Regulatory Disclosure Report for Q1 2022
of Aareal Bank Group
Regulatory Disclosure Report for Q1 2022
- Preface
- Overview of Regulatory Key Metrics
6 Risk-weighted Assets and Regulatory Capital Requirements
- RWA Developments for AIRBA Exposures
- Liquidity Coverage Ratio
13 Imprint
Regulatory Disclosure Report for Q1 2022 | 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 last 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 Regu lation (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 require ments 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 Q1 2022 |
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 and the SREP capital requirements as at 30 June 2021, their disclosure for the prior period is omitted.
EU KM1: Key metrics | |||||||||||||
a | b | c | d | e | |||||||||
31 Mar 2022 | 31 Dec 2021 | 30 Sep 2021 | 30 Jun 2021 31 Mar 2021 | ||||||||||
€ mn | |||||||||||||
Available own funds | |||||||||||||
1 | Common Equity Tier 1 (CET1) capital | 2,240 | 2,322 | 2,225 | 2,298 | 2,248 | |||||||
2 | Tier 1 (T1) capital | 2,540 | 2,622 | 2,525 | 2,598 | 2,548 | |||||||
3 | Own funds | 2,906 | 3,016 | 2,945 | 3,048 | 3,027 | |||||||
Risk-weighted exposure amounts1) | |||||||||||||
4 | Risk-weighted exposure amounts (Risk weighted assets, RWAs) | 10,767 | 10,446 | 10,803 | 11,981 | 11,906 | |||||||
Capital ratios | |||||||||||||
(as a percentage of risk-weighted exposure amount) | |||||||||||||
5 | Common Equity Tier 1 ratio (CET1 ratio) | 20.81 | 22.23 | 20.59 | 19.18 | 18.9 | |||||||
6 | Tier 1 ratio (T1 ratio) | 23.59 | 25.10 | 23.37 | 21.69 | 21.4 | |||||||
7 | Total capital ratio (TC ratio) | 26.99 | 28.87 | 27.26 | 25.44 | 25.4 | |||||||
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 | 2.75 | 2.25 | 2.25 | 2.25 | - | ||||||||
EU 7b | of which: to be made up of CET1 capital | 1.55 | 1.27 | 1.27 | 1.27 | - | |||||||
EU 7c | of which: to be made up of Tier 1 capital | 2.07 | 1.69 | 1.69 | 1.69 | - | |||||||
EU 7d | Total SREP own funds requirements | 10.75 | 10.25 | 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 | 2.50 | 2.50 | 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 | 0.00 | 0.01 | 0.01 | 0.01 | 0.0 | |||||||
EU 9a | Systemic risk buffer | - | - | - | - | - | |||||||
10 | Global Systemically Important Institution buffer | - | - | - | - | - | |||||||
EU 10a | Other Systemically Important Institution buffer | - | - | - | - | - | |||||||
11 | Combined buffer requirement | 2.50 | 2.51 | 2.51 | 2.51 | - | |||||||
EU 11a | Overall capital requirements | 13.25 | 12.76 | 12.76 | 12.76 | - | |||||||
12 | CET1 available after meeting the total SREP own funds | ||||||||||||
requirements | 14.76 | 16.46 | 14.83 | 13.42 | - | ||||||||
1) The RWAs disclosed in this report differ from those communicated in the interim financial information, which are based on an RWA estimate, using the revised AIRBA | > | ||||||||||||
for commercial property lending, based on the European Commission's draft for the European implementation of Basel IV dated 27 October 2021. |
Regulatory Disclosure Report for Q1 2022 | Overview of Regulatory Key Metrics | 5 |
a | b | c | d | e | |||||||
31 Mar 2022 | 31 Dec 2021 | 30 Sep 2021 | 30 Jun 2021 | 31 Mar 2021 | |||||||
€ mn | |||||||||||
Leverage Ratio2) | |||||||||||
13 | Total exposure measure | 48,047 | 47,724 | 45,803 | 45,607 | 45,049 | |||||
14 | Leverage Ratio (%) | 5.29 | 5.49 | 5.51 | 5.70 | 5.7 | |||||
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 | 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 requirement | 3.00 | 3.00 | 3.00 | 3.00 | - | |||||
Liquidity Coverage Ratio | |||||||||||
15 | Total high-quality liquid assets (HQLA) | ||||||||||
(weighted value - average) | 6,775 | 6,643 | 6,695 | 7,035 | 6,988 | ||||||
EU 16a | Cash outflows - total weighted value | 3,287 | 3,080 | 3,020 | 3,045 | - | |||||
EU 16b | Cash inflows - total weighted value | 549 | 472 | 450 | 447 | - | |||||
16 | Total net cash outflows (adjusted value) | 2,740 | 2,607 | 2,570 | 2,598 | 2,651 | |||||
17 | Liquidity coverage ratio (LCR) (%) | 248.54 | 255.42 | 261.15 | 271.66 | 265.02 | |||||
Net Stable Funding Ratio | |||||||||||
18 | Total available stable funding | 32,273 | 33,011 | 34,997 | 34,414 | - | |||||
19 | Total required stable funding | 27,523 | 27,064 | 29,807 | 29,667 | - | |||||
20 | NSFR (%) | 117.26 | 121.98 | 117.41 | 116.00 | - | |||||
- 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 disclosed as of this reporting date cannot be compared to the figures disclosed in column e.
Development of key metrics
Capital ratios and RWAs
Compared to the previous disclosure date of 31 December 2021, the capital ratios reported to the super visory authorities (CET1, T1 and TC ratio) decreased by 1.60 percentage points on average. This development was due to a € 321 million increase in RWAs and a simultaneous € 110 million decline in regulatory capital.
Besides the increase in new business in the Structured Property Financing segment, the RWA increase was mainly driven by the inclusion of own funds requirements for foreign currency risk (in contrast to the dis closure as at 31 December 2021) as well as higher credit valuation adjustment (CVA) risk. This was offset, inter alia, by quality improvements in the existing commercial property finance portfolio due to changed borrower probabilities of default (PD), as well as changes in loss given default (LGD).
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Aareal Bank AG published this content on 03 June 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 03 June 2022 10:31:03 UTC.