Commerzbank : Disclosure Report as at 31 March 2021 in accordance with CRR

2021Disclosure Report as at 31 March

in accordance with the Capital Requirements Regulation (CRR)

The bank at your side

Content

• Introduction

• Equity capital, capital requirement and RWA

• Capital structure

• Capital requirement and RWA

10 Leverage Ratio and Liquidity Coverage Ratio

10 Leverage Ratio

10 Liquidity Coverage Ratio

14 Appendix

1. Supplement to equity structure (CAP1)

1. 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 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. 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 and in the Interim financial information as at 31 March 2021.

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 2021. 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 appropriate1

• Vgl. hierzu EBA/GL/2014/14, Titel V, Abs. 18. sowie EBA/GL/2016/11 Nr. 46.

• Commerzbank Disclosure Report as at 31 March 2021

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		31.3.2021	31.12.2020
Line
Common Equity Tier 1 capital: instruments and reserves
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	25,987	28,378
28	Total regulatory adjustments to Common Equity Tier 1 (CET1) capital	- 2,019	- 4,767
29	CET1 capital	23,968	23,611
36	Additional Tier 1 (AT1) capital before regulatory adjustments	2,969	3,179
43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	0	0
44	Additional Tier 1 (AT1) capital	2,969	3,179
45	Tier 1 capital (T1 = CET1 + AT1)	26,938	26,790
51	Tier 2 capital before regulatory adjustments	4,744	4,843
57	Total regulatory adjustments to Tier 2 capital	- 30	- 30
58	Tier 2 capital	4,714	4,813
59	Total capital (TC = Tier 1 + Tier 2)	31,652	31,603
60	Total risk-weighted assets	178,471	178,581
Capital ratios
61	Common Equity Tier 1 ratio (as a percentage of total risk exposure amount)	13.4	13.2
62	Tier 1 ratio (as a percentage of total risk exposure amount)	15.1	15.0
63	Total capital ratio (as a percentage of total risk exposure amount)	17.7	17.7

For the Commerzbank Group, the transitional provisions laid down in Article 468 CRR and Article 473a 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. How- ever, the effects from the application are so marginal that we do not take these into account as of 31 March 2021.

Information on equity capital, capital ratios and the leverage ratio reflect the full impact of the IFRS 9 introduction.

Introduction

Equity capital, capital requirement and RWA

Appendix

5

The overview below shows the composition of the Commerzbank	balance sheet with regulatory capital is already integrated in these
Group's capital figures. The reconciliation of equity reported in the	figures.
Composition of the Commerzbank Group's capital figures
		Position | €m		31.3.2021	31.12.2020
1	Equity as shown in balance sheet		29,301	28,600

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

of which: additional equity components1	2,619	2,619
Equity as shown in balance sheet without additional equity components	26,682	25,981
Fair value gains and losses arising from the institution's own credit risk related to
derivative liabilities	- 62	- 57
Cumulative gains and losses due to changes in own credit risk on fair valued liabilities	60	56
Correction to non-controlling interests (minorities)	- 462	- 468
Goodwill	-	-
Intangible assets	- 626	- 457
Surplus in plan assets	- 319	- 68
Deferred tax assets from loss carryforwards	- 341	- 288
Shortfall due to expected loss	- 107	- 148
Prudential valuation	- 213	- 189
First loss positions from securitisations	- 191	- 178
Deferred tax assets from temporary differences which exceed the 10% threshold	- 113	- 344
Unrecognised gains	- 227	- 92
Others and rounding	- 112	- 136

17		Common Equity Tier 1 capital2	23,968	23,611
18		Additional Tier 1 capital3	2,969	3,179
19		Tier 1 Capital	26,938	26,790
20		Tier 2 capital	4,714	4,813
21		Own funds	31,652	31,603
22		Risk-weighted assets	178,471	178,581
23		of which: Credit Risk	149,314	147,960
24		of which: Market Risk3	12,467	12,333
25		of which: operational risk	16,690	18,287
26		Common Equity Tier 1 capital ratio (%)	13.4%	13.2%
27		Tier 1 capital ratio (%)	15.1%	15.0%
28		Total capital ratio (%)	17.7%	17.7%

• AT1 issue which is equity as shown in balance sheet and which is taken into account as Additional Tier 1 capital according to CRR.

• Capital reduced by potential (fully discretionary) AT 1 coupons.

• Includes Credit Valuation Adjustment Risk.