Commerzbank : Disclosure Report as at 30 June 2021 in accordance with CRR II

2021Disclosure Report as at 30 June

in accordance with the Capital Requirements Regulation (CRR)

The bank at your side

Contents

• Introduction

• Equity capital, capital requirement and RWA

• Key metrics

• Capital structure

1. Connection between balance-sheet and regulatory positions

1. Capital requirement and RWA

18 Leverage ratio

22 A. Credit risk (CR)

1. Credit risk and credit risk mitigation in the SACR

1. Credit risk and credit risk mitigation in the IRBA

1. Loan loss provisions for default risks

1. Credit risk mitigation

44 B. Counterparty credit risk (CCR)

47 Information by regulatory risk-weighting approach

1. C. Securitisations (SEC)

1. D. Market risk (MR)

57 Quantitative information on market risks

1. E. Liquidity risk (LR)

1. Appendix

65 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

Leverage ratio

Specific risk management

Appendix

3

Introduction

Commerzbank

Commerzbank is the leading bank for the German Mittelstand and a strong partner for around 30,000 corporate client groups and around 11 million private and small-business customers in Germany. The Bank's two Business Segments - Private and Small-Business Customers and Corporate Clients - offer a comprehensive portfolio of financial services.

Commerzbank transacts approximately 30 per cent of Germany's foreign trade and is present internationally in almost 40 countries in the corporate clients' business. The Bank focusses on the German Mittelstand, large corporates , and institutional clients. As part of its international business, Commerzbank supports clients with German connectivity and companies operating in selected future-oriented industries. Following the integration of Comdirect, private and small-business customers benefit from the services offered by one of Germany's most advanced online banks combined with personal advisory support on site. Its Polish subsidiary mBank S.A. is an innovative digital bank that serves approximately 5.5 million private and corporate customers, predominantly in Poland, but also in the Czech Republic and Slovakia.

A detailed description of Commerzbank Group is given in the Annual Report 2020.

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) 2019/876 (CRR II) of the European parliament and of the Council of

20 May 2019 amending the Regulation (EU) No. (CRR I)- as of June 30, 2021. The regulation is supplemented by the final draft implementing technical standards EBA EBA/ITS/2020/04 from 24 June 2020, which specify the tables integrated in the report. The names of the predefined tables are indicated by the table names provided with the prefix EU.

The EBA has published the final 'Guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis' (EBA/GL/2020/07) on 2 June 2020. The disclosure of the tables required therein is to be made every six months during the reference period 30 June 2020 to 31 December 2021. The tables included in the report are identified by the given table names with the prefix COV.

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.

Commerzbank is a large institution in accordance with Article 4(a) xv) 146 CRR, thus implementing the frequency requirements of Article 433a CRR.

• Commerzbank Disclosure Report as at 30 June 2021

Equity capital, capital requirement and RWA

Key metrics

In order to facilitate market participants' access to the most important equity and liquidity ratios of the institutions, Table KM1 with key parameters will be introduced from June 2021.

The table shows the information required by Articles 447(a) to

1. and 438 (b) CRR. In particular, these include the available own funds, risk-weighted exposure amounts, capital ratios, combined capital buffers, leverage ratio and liquidity ratios, as well as some additional own funds requirements in order to obtain an overall overview of Commerzbank.

The decline in Common Equity Tier 1 capital (€m -259) compared with 31 March 2021 (€m 23,968) is mainly due to the balance sheet loss generated in Q2 and the higher regulatory deduction items, which are partly compensated by the positive capital effect of the actuarial gains. The Common Equity Tier 1 capital ratio is unchanged compared to 31 March 2021 (13.4%), due to the offsetting development of risk-weighted assets (€m -883).

The increase in Tier 1 capital (€m +249) compared to 31 March 2021 (€m 26,938) is essentially due to the issue of a new AT1 bond (nominal: €m 500), which is responsible for the increase in the Tier 1 capital ratio (+20 bp) compared to 31 March 2021 (15.1%).

Introduction

Equity capital

Leverage ratio

Specific risk management

Appendix

5

EU KM1 : Key metrics

		a
Line	€m | %	30.06.2021
	Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital	23,709
2	Tier 1 capital	27,187
3	Total capital	31,806
	Risk-weighted exposure amounts
4	Total risk-weighted exposure amount	177,588
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)	13.35
6	Tier 1 ratio (%)	15.31
7	Total capital ratio (%)	17.91
	Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount)
EU 7a	Additional CET1 SREP requirements (%)	2.00
EU 7b	Additional AT1 SREP requirements (%)	1.13
EU 7c	Additional T2 SREP requirements (%)	1.50
EU 7d	Total SREP own funds requirements (%)	10.00
	Combined buffer requirement (as a percentage of risk-weighted exposure amount)
8	Capital conservation buffer (%)	2.50
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 (%)	0.02
EU 9a	Systemic risk buffer (%)	-
10	Global Systemically Important Institution buffer (%)	-
EU 10a	Other Systemically Important Institution buffer	1.25
11	Combined buffer requirement (%)	3.77
EU 11a	Overall capital requirements (%)	13.77
12	CET1 available after meeting the total SREP own funds requirements (%)	7.73
	Leverage ratio
13	Leverage ratio total exposure measure	589,160
14	Leverage ratio	4.58
14	Leverage ratio with transitional provisions (%)	4.61
	Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio
	total exposure amount)
EU 14a	Additional CET1 leverage ratio requirements (%)	-
EU 14b	Additional AT1 leverage ratio requirements (%)	-
EU 14c	Additional T2 leverage ratio requirements (%)	3.00
	Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
EU 14d	Applicable leverage buffer	-
EU 14e	Overall leverage ratio requirements (%)	3.00
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value - average)	108,733
EU 16a	Cash outflows - Total weighted value	97,655
EU 16b	Cash inflows - Total weighted value	21,384
16	Total net cash outflows (adjusted value)	76,229
17	Liquidity coverage ratio (%)	143.0
	Net Stable Funding Ratio
18	Total available stable funding	348,133
19	Total required stable funding	257,133
20	NSFR ratio (%)	135.0%