Deutsche Pfandbriefbank : Disclosure Report (31.12.2021 - LCR Correction 21.09.2022)

Overview

Organisational and legal structure

EU KM1: Key metrics

Disclosure Report

In accordance with Part 8 of the Capital Requirements Regulation (CRR)

as of 31 Dezember 2021

Deutsche Pfandbriefbank Group

Konzern Deutsche Pfandbriefbank

Geschäftsbericht 2018

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Overview

Deutsche Pfandbriefbank Group ("pbb Group")

EU KM1: Key metrics

		a	b	c	d
All figures in € million, unless otherwise stated	31.12.2021	30.09.2021	30.06.2021	31.12.2020
	Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital	2,875	2,703	2,777	2,854
2	Tier 1 capital	3,173	3,001	3,074	3,152
3	Total capital	3,766	3,594	3,693	3,798
	Risk-weighted exposure amounts
4	Total risk-weighted exposure amount	16,792	18,116	17,992	17,744
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)	17.1	14.9	15.4	16.1
6	Tier 1 ratio (%)	18.9	16.6	17.1	17.8
7	Total capital ratio (%)	22.4	19.8	20.5	21.4
	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 exces-	2.5	2.5	2.5	2.5
sive leverage (%)
EU 7b	thereof: to be made up of CET1 capital (percentage points)	1.4	1.4	1.4	1.4
EU 7c	thereof: to be made up of Tier 1 capital (percentage points)	1.9	1.9	1.9	1.9
EU 7d	Total SREP own funds requirements (%)	10.5	10.5	10.5	10.5
	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
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 (%)	0.02	0.02	0.02	0.02
EU 9a	Systemic risk buffer (%)	-	-	-	-
10	Global Systemically Important Institution buffer (%)	-	-	-	-
EU 10a	Other Systemically Important Institution buffer (%)	-	-	-	-
11	Combined buffer requirement (%)	2.52	2.52	2.52	2.52
EU 11a	Overall capital requirements (%)	13.02	13.02	13.02	13.02
12	CET1 available after meeting the total SREP own funds requirements (%)	11.0	8.7	9.2	9.9
	Leverage ratio 2)
13	Total exposure measure	52,549	52,758	52,386	52,335
14	Leverage ratio (%) 3)	6.0	5.7	5.9	6.0
	Additional own funds requirements to address the risk of excessive lever-
	age (as a percentage of total exposure measure)
EU 14a	Additional own funds requirements to address the risk of excessive leverage (%)	-	-	-	-
EU 14b	thereof: to be made up of CET1 capital (percentage points)	-	-	-	-
EU 14c	Total SREP leverage ratio requirements (%)	3.1	3.1	3.1	-
	Leverage ratio buffer and overall leverage ratio requirement (as a percent-
	age of total exposure measure)
EU 14d	Leverage ratio buffer requirement (%)	-	-	-	-
EU 14e	Overall leverage ratio requirements (%)	3.1	3.1	3.1	-
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value - average)	5,808	5,778	5,728	5,292
EU 16a	Cash outflows - Total weighted value	2,346	2,269	2,211	2,171
EU 16b	Cash inflows - Total weighted value	370	414	512	510
16	Total net cash outflows (adjusted value)	1,978	1,855	1,699	1,660
17	Liquidity coverage ratio (%)	308	321	347	325
	Net Stable Funding Ratio 4)
18	Total available stable funding	49,695	49,121	49,963	-
19	Total required stable funding	42,084	42,284	42,078	-
20	NSFR ratio (%)	118	116	119	-

1. As the EU KM1 table pursuant to Article 447 of the CRR was disclosed for the first time as at 30 June 2021, data is not yet shown for all prior periods T-1 to T-4
   in accordance with Implementing Regulation (EU) 2021/637 (Pillar 3 framework), Annex II. Until the application of the CRR II regulations (effective from 28 June 2021), pbb Group published disclosures as at the reporting dates of 30 June and 31 December of each financial year. Since 30 June 2021, pbb Group has made quarterly disclosures in accordance with Article 433a of the CRR.
2. CRR II revamped the regulations on the leverage ratio, which is why the leverage ratios reported since 30 June 2021 and the leverage ratio as at 31 December 2020 are only comparable to a limited extent.
3. The Leverage Ratio as of 31 December 2021 was corrected to 6.0 %. The original publication of the Disclosure Report as of 31 December 2021 of 22 April 2022 was accordingly replaced.
4. As the Net Stable Funding Ratio (NSFR) was disclosed for the first time as at 30 June 2021, no values are shown for the 31 December 2020 disclosure date.

Note:

The monetary values shown in this Disclosure Report are stated in millions of euros in accordance with Article 19 no. 4 of Implementing Regulation (EU) 2021/637. The figures have been rounded in line with standard commercial practice. Rounding means that the totals shown in the tables may differ slightly from the totals calculated by adding up the individual values shown. Individual values of less than €500,000 are not shown due to commercial rounding; these are shown as zero or as zero balances indicated by a hyphen. The principle of materiality pursuant to Article 432 (1) of the CRR is observed when disclosing information.

With regard to the CRR and CRR II/CRD IV and CRD V regulations (hereinafter referred to uniformly as "CRR" and "CRD" respectively if and to the extent that no statements are made on the CRR II and CRD V provisions that have been applicable for the first time since 28 June 2021; such statements shall then make explicit reference to "CRR II" and "CRD V"), uncertainty remains as to how some of the regulations are to be interpreted, and the final versions of some of the related mandatory regulatory technical standards are still unavailable. As a result, we will adjust our assumptions and models on an ongoing basis as our understanding and interpretation of the rules, and those of the sector as a whole, evolve. With this in mind, our current CRR/CRD metrics may not be comparable to our previous expectations. Our CRR/CRD metrics may also not be comparable to metrics reported by our competitors with similar designations, as their assumptions and estimates may differ from our own.

Contents

Introduction

Introduction

Deutsche Pfandbriefbank ("pbb")

Deutsche Pfandbriefbank Group ("pbb Group") consists primarily of the parent entity Deutsche Pfandbriefbank AG ("pbb"). pbb, which has its registered office in Munich/Garching, is a specialist lender for commercial real estate finance and public investment finance in Europe and the United States of America, focusing on business eligible for inclusion in Pfandbrief cover. It issues Mortgage Pfandbriefe, collateralised by real property liens, as well as Public Sector Pfandbriefe, collateralised by claims against the public sector and, measured by outstanding volume, is one of the largest issuers of Pfandbriefe, which also makes it an important player in the European covered bond markets. In its core markets, pbb maintains a strong local presence for its clients, covering all functions of the financing process. Thanks to its loan structuring expertise, its cross- border business approach, and cooperation with other financing partners, pbb is in a position to provide complex financings as well as cross-border transactions.

pbb is listed in the Prime Standard segment of the Regulated Market at the Frankfurt Stock Exchange. Its shares are included in the SDAX® index.

pbb is classified as a significant supervised institution in a euro area member state under the Single Supervisory Mechanism (SSM), meaning that it is subject to direct supervision by the European Central Bank (ECB).

pbb is not, however, classed as a Global Systemically Important Institution (G-SII). Disclosure pursuant to Article 441 of the CRR (Indicators of global systemic importance) is not relevant for pbb Group.

Objective of the Disclosure Report

As the parent company of the regulatory group of institutions, pbb (LEI code: DZZ47B9A52ZJ6LT6VV95) is using this Disclosure Report to implement the disclosure requirements pursuant to Part 8 of the Capital Requirements Regulation, Regulation (EU) 2019/876 (CRR II) amending Regulation (EU) No 575/2013 (CRR I), for pbb and its subordinated affiliated companies (pbb Group) as at 31 December 2021.

Provisions on the disclosure requirements are set out in Articles 431 to 455 of the CRR; additional requirements can be found in section 26a (1) sentence 1 of the German Banking Act (Kreditwesengesetz, KWG). To comply with these disclosure re- quirements, pbb applies the uniform disclosure formats of the European Banking Authority (EBA) in accordance with Implementing Regulation (EU) 2021/637 (Pillar 3 framework). The reporting currency is the euro. The relevant disclosure period is from the end of 2020 to the end of 2021, although the reference period for certain tables and information may differ depending on the relevant disclosure cycle pursuant to Article 433a of the CRR. pbb is classed as a large institution pursuant to Article 4 (1) no. 146 of the CRR, meaning that it implements the frequency requirements pursuant to Article 433a of the CRR.

Unlike the annual report under commercial law, the Disclosure Report focuses primarily on the regulatory perspective. Together with pbb Group's Annual Report, it gives the reader a comprehensive overview of pbb Group's current risk profile and risk management. In accordance with Article 433a (1) (a) of the CRR, this Disclosure Report includes in particular information on:

• pbb Group's regulatory and balance sheet structure (scope)
• the principles of corporate governance
• own funds and capital ratios
• own funds requirements and risk-weighted exposure amounts
• debt and asset encumbrance
• pbb Group's general risk management system (risk management objectives and policy)
• risk management with regard to individual risk types.

Deutsche Pfandbriefbank Group

Disclosure Report as of 31.12.2021

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