Aareal Bank AG: Regulatory Disclosure Report for Q3 2021 of Aareal Bank Group

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Regulatory Disclosure Report for Q3 2021 of Aareal Bank Group

Regulatory Disclosure ­Report for Q3 2021

of Aareal Bank Group

Regulatory Disclosure Report for Q3 2021

  1. Preface
  2. Overview of Regulatory Key Metrics

6 Risk-weighted Assets and Regulatory Capital Requirements­

  1. RWA Developments for AIRBA Exposures
  2. Liquidity Coverage Ratio

13 Imprint

Regulatory Disclosure Report for Q3 2021

Preface

3

Preface

Aareal Bank Group is classified as a significant institution within the scope of the Single Supervisory

Mechanism (SSM) and is therefore subject to direct supervision by the European Central Bank (ECB).

In March this year, the European Commission published the Commission Implementation Regulation (EU) 2021/637 for the disclosure of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 (Capital Requirements Regulation - "CRR"). These substantiate the revised disclosure requirements to be applied from 28 June 2021.

Due to its consolidated total assets of more than € 30 billion, Aareal Bank Group is classified as a large institution in accordance with Article 4 no 146 lit. d) of the CRR. The scope of the information that has to be disclosed on a quarterly basis is therefore based on the requirements of Article 433a (1) lit. c) of the CRR.

Due to the use of the waiver option (section 2a (1) sentence 1 of the German Banking Act (Kreditwesen- gesetz - "KWG") in conjunction with Article 7 (3) of the CRR), Aareal Bank complies with the requirements of parts 2, 3, 4, 6, 7 and 8 of the CRR at a Group level. Aareal Bank AG, whose registered office is in Wiesbaden, Germany, is the parent institution of the Group (LEI code EZKODONU5TYHW4PP1R34).

The details we have published in this condensed disclosure report are based on both the Credit Risk Standard Approach (CRSA) and the Advanced IRB Approach (Advanced Internal Ratings-Based Approach - AIRBA).

Minor differences may occur regarding the figures stated, due to rounding.

As the equivalent value of derivatives and the related counterparty credit risk for the purpose of regulatory reporting are determined exclusively according to the standardised approach for measuring counterparty credit risk (SA-CCR) (Article 274 et seqq. of the CRR), disclosure of table EU CCR7 (RWA flow statements of credit risk exposures, the counterparty credit risks of which are measured taking the internal model method into consideration) is not required.

Similarly, as the Bank does not use internal models for the calculation of own funds requirements for market risk, the table EU MR2-B (RWA flow statements of market risk under the internal model approach) is not disclosed either.

Aareal Bank does not apply the transitional provisions, pursuant to Article 473a of the CRR, to mitigate the impact of the introduction of IFRS 9 on regulatory capital requirements. Accordingly, the obligation to provide additional disclosures (as specified in detail in EBA guidelines EBA/GL/2018/01) is waived.

4

Overview of Regulatory Key Metrics

Regulatory Disclosure Report for Q3 2021

Overview of Regulatory Key Metrics

The table EU KM1 provides an overview of the regulatory key metrics in accordance with Article 447 of the CRR. The overview also includes the additional regulatory capital as required by the Supervisory Review and Evaluation Process (SREP).

Due to the first-time disclosure of the Net Stable Funding Ratio (NSFR) and the SREP capital requirements as at 30 June 2021, their disclosure for prior periods is omitted.

EU KM1: Key metrics

a

b

c

d

e

30 Sep 2021

30 Jun 2021

31 Mar 2021

31 Dec 2020

30 Sep 2020

€ mn

Available own funds

1

Common Equity Tier 1 (CET1) capital

2,225

2,298

2,248

2,286

2,243

2

Tier 1 (T1) capital

2,525

2,598

2,548

2,586

2,543

3

Own funds

2,945

3,048

3,027

3,396

3,360

Risk-weighted exposure amounts

4

Risk-weighted exposure amounts (Risk weighted assets, RWAs)

10,803

11,981

11,906

12,138

11,320

Capital ratios (as a percentage of risk-weighted

exposure amount)

5

Common Equity Tier 1 ratio (CET1 ratio)

20.59

19.18

18.9

18.8

19.8

6

Tier 1 ratio (T1 ratio)

23.37

21.69

21.4

21.3

22.5

7

Total capital ratio (TC ratio)

27.26

25.44

25.4

28.0

29.7

Additional own funds requirements to address risks

other than the risk of excessive leverage

(as a percentage of risk-weighted exposure amount)

EU 7a

Additional own funds requirements to address risks other than

the risk of excessive leverage

1.27

1.27

-

-

-

EU 7b

of which: to be made up of CET1 capital

0.42

0.42

-

-

-

EU 7c

of which: to be made up of Tier 1 capital

0.56

0.56

-

-

-

EU 7d

Total SREP own funds requirements

10.25

10.25

-

-

-

Combined buffer and overall capital requirement

(as a percentage of risk-weighted exposure amount)

8

Capital conservation buffer

2.50

2.50

2.5

2.5

2.5

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

0.01

0.01

0.0

0.0

0.0

EU 9a

Systemic risk buffer

-

-

-

-

-

10

Global Systemically Important Institution buffer

-

-

-

-

-

EU 10a

Other Systemically Important Institution buffer

-

-

-

-

-

11

Combined buffer requirement

2.51

2.51

-

-

-

EU 11a

Overall capital requirements

12.76

12.76

-

-

-

12

CET1 available after meeting the total SREP own funds

requirements

14.83

13.42

-

-

-

>

Regulatory Disclosure Report for Q3 2021

Overview of Regulatory Key Metrics

5

a

b

c

d

e

30 Sep 2021

30 Jun 2021

31 Mar 2021

31 Dec 2020

30 Sep 2020

€ mn

Leverage Ratio1)

13

Total exposure measure

45,803

45,607

45,049

43,577

42,515

14

Leverage Ratio (%)

5.51

5.70

5.7

5.9

6.0

Additional own funds requirements to address the

risk of excessive leverage

(as a percentage of total exposure measure)

EU 14a

Additional own funds requirements to address the risk of

excessive leverage

-

-

-

-

-

EU 14b

of which: to be made up of CET1 capital

-

-

-

-

-

EU 14c

Total SREP leverage ratio requirements

3.00

3.00

-

-

-

Leverage ratio buffer and overall leverage ratio require-

ment (as a percentage of total exposure measure)

EU 14d

Leverage ratio buffer requirement

-

-

-

EU 14e

Overall leverage ratio requirement

3.00

3.00

-

-

-

Liquidity Coverage Ratio

15

Total high-quality liquid assets (HQLA)

(weighted value - average)

6,695

7,035

6,988

6,909

6,765

EU 16a

Cash outflows - total weighted value

3,020

3,045

-

-

-

EU 16b

Cash inflows - total weighted value

450

447

-

-

-

16

Total net cash outflows (adjusted value)

2,570

2,598

2,651

2,622

2,694

17

Liquidity coverage ratio (LCR) (%)

261.15

271.66

265.02

264.87

252.62

Net Stable Funding Ratio

18

Total available stable funding

34,997

34,414

-

-

-

19

Total required stable funding

29,807

29,667

-

-

-

20

NSFR ratio (%)

117.41

116.00

-

-

-

Compared to the previous disclosure date of 30 June 2021, the capital ratios reported to the supervisory authorities2) (CET1, T1 and TC ratio) increased by 1.64 percentage points on average. This development was due to the € 1,178 million decline in RWAs and a simultaneous € 103 million decline in regulatory capital.

Besides differences in the timing of disbursements and the inclusion of eligible collateral pursuant to the CRR, the decline in RWAs - accompanied by a simultaneous increase in new business in the Structured Property Financing segment - was mostly driven by quality improvements in the existing commercial property finance portfolio and the further reduction of the non-performing loan portfolio.

  1. Calculation of the Leverage Ratio has changed with the first-time application of the CRR II as at 30 June 2021. As a result, the figures for the current disclosure date as well as for 30 June 2021 cannot be compared to the figures disclosed in columns c) to e).
  2. The capital ratios reported to the supervisory authorities differ from those communicated in the interim financial information, as Aareal Bank did not submit an application for an inclusion of profits to the ECB as at 30 September 2021.

This is an excerpt of the original content. To continue reading it, access the original document here.

Disclaimer

Aareal Bank AG published this content on 30 November 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 November 2021 08:13:02 UTC.

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