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DEUTSCHE PFANDBRIEFBANK AG

(PBB)
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Deutsche Pfandbriefbank : Disclosure Report (31.12.2020 - LCR Correction 18.10.2021)

10/18/2021 | 09:42am EST

Disclosure Report as of 31 December 2020

Disclosure Report

In accordance with Regulation (EU) No. 575/2013 (CRR) in conjunction with Amending Regulation (EU) 2019/876

As of 31 December 2020

Disclosure Report as of 31 December 2020

Overview

Deutsche Pfandbriefbank Group (pbb Group)

All figures in € million, unless otherwise stated

Significant regulatory ratios

31.12.2020

31.12.2019

Change

Own funds (total capital, TC)

3,798

3,733

2%

Tier 1 capital (T1)

3,152

3,109

1%

Common equity tier 1 capital (CET1)

2,854

2,811

2%

Additional tier 1 capital (AT1)

298

298

0%

Tier 2 capital (T2)

646

624

4%

Risk weighted assets (RWA)

17,744

17,721

0%

Credit risk

16,765

16,703

0.4%

Credit risk (without counterparty credit risk)

16,308

16,184

1%

Counterparty credit risk

458

519

-12%

thereof: CVA risk

181

239

-24%

Market risk

98

148

-34%

Operational risk

881

870

1%

Capital ratios

Common equity tier 1 ratio ( (CET1 ratio)

16.1%

15.9%

+0.2 percentage points

Tier 1 ratio (T1 ratio)

17.8%

17.5%

+0.3 percentage points

Own funds ratio (Total capital ratio)

21.4%

21.1%

+0.3 percentage points

Capital buffers

Total capital buffer requirement

2.519%

2.836%

-0.317 percentage points

Institution-specific countercyclical capital buffer (ICCB)

0.019%

0.336%

-0.317 percentage points

Capital conservation buffer (CCB)

2.500%

2.500%

0 percentage points

Available CET1 capital after complying with the minimum capital requirements

2,056

2,014

2%

Leverage ratio

Tier 1 capital (T1)

3,152

3,109

1%

Total leverage ratio exposure

52,335

55,023

-5%

Leverage ratio

6.0%

5.6%

+0.4 percentage points

Asset encumbrance ratio

Encumbered assets and further used received collateral (median values)

38,239

38,863

-2%

Total assets and received collateral (median values)

59,128

59,712

-1%

Asset encumbrance ratio (median values)

64.7%

65.1%

-0.4 percentage points

Non-performing exposure (NPE)

Non-performing exposure (gross)

480

519

-8%

Total exposure (gross)

53,273

55,229

-4%

Non-performing exposure (NPE) ratio

0.9%

0.9%

0 percentage points

Non-performing loan (NPL) ratio

1.2%

1.2%

0 percentage points

Liquidity coverage ratio (LCR)

Liquidity buffer (twelve-month average values)

5,292

5,453

-3%

Total net cash outflows (twelve-month average values)

1,660

2,402

-31%

Liquidity coverage ratio (twelve-month average values)

325%

229%

+96 percentage points

  1. The values and figures of the liquidity coverage ratio shall be calculated in accordance with EBA/GL/2017/01 as simple averages of the end-of-month surveys over the 12 months preceding the end of each quarter. On 18 October 2021, the LCR amounts were corrected. The original publication of the Disclosure Report as of 31 December 2021 of 13 April 2021 was accordingly replaced.

Disclosure Report as of 31 December 2020

Contents

1

Introduction

5

2

Scope

13

2.1

Organisational and legal structure

13

2.2

Corporate governance principles

16

2.3

Remuneration policy

22

2.4

Regulatory and accounting consolidation

23

3

Own funds and assets

31

3.1

Structure of own funds

31

3.2

Countercyclical capital buffer

43

3.3

Own funds requirements

47

3.4

Capital ratios

52

3.5

Leverage ratio

54

3.6

Encumbered and unencumbered assets

58

4

Risk management and risk-oriented overall bank management

64

4.1

General organisation and risk management principles

65

4.2

Risk types

71

4.3

Economic capital and risk-bearing capacity

72

5

Credit risk

76

5.1

Management of credit risk (including counterparty credit risk)

76

5.2

General information concerning the credit risk

82

5.3

Credit risk mitigation techniques

106

5.4

Standardised approach

111

5.5

IRB approach

116

5.6

Counterparty credit risk

132

5.7

Shareholdings in the banking book

143

5.8

Securitisations

145

6

Market risk

146

6.1

Management of market risk

146

6.2

Own funds requirement for the market risk

150

6.3

Interest rate risk in the banking book

150

7

Liquidity and funding risk

153

7.1

Management of liquidity and funding risk

153

7.2

Liquidity risk development

155

7.3

Liquidity coverage ratio

156

Disclosure Report as of 31 December 2020

8

Operational risk

159

8.1

Management of operational risk

159

8.2

Operational risk profile

161

8.3

Own funds requirement for operational risk

161

9

Sustainability risks

162

10

Information regarding Covid-19 measures

166

11

Outlook

168

List of figures

169

List of tables

169

Note:

Numbers provided in the Disclosure Report are commercially rounded. Due to roundings, the sums shown in the tables may slightly differ from the arithmetic total of the individual amounts shown.

With regard to the CRR and CRR II/CRD IV and CRD V regulations (referred to uniformly in the following as "CRR" or "CRD" if and to the extent that statements are not made to the currently not yet valid regulations of CRR II or CRD V, which are then explicitly designated as "CRR II" or "CRD V"), there continues to be uncertainty regarding how some of the regulations are to be interpreted, and some of the related mandatory technical regulation standards are not yet available in their final version. Accord- ingly, we will continuously adapt our assumptions and models to reflect our understanding and our interpretation of the rules and also those of the sector. Accordingly, our CRR/CRD parameters may differ from our previous expectations. Our CRR/CRD parameters might also not be comparable with similar parameters designated by our competitors as their assumptions and assessments may differ from ours.

Disclosure Report as of 31 December 2020

Disclosure Report

  • Introduction

With the present Disclosure Report Deutsche Pfandbriefbank AG (pbb) implements the disclosure requirements under part 8 of Regulation (EU) No. 575/2013 (Capital Requirements Regulation; CRR) in conjunction with the Amending Regulation (EU) 2019/876 (so-called CRR II) and the Amending Regulation (EU) 2020/873 (Amendments as a result of the COVID-19 pandemic) for pbb and its downstream affiliates (pbb Group) as of 31 December 2020. pbb is the parent company of the regulatory group as defined in section 10a (1) sentence 1 of the German Banking Act (KWG) in conjunction with article 11 et seq. CRR and is thus responsible for regulatory disclosure requirements.

The disclosure requirements are set out in articles 431 to 455 CRR, additional requirements can be found in section 26a (1), sentence 1 of the German Banking Act (Kreditwesengesetz, "KWG"). In order to comply with these disclosure requirements, pbb has voluntarily applied the disclosure formats of the EBA/GL/2016/11 guidelines of the European Banking Authority (EBA) on disclosure requirements under part 8 of the CRR as well as the EBA/GL/2017/01 guidelines on LCR disclosure to complement the disclosure of liquidity risk management under article 435 CRR. On the other hand, the revised disclosure requirements according to part 8 of the CRR Amending Regulation (CRR II) will only be applicable starting 28 June 2021.

If a disclosure requirement necessitates the provision of information for the current and also for a previous reporting date (e.g. table EU OV1) or flow data for the reporting period (e.g. table EU CR8), pbb discloses this information in order to ensure better transparency and comparability of the disclosure tables as well as the uniformity of the Disclosure Report for the financial year 2020.

pbb Deutsche Pfandbriefbank

The pbb Group consists mostly of the parent company pbb. pbb has its registered offices in Munich/Garching, and is a leading specialist bank for financing of investments in commercial properties and public infrastructure in Europe and the USA, focusing on Pfandbrief-eligible business. The geographic focus within Europe is on Germany, France, the United Kingdom, the Nordic countries, on selected Central and Eastern European countries as well as on Spain and the Benelux countries.

In its core markets, the pbb Group has a local presence and know-how throughout the entire process chain: with real-estate experts, specialists in real-estate law and financing experts right through to supporting the loan exposures. The pbb Group actively utilises this local expertise in order also to support its customers in the case of international transactions, whereby central decisions are always taken by officers with Group responsibility.

pbb issues mortgage Pfandbriefe secured by property charges and public Pfandbriefe secured by public sector receivables and, measured in terms of outstanding volume, is one of the largest issuers of Pfandbriefe and is thus also an important issuer of covered bonds in Europe. The Pfandbrief market is characterised by high liquidity and a broad investor base (source: Verband Deutscher Pfandbriefbanken).

Since 16 July 2015, the shares of pbb have been listed in the Prime Standard of the regulated market of the Frankfurt Stock Exchange (Frankfurter Wertpapierbörse). The shares are traded on the SDAX®.

5

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

Disclaimer

Deutsche Pfandbriefbank AG published this content on 18 October 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 18 October 2021 13:41:02 UTC.


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Dagmar P. Kollmann Vice Chairman-Supervisory Board
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