Commerzbank : Disclosure Report as at 31 March 2022 in accordance with CRR

2022Disclosure Report as at 31 March

in accordance with the Capital Requirements Regulation (CRR)

The bank at your side

Contents

• Introduction

• Equity capital, capital requirements and RWA

• Key metrics

• 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 a strong partner for around 28,000 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 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. Its Polish subsidiary mBank S.A. is an innovative digital bank that serves approximately 5.6 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 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) 2019/876 (CRR) of the European parliament and of the Council of 20 May 2019 amending the Regulation (EU) No. 575/2013 (CRR I) as at 31 March 2022. 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, thus implementing the frequency requirements of Article 433a CRR.

• Commerzbank Disclosure Report as at 31 March 2022

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. 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 Common Equity Tier 1 (CET1) capital fell slightly by €49m compared to 31 December 2021. On the one hand, there was a cap- ital increasing impact due to a good quarterly result and a positive effect from the pension funds. On the other hand, there was a neg- ative development in the other comprehensive income and an in- crease in the regulatory capital deduction from the prudent valua- tion of positions accounted for at fair value. With risk-weighted assets virtually unchanged, the Common Equity Tier 1 capital ratio fell by 2 basis points versus 31 December 2021.
   The changes in Tier 1 capital were attributable to a slight de- crease in CET1 capital and in particular to the fact that AT1 instru- ments of €226m could no longer be taken into account under the CRR transitional provisions. Tier 2 capital was reduced by €341m due to the cancellation of a Tier 2 bond and the elimination of Tier 2 from temporary grandfathering.
   The leverage ratio shows the ratio of Tier 1 capital to leverage 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. The leverage ratio (with transitional provisions and fully loaded) decreased to 4.7% as of 31 March 2022. The

decrease is mainly due to higher leverage ratio exposure, which was caused by increased cash reserve and security financing transactions (SFT) balance sheet volume.

At 143.1% (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 31 March 2022 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 increased from 128.8% to 132.2% in the first quarter of 2022, mainly because the ASF has increased again. This is due both to the increase in liabilities due on demand and to the increase in receivables due on demand between December 2021 and March 2022, following the decline at the end of the year caused by the balance sheet management at year-end.

Details of the issued capital instruments of Commerzbank Group according to Article 437 b) and c) CRR and using the EU CCA table in Annex VII of the Regulation of Implementation (EU) 2021/637 are given in Annex 5 of the disclosure report as of 31 December 2021 and on the Commerzbank website in the section debt holder infor- mation/capital instruments. For the Commerzbank Group, the transitional provisions laid down in Article 473a CRR shall not apply.

For the Commerzbank Group, the transitional provisions laid down in Article 468 and Article 473a CRR 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 at 31 March 2022.

Introduction

Equity capital, capital requirements and RWA

Liquidity risk

Appendix

5

EU KM1 : Key metrics

			a	b	c	d
Line	€m | %		31.03.2022	31.12.2021	30.09.2021	30.06.2021
Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital		23,715	23,765	23,666	23,709
2	Tier 1 capital		26,949	27,215	27,141	27,187
3	Total capital		31,574	32,182	32,174	31,806
Risk-weighted exposure amounts
4	Total risk-weighted exposure amount		175,106	175,188	175,217	177,588
Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)		13.54	13.57	13.51	13.35
6	Tier 1 ratio (%)		15.39	15.54	15.49	15.31
7	Total capital ratio (%)		18.03	18.37	18.36	17.91
Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount)
	Additional own funds requirements to address risks other than the risk
EU 7a	of excessive leverage (%)		2.00	2.00	2.00	2.00
EU 7b	of which: to be made up of CET1 capital (percentage points)		1.13	1.13	1.13	1.13
EU 7c	of which: to be made up of Tier 1 capital (percentage points)		1.50	1.50	1.50	1.50
EU 7d	Total SREP own funds requirements (%)		10.00	10.00	10.00	10.00
Combined buffer requirement (as a percentage of risk-weighted exposure amount)
8	Capital conservation buffer (%)		2.50	2.50	2.50	2.50
	Conservation buffer due to macro-prudential or systemic risk identified
EU 8a	at the level of a Member State (%)		-	-	-	-
9	Institution specific countercyclical capital buffer (%)		0.02	0.02	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	1.25	1.25
11	Combined buffer requirement (%)		3.77	3.77	3.77	3.77
EU 11a	Overall capital requirements (%)		13.77	13.77	13.77	13.77
	CET1 available after meeting the total SREP own funds requirements
12	(%)		7.89	7.94	7.88	7.73
Leverage ratio1
13	Total exposure measure		577,634	520,528	589,100	589,160
14	Leverage Ratio fully loaded (%)		4.67	5.19	4.57	4.58
14	Leverage ratio with transitional provisions (%)		4.67	5.23	4.61	4.61

Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount)

		Additional own funds requirements to address the risk of excessive
	EU 14a	leverage (%)	-	-	-	-
	EU 14b	of which: to be made up of CET1 capital (percentage points)	-	-	-	-
	EU 14c	Total SREP leverage ratio requirements (%)	3.00	3.00	3.00	3.00
	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 requirements (%)	3.00	3.00	3.00	3.00
	Liquidity Coverage Ratio
	15	Total high-quality liquid assets (HQLA) (Weighted value - average)	105,654	108,997	112,055	108,733
	EU 16a	Cash outflows - Total weighted value	96,370	97,086	97,317	97,655
	EU 16b	Cash inflows - Total weighted value	22,955	22,354	21,368	21,384
	16	Total net cash outflows (adjusted value)	73,415	74,732	75,949	76,229
	17	Liquidity Coverage Ratio (%)	143.1	145.1	147.6	142.8