Commerzbank : Disclosure Report as at 30 September 2020 in accordance with CRR

2020Disclosure Report as at 3 September

in accordance with the Capital Requirements Regulation (CRR)

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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 nearly 50 countries. The Bank serves more than 11 million private and small-business customers nationwide and over 70,000 corporate clients, multinationals, financial service providers, and institutional clients worldwide. Its Polish subsidiary mBank S.A. has around 5.7 million private and corporate custom- ers, predominantly in Poland, but also in the Czech Republic and Slovakia.

A detailed description of Commerzbank Group is given in the Annual Report 2019 and in the Interim Report as at 30 September 2020.

The massive global spread of the coronavirus pandemic led many countries to implement drastic containment measures, such as curfews, business closures and production stops, in March and April. These measures enabled Europe to initially contain the pandemic over the course of the second quarter. The situation in many other places remained critical. Since the beginning of August, Europe has also seen the number of infections rise sharply once again. The measures that have been taken are less stringent so far than those implemented in the spring, however, so it cannot be assumed at present that the economies of industrial- ised countries will collapse to the same extent as in the second quarter. Nevertheless, the second wave of the pandemic will dampen the upward trend appreciably.

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 30 September 2020. 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.

Commerzbank is one of the largest financial institutions in Ger- many and with its consolidated balance sheet total it is regularly well above the 30 billion euro limit relevant for the quarterly disclosure obligation. 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 30 September 2020

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		30.09.2020	31.12.2019
Line
Common Equity Tier 1 capital: instruments and reserves
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	28,926	28,832
28	Total regulatory adjustments to Common Equity Tier 1 (CET1) capital	- 4,138	- 4,466
29	CET1 capital	24,788	24,366
36	Additional Tier 1 (AT1) capital before regulatory adjustments	3,185	1,649
43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	0	0
44	Additional Tier 1 (AT1) capital	3,185	1,649
45	Tier 1 capital (T1 = CET1 + AT1)	27,973	26,015
51	Tier 2 capital before regulatory adjustments	5,027	4,663
57	Total regulatory adjustments to Tier 2 capital	- 30	- 80
58	Tier 2 capital	4,997	4,583
59	Total capital (TC = Tier 1 + Tier 2)	32,970	30,598
60	Total risk-weighted assets	183,337	181,765
Capital ratios
61	Common Equity Tier 1 ratio (as a percentage of total risk exposure amount)	13.5	13.4
62	Tier 1 ratio (as a percentage of total risk exposure amount)	15.3	14.3
63	Total capital ratio (as a percentage of total risk exposure amount)	18.0	16.8

More details on the composition of Commerzbank's equity capital can be found in the Disclosure Report 2019 as well as in the "Statement of changes in equity" section and in Note 41 (Regula- tory capital requirements) of the Interim Report as at 30 September 2020.

Regarding the disclosure of leverage ratio information pursuant to article 451 CRR, we refer to Note 42 (Leverage ratio) of the Interim Report as at 30 September 2020, which is published on our website.

Commerzbank does not apply the transitional arrangements set out in article 473a CRR as well as the new transitional regime for the OCI (other comprehensive income) filter for central govern- ments. 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 30 September 2020 in the "Funding and liquidity" and "Liquidity risk" sections as well as in Note 43 (Liquidity coverage ratio).