Deutsche Pfandbriefbank : Alternative Performance Measures as of 31 December 2021

Alternative Performance Measures As of 31 December 2021

Deutsche Pfandbriefbank

Deutsche Pfandbriefbank AG Jahresabschluss 2021 1

Content

Deutsche Pfandbriefbank Group 3

Definitions and Usefulness 3

Reconciliation Statements 5

Deutsche Pfandbriefbank AG 7

Definitions and Usefulness 7

Reconciliation Statements 8

Imprint 9

Deutsche Pfand-briefbank Group

The consolidated financial statements as at 31 December 2021 are based on the International Financial Reporting Standards (IFRSs) as adopted in European law by the European Commis-sion as part of its endorsement process. Please refer to the Notes to the consolidated financial statements for further information on the accounting and measurement principles.

Definitions and Usefulness

RETURN ON EQUITY

AT1-coupon average equity excluding accumulated other com-prehensive income (OCI) from cash flow hedge accounting, financial assets at fair value through OCI, additional equity instruments (AT1 capital) and non-controlling interest

profit before tax attributable to shareholders lessnet income attributable to shareholders less AT1- coupon average equity excluding accumulated OCI from cash flow hedge accounting, financial assets at fair value through OCI, AT1 capital and non-controlling interest

Average equity excluding accumulated OCI from cash flow hedge accounting, financial assets at fair value through OCI and AT1 capital is the arithmetic mean based on the amount at the beginning of the year and the amounts as disclosed at the quarterly reporting dates of the cur-rent financial year. Equity excluding accumulated OCI from cash flow hedge accounting, finan-cial assets at fair value through OCI, AT1 capital and non-controlling interest comprises the following items: subscribed capital, additional paid-in capital, retained earnings and OCI from pension commitments.

Usefulness

pbb Group uses return on equity before (after) tax as most important key performance indicator (KPI) to measure profitability. Return on equity after tax is another KPI used in the internal managementsystem. However, the informative value of the respective KPI is limited by the fact that they represent rates (quota). Therefore, they do not provide information (and cannot be used to draw conclusions) on the absolute amount of profit before tax (or net income) or aver-age equity excluding accumulated OCI from cash flow hedge accounting, financial assets at fairvalue through OCI, AT1 capital and non-controlling interest. Moreover, non-recurring effects may have an influence on return on equity before and after tax without any long-term repercus-sions on pbb Group's profitability.

COST-INCOME RATIO Definition

Cost-income ratio =	general and administrative expenses and net in-come from write-downs and write-ups on non-financial assets
operating income

Operating income comprises the sum of net interest income, net fee and commission income, net income from fair value measurement, net income from realisations, net income from hedge accounting and net other operating income.

Usefulness

Cost-income ratio is used within pbb Group as most important key indicator to monitor cost discipline and efficiency, and is defined as KPI in the internal management system. However, the informative value of the cost-income ratio is limited by the fact that it represents a rate (quo-ta). Therefore, it does not provide information (and cannot be used to draw conclusions) on the absolute amount of general and administrative expenses, net income from write-downs and write-ups on non-financial assets or operating income. Non-recurring effects may have an influ-ence on the cost-income ratio through income and expenses without any long-term repercus-sions on pbb Group's efficiency.

FINANCING VOLUMES Definition

Financing volume is the notional amount of the drawn parts of granted loans and the securities portfolio (customer business). The financing volume includes "Financial assets at fair value through profit or loss", Financial assets at fair value through other comprehensive income" and "Financial assets at amortised cost after credit loss allowances".

The average financing volume is the arithmetic mean based on the value at the beginning of the year and the values at the quarterly reporting dates of the current financial year.

Usefulness

The financing volumes of the strategic segments Real Estate Finance is defined as financial KPIs in the internal management system. The financing volume is a significant factor influencing the future earning power of pbb Group, since it represents the interest-bearing part of active customer business. New business volume, as well as repayments, are the main drivers for the financing volume. However, new business volume provides only a limited basis from which to draw conclusions regarding financing volume amounts, since pbb Group's influence on repay-ments is limited. In addition, financing volumes are subject to foreign exchange rate movements beyond pbb Group's sphere of influence.

Reconciliation Statements

RETURN ON EQUITY BEFORE TAX AND AFTER TAX

Return on equity reconciliation

1 January to 31 December 2021

in € million (if not otherwise stated) Equity

Less accumulated OCI from cash flow hedge ac-counting, financial assets at fair value through OCI, AT1 capital and non-controlling interest

Equity excluding accumulated OCI from cash flow hedge accounting, financial assets at fair value through OCI, AT1-Kapital and non-controlling interest

Calculation

Annualised profit before tax attributable to sharehold- ers less AT1-coupon

Annualised net income attributable to shareholders less

AT1-coupon

Average equity excluding accumulated OCI from cash flow hedge accounting, financial assets at fair value through OCI, AT1 capital and non- controlling interest

Return on equity before tax (in %)

Return on equity after tax (in %)

1.1.2021

31.3.2021

30.6.2021

30.9.2021 31.12.2021

Reconciliation Statements

3,294

3,335

3,341

3,397

3,425

-347

-335

-328

-320

-317

2,947

3,000

3,013

3,077

3,108 2021

226 212

3,029

7.5

7.0

Return on equity reconciliation 1 January to 31 December 2020 in € million (if not otherwise stated) Equity

Less accumulated OCI from cash flow hedge ac-counting, financial assets at fair value through OCI and AT1 capital

Equity excluding accumulated OCI from cash flow hedge accounting, financial assets at fair value through OCI and AT1-Kapital

1.1.2020

31.3.2020

30.6.2020

30.9.2020 31.12.2020

3,217

3,225

3,217

3,256 3,294

-371

-362

-361

-359 -347

2,846

2,863

2,856

2,897 2,947

Calculation 2020

Annualised profit before tax less

AT1-coupon 134 Annualised net income less

AT1-coupon 104 Average equity excluding accumulated OCI from cash flow hedge accounting, financial

assets at fair value through OCI and AT1 capital 2,882 Return on equity before tax

(in %) 4,6 Return on equity after tax

(in %) 3,6