Regulatory Disclosure ­Report for Q3 2022

of Aareal Bank Group

Regulatory Disclosure Report for Q3 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

11 Imprint

Regulatory Disclosure Report for Q3 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 ­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 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).

EU KM1: Key metrics

a

b

c

d

e

30 Sep 2022

30 Jun 2022

31 Mar 2022

31 Dec 2021

30 Sep 2021

€ mn

Available own funds

1

Common Equity Tier 1 (CET1) capital1)

2,402

2,579

2,240

2,322

2,225

2

Tier 1 (T1) capital

2,702

2,879

2,540

2,622

2,525

3

Own funds

3,027

3,208

2,906

3,016

2,945

Risk-weighted exposure amounts

4

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

13,031

10,094

10,767

10,446

10,803

Capital ratios (as a percentage of risk-weighted

exposure amount)

5

Common Equity Tier 1 ratio (CET1 ratio)

18.43

25.55

20.81

22.23

20.59

6

Tier 1 ratio (T1 ratio)

20.74

28.52

23.59

25.10

23.37

7

Total capital ratio (TC ratio)

23.23

31.78

26.99

28.87

27.26

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

2.75

2.75

2.25

2.25

EU 7b

of which: to be made up of CET1 capital

1.55

1.55

1.55

1.27

1.27

EU 7c

of which: to be made up of Tier 1 capital

2.07

2.07

2.07

1.69

1.69

EU 7d

Total SREP own funds requirements

10.75

10.75

10.75

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

2.50

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

0.00

0.01

0.01

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

2.50

2.51

2.51

EU 11a

Overall capital requirements

13.27

13.26

13.25

12.76

12.76

12

CET1 available after meeting the total SREP own funds

requirements

12.19

19.50

14.76

16.46

14.83

1) The CET1 ratio (Basel IV phase-in ratio) was 19.4 % as at 30 September 2022. This is based on an underlying RWA estimate using the revised CRSA (phase-in) output floor,

>

­resulting from a "higher of" comparison with the RWA estimate based on the CRR in its current version plus revised AIRBA requirements for commercial property finance in line

with the European Commission's draft (dated 27 October 2021) for the European implementation of Basel IV, which will officially enter into force as of 1 January 2025.

Regulatory Disclosure Report for Q3 2022

Overview of Regulatory Key Metrics

5

a

b

c

d

e

30 Sep 2022

30 Jun 2022

31 Mar 2022

31 Dec 2021

30 Sep 2021

€ mn

Leverage ratio

13

Total exposure measure

50,172

48,802

48,047

47,724

45,803

14

Leverage Ratio (%)

5.39

5.90

5.29

5.49

5.51

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

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

3.00

3.00

3.00

Liquidity Coverage Ratio

15

Total high-quality liquid assets (HQLA) (weighted value - average)

7,175

6,750

6,775

6,643

6,695

EU 16a

Cash outflows - total weighted value

4,024

3,634

3,287

3,080

3,020

EU 16b Cash inflows - total weighted value

713

672

549

472

450

16

Total net cash outflows (adjusted value)

3,311

2,961

2,740

2,607

2,570

17

Liquidity coverage ratio (LCR) (%)

220.27

231.23

248.54

255.42

261.15

Net Stable Funding Ratio

18

Total available stable funding

35,252

35,166

32,273

33,011

34,997

19

Total required stable funding

30,141

30,901

27,523

27,064

29,807

20

NSFR (%)

116.95

113.80

117.26

121.98

117.41

Development of key metrics

Capital ratios and RWAs

Compared to the previous disclosure date of 30 June 2022, the capital ratios reported to the supervisory authorities (CET1, T1 and TC ratio) decreased by 7. 82 percentage points on average. This development was due to a € 2,937 million increase in RWAs and a simultaneous € 181 million decline in regulatory capital.

Besides the increase in new business in the Structured Property Financing segment and the mismatch between disbursements and the inclusion of eligible collateral pursuant to the CRR, main drivers of the RWA increase also included a deterioration in the macro-economic environment, alongside changes

in the existing commercial property­ finance portfolio. Furthermore, adjustments imposed by the ECB from its model audit led to an increase in RWAs.

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Disclaimer

Aareal Bank AG published this content on 29 November 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 November 2022 11:30:37 UTC.