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

2021Disclosure Report as at 30 September

in accordance with the Capital Requirements Regulation (CRR)

The bank at your side

Contents

1. Introduction
2. Equity capital, capital requirements and RWA

4 Key metrics

6 Capital requirements and RWA

1. Liquidity risk

1. Appendix

14 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 requirements and RWA

Liquidity risk

Appendix

3

Introduction

Commerzbank

Commerzbank is the leading bank for the German Mittelstand and

1. 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% of Germany's for- eign 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 direct banks combined with personal advisory support on site. Its Polish subsidiary mBank S.A. is an in- novative 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. 575/2013 (CRR I) as at 30 September 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.

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

1. Nr 146 CRR II, thus implementing the frequency requirements of Article 433a CRR II.

4 Commerzbank Disclosure Report as at 30 September 2021

Equity capital, capital requirements 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 metrics will be introduced from June 2021.

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

1. and 438 (b) CRR II. 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 slight decline in Common Equity Tier 1 (CET1) capital (ap- proximately €44m) compared to 30 June 2021 was mainly due to the increased capital deductions, which were offset by the balance sheet profit generated in the third quarter. The Common Equity Tier 1 ratio increased by 16 basis points compared to 30 June 2021 due to the decline in risk-weighted assets (€-2,371m). The increase in capital (€+369m) compared to 30 June 2021 was mainly due to the issue of a new Tier 2 bond (nominal: €500m). The total capital ratio thus rose by 45 basis points compared to 30 June 2021.
   The leverage ratio shows the ratio of Tier 1 capital to lever-age ratio exposure, consisting of the non risk-weighted assets plus off- balance sheet positions.
   The way in which exposure to derivatives, securities financing transactions and off-balance sheet positions is calculated is laid down by regulators. As a non risk-sensitive figure the leverage ratio is intended to supplement risk-based measures of capital adequacy.
   It was stable at 4.6% on the basis of the CRR II regulation in force on the reporting date due to almost unchanged leverage ratio exposure and Tier 1 capital.

At 147.6% (average of the last 12 month-end values), Commerz- bank was well above the minimum 100% level required for the liquidity coverage ratio (LCR). Commerzbank's liquidity situation as at the end of the quarter was therefore comfortable given its conservative and forward-looking funding strategy.

The Net Stable Funding Ratio (NSFR) as of 30 September underlines the solid funding position of Commerzbank Group. It reflects the customer-focused business model of Commerzbank Group with a high contribution to the available stable funding (ASF) from customer deposits. The main share of the required stable funding (RSF) results from the loan business, and the main share of the ASF results from customer deposits.

The NSFR ratio in total did not change during the third quarter of 2021. Changes in RSF and ASF from 30 June to 30 September result from slightly reduced loan business of €2bn RSF and a slight reduction of €3bn ASF due to retail deposits. These reductions lie within usually observed fluctuation ranges. Further positions remained relatively stable.

Details of the issued capital instruments of Commerzbank Group according to Article 437 (1) b) and c) CRR II are given on the Commerzbank website in the section debt holder information/capi- tal instruments. For the Commerzbank Group, the transitional provisions laid down in Article 468 and Article 473a CRR II shall not apply. We have received approval from the supervisor for the application of the transitional regime to IFRS 9 in accordance with Article 473a CRR II. However, the effects from the application are so marginal that we do not take these into account as at 30 September 2021.

Introduction

Equity capital, capital requirements and RWA

Liquidity risk

Appendix

5

EU KM1 : Key metrics

				a	b
Line	€m | %			30.09.2021	30.06.2021
	Available	own funds (amounts)
1	Common Equity Tier 1 (CET1) capital		23,666	23,709
2	Tier 1 capital		27,141	27,187
3	Total capital		32,174	31,806
	Risk-weighted exposure amounts
4	Total risk-weighted exposure amount		175,217	177,588
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)		13.51	13.35
6	Tier 1 ratio (%)		15.49	15.31
7	Total capital ratio (%)		18.36	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	2.00
	EU 7b	Additional AT1 SREP requirements (%)			1.13	1.13
	EU 7c	Additional T2 SREP requirements (%)			1.50	1.50
	EU 7d	Total SREP own funds requirements (%)			10.00	10.00
		Combined	buffer requirement (as a percentage of risk-weighted	exposure	amount)
	8	Capital conservation buffer (%)			2.50	2.50
		Conservation buffer due to macro-prudential or systemic risk identified at the level of a
	EU 8a	Member State (%)				-	-
	9	Institution	specific countercyclica l capital buffer (%)			0.02	0.02
	EU 9a	Systemic risk buffer (%)			-	-
	10	Global Systemically Important Institution buffer (%)			-	-
	EU 10a	Other Systemically Important Institution buffer (%)			1.25	1.25
	11	Combined buffer requirement (%)			3.77	3.77
	EU 11a	Overall capital requirements (%)			13.77	13.77
	12	CET1 available after meeting the total SREP own funds requirements (%)		7.88	7.73
		Leverage	ratio
	13	Leverage	ratio total exposure measure			589,100	589,160
	14	Leverage	ratio (%)				4.57	4.58
	14	Leverage	ratio with transitional provisions (%)			4.61	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	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	3.00