AAREAL BANK AG

ARL
Real-time Estimate Quote. Real-time Estimate  - 08/17 02:50:10 am
32.88EUR -0.12%

Aareal Bank : Regulatory Disclosure Report for Q1 2022 of Aareal Bank Group

06/03/2022 | 06:32am

Regulatory Disclosure ­Report for Q1 2022

of Aareal Bank Group

Regulatory Disclosure Report for Q1 2022

  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 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

-

  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 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).

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 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.

© Publicnow 2022
Copier lien
All news about AAREAL BANK AG
4d ago
6d ago
7d ago
7d ago
7d ago