.

Due to its consolidated total assets of more than €30 billion, Aareal Bank Group is classified as a large institution in accordance with Article 4 no 146 lit. d) of the CRR. The scope of the information that has to be disclosed on a half-yearly basis is therefore based on the requirements of Article 433a (1) lit. b) and c) of the CRR.

Due to the use of the waiver option (section 2a (1) sentence 1 of the German Banking Act (Kreditwesen­ gesetz - "KWG") in conjunction with Article 7 (3) of the CRR), Aareal Bank complies with the requirements of parts 2, 3, 4, 6, 7 and 8 of the CRR at a Group level. Aareal Bank AG, whose registered office is in Wiesbaden, Germany, is the parent institution of the Group (LEI code EZKODONU5TYHW4PP1R34).

The details we have published in this disclosure report are based on both the Credit Risk Standard

­Approach (CRSA) and the Advanced IRB Approach (Advanced Internal Ratings-Based Approach - AIRBA).

Minor differences may occur regarding the figures stated, due to rounding.

Aareal Bank does not apply the transitional provisions, pursuant to Article 473a of the CRR, to mitigate the impact of the introduction of IFRS 9 on regulatory capital requirements. Accordingly, the obligation to provide additional disclosures (as specified in detail in EBA guidelines EBA/GL/2018/01) is waived.

Since the ECB does not classify Aareal Bank Group as a Global Systemically Important Institution ­ (G-SII) on the basis of Delegated Regulation (EU) 1222/2014, the disclosure requirements pursuant to Article 437a of the CRR ("Disclosure of own funds and eligible liabilities") do not apply.

4

Overview of regulatory key metrics

Regulatory Disclosure Report for H1 2021

Overview of regulatory key metrics

The table EU KM1 provides an overview of the regulatory key metrics in accordance with Article 447 of the CRR. The overview also includes the additional regulatory capital as required by the Supervisory Review and Evaluation Process (SREP).

Due to the first-time disclosure of the Net Stable Funding Ratio (NSFR) and the SREP capital requirements as at the reporting date, their disclosure for prior periods is omitted..

Prior period values are disclosed based on the frequency in which the information of this table shall be disclosed (see Article 433a of the CRR). We have limited our disclosure as at the record date observed to prior period values, as already included in the overview of selected indicators published on our web- site as at 31 March 2021.

	EU KM1: Key metrics
			a		b		c		d		e
			30 Jun 2021		31 Mar 2021		31 Dec 2020		30 Sep 2020		30 Jun 2020
€ mn
	Available own funds
1	Common Equity Tier 1 (CET1) capital	2,298	2,248	2,286	2,243	2,318
2	Tier 1 (T1) capital	2,598	2,548	2,568	2,543	2,618
3	Own funds	3,048	3,027	3,396	3,360	3,457
	Risk-weighted exposure amounts
4	Risk-weighted exposure amounts (Risk
weighted assets, RWAs)	11,981	11,906	12,138	11,320	11,702
	Capital ratios (as a percentage of risk-weighted
	exposure amount)
5	Common Equity Tier 1 ratio (CET1 ratio)	19.18	18.9	18.8	19.8	19.8
6	Tier 1 ratio (T1 ratio)	21.69	21.4	21.3	22.5	22.4
7	Total capital ratio (TC ratio)	25.44	25.4	28.0	29.7	29.5
	Additional own funds requirements to address risks
	other than the risk of excessive leverage (as a
	percentage of risk-weighted exposure amount)
EU 7a Additional own funds requirements to address risks other
	than the risk of excessive leverage	1.27		-		-		-		-
EU 7b of which: to be made up of CET1 capital	0.42		-		-		-		-
EU 7c of which: to be made up of Tier 1 capital	0.56		-		-		-		-
EU 7d Total SREP own funds requirements	10.25		-		-		-		-
	Combined buffer and overall capital requirement
	(as a percentage of risk-weighted exposure amount)
8	Capital conservation buffer	2.50	2.5	2.5	2.5	2.5
EU 8a Conservation buffer due to macro-prudential or systemic risk
	identified at the level of a Member State	-		-		-		-		-
9	Institution specific countercyclical capital buffer	0.01	0.0	0.0	0.0	0.2
EU 9a Systemic risk buffer	-		-		-		-		-

>

Regulatory Disclosure Report for H1 2021

Overview of regulatory key metrics

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			a		b		c		d		e
			30 Jun 2021		31 Mar 2021		31 Dec 2020		30 Sep 2020		30 Jun 2020
€ mn
10	Global Systemically Important Institution buffer	-		-		-		-		-
EU 10a	Other Systemically Important Institution buffer	-		-		-		-		-
11	Combined buffer requirement	2.51		-		-		-		-
EU 11a	Overall capital requirements	12.76		-		-		-		-
12	CET1 available after meeting the total SREP
	own funds requirements	13.42		-		-		-		-
	Leverage Ratio1)
13	Total exposure measure	45,607		-	43,577		-	45,266
14	Leverage Ratio (%)	5.70		-	5.9		-	5.8
	Additional own funds requirements to address the
	risk of excessive leverage (as a percentage of total
	exposure measure)
EU 14a	Additional own funds requirements to address the risk
	of excessive leverage	-		-		-		-		-
EU 14b of which: to be made up of CET1 capital	-		-		-		-		-
EU 14c	Total SREP leverage ratio requirements	-		-		-		-		-
	Leverage ratio buffer and overall leverage ratio
	requirement (as a percentage of total exposure
	measure)
EU 14d	Leverage ratio buffer requirement	-		-		-		-		-
EU 14e	Overall leverage ratio requirement	-		-		-		-		-
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (weighted
	value - average)	7,035	6,988	6,909	6,765	6,503
EU 15a	Cash outflows - total weighted value	3,045		-		-		-		-
EU 15b	Cash inflows - total weighted value	447		-		-		-		-
16	Total net cash outflows (adjusted value)	2,598	2,651	2,622	2,694	2,715
17	Liquidity coverage ratio (LCR) (%)2)	271.66	265.02	264.87	252.62	240.46
	Net Stable Funding Ratio
18	Total available stable funding	34,414		-		-		-		-
19	Total required stable funding	29,667		-		-		-		-
20	NSFR ratio (%)	116.00		-		-		-		-

1. Since the calculation of the Leverage Ratio has changed upon first application of CRR II, figures for the current disclosure record date cannot be compared to those of the two prior periods.
2. Until 31 March 2021, the Liquidity Coverage Ratio was disclosed using the ratio of the input parameters "liquidity buffer" (total high-quality liquid assets (HQLA)) and "total net liquidity outflows", both determined on the basis of average figures. Since EBA guidelines EBA/GL/2017/01 (which were applicable until 31 March 2021) require that LCR figures be disclosed as the average value of the previous 12 months, we have retrospectively corrected the LCR for previous quarters to be disclosed.