FINANCIAL INSTITUTIONS

CREDIT OPINION Bayerische 8 June 2021 Update to credit analysis

Update Summary We assign Aa3(stable) deposit and senior unsecured debt ratings to Bayerische Landesbank (BayernLB), as well as A2 junior senior unsecured debt and Baa2 subordinate debt ratings. Further, we assign a baa2 Baseline Credit Assessment (BCA) and a baa1 Adjusted BCA.

BayernLB's Aa3 deposit and senior unsecured ratings reflect the bank's baa2 BCA, a one- RATINGS notch rating uplift from its membership in the institutional protection scheme of Sparkassen- Bayerische Landesbank 1 Domicile , Finanzgruppe (S-Finanzgruppe, Aa2 negative, a2 ), the application of our Advanced Loss Long Term CRR Aa3 Given Failure (LGF) analysis to its liabilities, which results in an extremely low loss given Type LT Counterparty Risk failure and one notch for government support, given its membership in the systemically Rating - Fgn Curr relevant S-Finanzgruppe. Outlook Not Assigned Long Term Debt Aa3 BayernLB's baa2 BCA reflects the bank's sound asset quality and risk-weighted capital Type Senior Unsecured - Fgn Curr ratios, as well as its ability to mitigate its partial dependence on wholesale market funding Outlook Stable through access to readily available and additional liquid resources. BayernLB's BCA remains Long Term Deposit Aa3 constrained by the bank's concentrated exposures to the commercial real estate (CRE) and Type LT Bank Deposits - Fgn Curr renewable energy sectors and by the low profitability of the bank's operations, excluding its Outlook Stable core subsidiary, Deutsche Kreditbank AG (DKB, A1/A1 stable, baa2)2. Furthermore, the bank's low level of nominal leverage continues to weigh on its overall financial profile. Our view of Please see the ratings section at the end of this report the bank's BCA could change if the current economic downturn leads to a sustained erosion for more information. The ratings and outlook shown reflect information as of the publication date. of BayernLB's solvency strengths.

Exhibit 1 Rating Scorecard - Key financial ratios Contacts BayernLB (BCA: baa2) Median baa2-rated banks Bernhard Held, CFA +49.69.70730.973 20% 60% VP-Sr Credit Officer 18% 54% [email protected] 16% 48% 14% 42% Liquidity Factors Alexander Hendricks, +49.69.70730.779 12% 36% CFA 10% 30% Associate Managing Director 8% 24% 6% 18%

[email protected] SolvencyFactors 4% 12% 1.1% » Contacts continued on last page 2% 17.3% 0.2% 53.7% 36.6% 6% 0% 0% Asset Risk: Capital: Profitability: Funding Structure: Liquid Resources: CLIENT SERVICES Problem / Tangible Common Net Income/ Market Funds/ Liquid Banking Gross Loans Equity/Risk-Weighted Tangible Assets Tangible Banking Assets/Tangible Assets Assets Banking Assets Americas 1-212-553-1653 Solvency Factors (LHS) Liquidity Factors (RHS) Asia Pacific 852-3551-3077 Source: Moody's Financial Metrics Japan 81-3-5408-4100 EMEA 44-20-7772-5454 MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths » Sound asset quality

» Sustainable high risk-weighted capitalisation

» Sound liquidity to balance its dependence on market funding

Credit challenges » High sector concentrations related to CRE and utilities

» Profitability challenged by low interest rates and cost pressures

» Partial dependence on wholesale funding

Outlook The outlook on the bank's ratings is stable and reflects our expectation that BayernLB's financial profile, particularly its overall solvency, will remain resilient and that the liability structure of the bank, which forms the basis for our Advanced LGF analysis, will benefit from a decline in tangible banking assets following the repayment of temporary drawings under the ECB's targeted longer-term refinancing operations. Factors that could lead to an upgrade » An upgrade of BayernLB's ratings would be likely in the event of an upgrade of the bank's BCA. BayernLB's junior senior unsecured and lower-ranking liabilities could also face upward rating pressure if the volume of the bank's subordinated instruments increases significantly compared with its tangible banking assets, which could result in an additional uplift from our Advanced LGF analysis. The bank’s deposit and senior unsecured ratings already benefit from the maximum possible rating uplift from our Advanced LGF analysis.

» An upgrade of BayernLB's baa2 BCA could result from a combination of a significant reduction in the bank's concentration risk (specifically with regard to its CRE exposures), a significant and sustained improvement in its capitalisation and a sustainable and sizeable improvement in groupwide profitability.

Factors that could lead to a downgrade » A downgrade of BayernLB's ratings could be triggered following a joint weakening of BayernLB's and S-Finanzgruppe's creditworthiness, a lowering of our cross-sector support assumptions or a reduction in the rating uplift as a result of our Advanced LGF analysis, in particular if the bank fails to restore the levels of volume and subordination its junior senior unsecured debt tranche benefitted from before the coronavirus outbreak.

» Downward pressure on the bank's BCA could occur because of a deterioration in the bank's combined solvency, especially if it results from an unexpected and sustained weakening in its capital adequacy metrics.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

2 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Key indicators

Exhibit 2 Bayerische Landesbank (Consolidated Financials) [1] 12-202 12-192 12-182 12-172 12-162 CAGR/Avg.3 Total Assets (EUR Billion) 246.9 220.3 215.7 209.8 204.9 4.84 Total Assets (USD Billion) 302.1 247.3 246.6 251.9 216.2 8.74 Tangible Common Equity (EUR Billion) 11.2 11.3 11.1 10.3 10.5 1.74 Tangible Common Equity (USD Billion) 13.8 12.7 12.7 12.4 11.1 5.64 Problem Loans / Gross Loans (%) 1.0 1.1 1.3 2.6 2.7 1.75 Tangible Common Equity / Risk Weighted Assets (%) 17.3 17.5 16.9 16.8 16.1 16.96 Problem Loans / (Tangible Common Equity + Loss Reserve) (%) 11.8 13.4 15.0 30.8 30.4 20.35 Net Interest Margin (%) 0.8 0.8 0.8 0.8 0.7 0.85 PPI / Average RWA (%) 1.0 0.9 1.1 1.1 0.9 1.06 Net Income / Tangible Assets (%) 0.2 0.2 0.3 0.3 0.2 0.25 Cost / Income Ratio (%) 71.5 73.0 68.7 69.3 70.3 70.55 Market Funds / Tangible Banking Assets (%) 53.7 50.7 50.2 48.4 44.2 49.45 Liquid Banking Assets / Tangible Banking Assets (%) 36.6 30.9 32.4 32.1 30.0 32.45 Gross Loans / Due to Customers (%) 180.2 195.7 185.9 176.8 155.3 178.85 [1] All figures and ratios are adjusted using Moody's standard adjustments. [2] Basel III - fully loaded or transitional phase-in; IFRS. [3] May include rounding differences because of the scale of reported amounts. [4] Compound annual growth rate (%) based on the periods for the latest accounting regime. [5] Simple average of periods for the latest accounting regime. [6] Simple average of Basel III periods. Sources: Moody's Investors Service and company filings

Profile Bayerische Landesbank (BayernLB) is a German universal bank, 75% owned by the Free State of (Bavaria, Aaa stable)3 and 25% owned by the Association of Bavarian Savings Banks, offering financial products and services to retail customers, medium-sized and large corporate clients and real estate customers. BayernLB fully consolidates DKB, a commercial bank that conducts public-sector, corporate and online retail operations, and Bayerische Landesbodenkreditanstalt (BayernLabo, Aaa/Aaa stable4), a Bavarian regional development bank. Please refer to the latest Credit Opinions5 of these subsidiaries for a discussion of their particular profiles and credit drivers.

BayernLB focuses on three main segments: DKB, Real Estate & Savings Banks/Financial Institutions and Corporates & Markets. DKB serves as a tech bank and partner on sustainability topics for BayernLB's customers. Real Estate & Savings Banks/Financial Institutions provides real estate lending, functions as central bank to the Bavarian savings banks and is a partner to public sector and financial institutions. Corporates & Markets provides support in structured asset finance, corporate lending and select capital markets products mainly to companies from the energy, mobility, technology, manufacturing and engineering and construction and basic resources industries.

BayernLB provides its services from its head office in Munich, through international branches in New York, London, Milan and Paris, as well as domestic offices in Düsseldorf, Berlin, Frankfurt, Hamburg, Stuttgart and Leipzig, and through its branch office in Nuremberg. As of 31 December 2020, BayernLB had 8,532 employees.

BayernLB reported consolidated assets of €256 billion6 as of 31 December 2020 and is a member of S-Finanzgruppe. For more information, please see BayernLB's Issuer profile and our German Banking System Profile.

Weighted Macro Profile of Strong (+) BayernLB's lending business has a strong domestic focus, with 83% of its gross lending volume located in Germany as of 31 December 2020. Most exposures outside Germany are in Europe (11% of total gross lending volume) and North America (4%). Hence the bank's Macro Profile is aligned with Germany's Macro Profile.

3 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Recent developments All G-20 countries sustained severe output losses in 2020, but the contraction in some economies is sharper than in others. We expect the pace of improvement to be asymmetric across countries. The recovery path is beset by uncertainty and will remain highly dependent on the development and distribution of vaccines, effective pandemic management and government policy support.

The European Central Bank (ECB) introduced a series of measures to help European Union (EU) economies weather the widening effects of the pandemic, temporarily increasing banks’ liquidity provisions and lowering regulatory capital and liquidity requirements. As part of these temporary measures, the ECB increased its targeted longer-term refinancing operations (TLTRO III) under more favourable terms, as well as its financial asset purchase programme, while refraining from lowering the ultralow interest rates. The temporary suspension of buffer requirements for regulatory capital and the liquidity coverage ratio (LCR) gives banks greater flexibility and additional leeway to absorb coronavirus-induced economic strains, such as asset-quality declines. Overall, the package aims to help banks continue to finance companies and small and medium-sized enterprises (SMEs) suffering from the effects of the pandemic. The ECB’s measures will provide limited relief for banks and their borrowers, and it will require continued significant fiscal policy measures by the EU and its member states to avert higher default rates in banks’ lending books.

The Government of Germany (Aaa stable) launched a large stimulus package, and its support has been crucial for corporate borrowers in industries immediately hurt by the pandemic, such as the airlines, tourism, retail and shipping sectors, as well as smaller companies experiencing weak liquidity and high leverage. The scale of the support package is unprecedented and is far larger than the support provided during the 2008-09 financial crisis. At the same time, the government made it easier to access its furlough scheme and extended it to a broader pool of workers, which will limit the spike in unemployment and the fall in domestic consumption. The measures, which are adapted to the evolution of the economic effects of the pandemic, add to Germany's already expansionary fiscal policy stance, as well as to the automatic stabilisers that support household incomes when unemployment increases.

On 14 May, BayernLB reported updated financials for first quarter 2021. The bank's reported total assets increased by €30 billion during the quarter to €286 billion, partly as a result of an additional drawing under the ECB's TLTRO III programme, which drove up liabilities to banks by €17 billion.

At the same time, risk-weighted assets (RWA) increased only by €0.8 billion since year-end 2020 to €65.8 billion as of 31 March. BayernLB's regulatory Common Equity Tier 1 (CET1) ratio declined to a still strong 15.4% from 15.9% as of December 2020, which remains safely above the CET1 SREP requirement of 9.5%.

A net release of loan loss provisions of €32 million during Q1 (Q1 2020: €72 million of loan loss provisions) points to an overall still low problem loan ratio. Besides the significant swing in loan loss provisioning, BayernLB's reported €112 million net result for Q1 (minus €152 million in Q1 2020) was also supported by a marked improvement in pre-provision income. Net interest income improved by €50 million to €476 million, reflecting the supportive effect of low cost funding sourced through the ECB's TLTRO III. At the same time, higher market interest rate levels as of 31 March supported the bank's fair value result of €85 million (Q1 2020: minus €65 million, which reflected wider credit spreads). Stronger revenue further benefitted from an improved net fee result of €94 million (Q1 2020: €71 million).

Except for the marked increase in regulatory costs of €144 million (Q1 2020: €115 million) which the bank front-loaded as in prior years into Q1, operating costs grew only moderately year-over-year.

For 2021, BayernLB's management expects to report a pretax result above the €195 million reported for 2020, within a range of between €200 million and €400 million, of which the bank already achieved €164 million during Q1 2021. Detailed credit considerations BayernLB's asset quality is sound, but concentrated sector exposures make it vulnerable to the weak economic environment We assign an Asset Risk score of baa1 to BayernLB, four notches below the aa3 initial score, which takes into consideration the risks that are not captured by the bank's problem loan ratios — particularly sector concentration risks and market risks — for which we apply negative adjustments. We believe the bank's corporate lending book includes a moderate degree of vulnerabilities to the risks

4 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

originating from the coronavirus pandemic and we expect higher levels of problem loans over the course of 2021, when government support measures are reduced from the elevated levels of 2020.

BayernLB's main corporate sector concentration as of year-end 2020 was to the utilities sector, with an exposure of €25.6 billion. Of this, 62% related to granular exposures to the renewable energy sector, granted primarily by the bank's subsidiary DKB. On aggregate, BayernLB's consumer goods, tourism, wholesale and retail trade (€7.9 billion exposure as of year-end 2020) and logistics and aviation (€8.5 billion) exposures, which, in general, we consider highly vulnerable to the spread of the pandemic, comprised €16.3 billion of credit exposures. We understand the bank benefits from continued sound credit performance even within the aforementioned sectors that represented a still-manageable 145% of the bank's tangible common equity (TCE) as of December 2020.

Exhibit 3 Exhibit 4 BayernLB's lending and securities book is diversified across BayernLB's corporate lending exposures are also well diversified segments by industry, but an extended downturn would challenge its asset BayernLB's €313.4 billion of total credit exposures as of year-end 2020 split quality by segment BayernLB's €74.7 billion of corporate credit exposures as of year-end 2020 split by industry

Chemicals, Construction pharmaceuticals Retail 5% 11% & healthcare 6% Public sector Raw materials, 29% Utilities Financial oil & gas 34% institutions 7% 17% Automotive 7%

Manufacturing & engineering, aerospace & defence Logistics & aviation 9% Commercial Real Telecoms, media 11% Estate Corporates & technology Consumer goods, tourism, 19% 24% 10% wholesale & retail 11%

Source: Company report Each 15% of credit exposure represented around 1x the bank's TCE as of year-end 2020. Source: Company report

BayernLB is currently undergoing a transformation process scheduled to conclude in 2024. Under its strategic plan, the bank aims to build on the dynamic growth of its key direct banking subsidiary, DKB. This will be accompanied by a business focus on commercial real estate and select corporate sectors, which will transform the group further away from a full-fledged universal bank model. The plan involves significant investments to upgrade information technology systems and a significant reduction in its capital-markets-oriented businesses.

In line with its strategic focus, BayernLB expanded its commercial real estate portfolio by 7% since year-end 2019 to €59.3 billion, comprising over 5x the bank's TCE. This concentration is somewhat mitigated by BayernLB's pronounced focus on multifamily housing (€36.6 billion as of December 2020) focused on the German market, in which 88% of BayernLB's overall CRE exposure originates, and a large €22 billion sub-portfolio within the multifamily portfolio of lower-risk financings for social housing, sponsored by German municipalities. Subsegments with greater vulnerability to the pandemic include retail properties (€4.4 billion) and managed real estate (including logistics, hotels and social care, together accounting for €7.1 billion of exposures) as of January.

Despite the challenging economic environment, BayernLB's problem loans improved to 1.0% of gross loans (year-end 2019: 1.1%).

5 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Exhibit 5 BayernLB successfully decreased its legacy exposures, increased problem loan coverage reflects increase in general loan loss reserves

Problem Loans / Gross Loans Coverage ratio (right axis) 3.0% 80%

70% 2.5% 60% 2.0% 50%

1.5% 40%

30% 1.0% 20% 0.5% 10%

0.0% 0% 2016 2017 2018 2019 2020 The problem loan ratio is according to our definition. Sources: Company reports and Moody's Investors Service

Sound capital ratios BayernLB's financial strength is underpinned by its sound capital ratios and ability to generate capital through profit retention. We assign a Capital score of a3 to BayernLB, four notches below the aa2 initial score, because we include negative adjustments for the bank's high leverage; the adjustment further reflects our expectation of an increase in RWA in a deteriorating credit environment and regulatory deductions that have not been taken into consideration in the bank's TCE.

As of year-end 2020, BayernLB's TCE equalled 17.3% of its RWA (our key capital metric, year-end 2019: 17.5%). TCE has slightly dropped from €11.3 billion as of year-end 2019 to €11.2 billion, while RWA remained broadly unchanged at €65.0 billion from €64.6 billion as of year-end 2019.

In 2020, the gap between BayernLB's 17.3% TCE ratio and its 15.9% regulatory Common Equity Tier 1 (CET1) capital ratio decreased slightly. The €0.9 billion difference in absolute capital amounts between TCE and CET1 largely results from €0.7 billion of regulatory deductions related to promotional loans handed out by BayernLabo, a fully consolidated development bank within BayernLB that benefits from a guarantee on its liabilities from BayernLB's majority owner, the Free State of Bavaria.

The bank's fully loaded Tier 1 leverage ratio of 4.3% as of year-end 2020 slightly increased from 4.2% as of year-end 2019, after a decrease in H1 2020 to 3.7%. This increase was mainly because of CRR2 “Quick Fix”, which allowed banks to temporary exclude exposures to central banks from the calculation of their total risk exposures. Without the deduction from the denominator the leverage ratio would have remained at 3.7%.

We expect the regulatory leverage ratio to improve once the updated capital requirement regulation (CRR2) come into force, under which intra-sector and promotional lending exposures will be excluded from the ratio's denominator.

6 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Exhibit 6 Exhibit 7 BayernLB has maintained solid levels of capital BayernLB's Tier 1 capital requirements in detail

Pillar 1 - CET1 Pillar 1 - Tier 1 TCE ratio CET1 ratio (transitional) TCE leverage ratio Pillar 2 Capital conservation buffer 20% Countercyclical buffer O-SII buffer 17.5% 17.3% 12% 18% 16.9% 15.9% 15.9% 16% 15.2% 10.13% 10.13% 10% 14%

12% 8%

10% 6% 8% 5.1% 5.1% 6% 4.6% 4% 4%

2% 2%

0% 2018 2019 2020 0% 2020 2021 TCE = Tangible common equity (Moody's calculation). CET1 = Common Equity Tier 1 (after earnings appropriation). Tier 1 Pillar II represents 75% of the total Pillar II requirement. Sources: Company reports and Moody's Investors Service Source: Company reports

Profitability is challenged by low interest rates and the weak economic outlook We assign a b1 Profitability score, same as the initial score, reflecting our expectation that profitability will remain at modest levels within the challenging credit environment and as a result of the bank's ongoing transformation process. The b1 score also reflects the growing role of the more cost-efficient subsidiary, DKB, within the group.

BayernLB's 2020 results were hurt by the disruption caused by the pandemic, with the bank reporting a €195 million pretax profit, down from €656 million in 2019. The main drivers were higher risk provisioning and higher administrative costs, while revenue remained stable overall.

The bank's main revenue components improved slightly despite the economic downturn. Its 2020 net interest income was €1,772 million (up from €1,726 million in 2019) and net commission income was €331 million (up from €287 million in 2019). Gains from fair value measurement contributed €62 million to the pretax result, after a loss of €2 million in 2019. Other income declined to €75 million in 2020, down from €159 million as of year-end 2019. On aggregate, this has left 2020 revenue only marginally higher than a year before.

However, the bank set aside a net amount of €142 million in loan-loss provisions (2019: €251 million reversal) to cover credit risks from the pandemic. BayernLB benefitted from the reversal of €195 million of provisions booked for legacy cases, whereas the bank added €266 million in post-model adjustments to its general loan loss reserves. Other cost drivers were administrative expenses, which increased year over year by €74 million to €1,520 million as a result of capital spending on DKB's expansion strategy and a temporary increase in costs associated with workforce reduction, which will lower BayernLB's costs in the long run. Finally, expenses for the bank levy and deposit guarantee scheme increased to €161 million (2019: €134 million).

BayernLB's already-high dependence on interest income has increased with the growth of its main earnings contributor, DKB, which accounted for a pretax profit of €264 million included in the group's earnings in 2020. At the same time, DKB's relative earnings stability will continue to reduce earnings volatility, and with its superior cost-income dynamics, the subsidiary will help mitigate revenue and cost pressures in the group's Munich-based operations.

7 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Exhibit 8 Loan-loss provisioning and administrative expense drove 2020 profit lower

Net interest Income Net fees and commissions income Trading & other income Admin. Expenses Risk provisions Extraordinary income and expense Pre-tax profit 3

2

0.7 0.6 1 0.5 0.5 0.5 0.4

0 € million -1

-2

-3 2015 2016 2017 2018 2019 2020 Sources: Company reports, Moody's Financial Metrics and Moody's Investors Service estimates

BayernLB's funding profile remains partly dependent on wholesale markets We assign a Funding Structure score of baa3 to BayernLB, six notches above the b3 initial score, which includes positive adjustments for the bank's pass-through concessionary funding from Germany's development banks, included in interbank liabilities. We also assume BayernLB will repay the temporarily elevated drawings under the ECB's TLTRO III, which will result in a reversal of currently increased market funding and liquidity ratio.

Exhibit 9 BayernLB's dependence on market funding increased in 2020 Composition of funding sources

Equity Other liabilities Trading liabilities Issued securities Interbank Deposits Market Funds Ratio*

100% 90% 80% 70% 60% 50% 54% 40% 48% 50% 51% 44% 30% 20% 10% 0% 2016 2017 2018 2019 2020

*Market funds ratio = market funds/tangible banking assets. Sources: Company reports and Moody's Investors Service

Although BayernLB's €152 billion of gross customer loans far exceeded the group's €92 billion of customer deposits (sourced primarily through DKB) as of year-end 2020, the bank's actual reliance on wholesale funds reduced through the use of €35 billion of funding from development banks (primarily through its in-house regional development bank, BayernLabo) and through covered bonds issued by BayernLB and DKB (€29 billion of outstanding issuances between them as of year-end 2020).

As of December 2020, BayernLB reported €30.3 billion of junior senior unsecured liabilities, of which €19.2 billion had been placed as bearer bonds and the remainder had been sourced through private placement products (registered bonds and promissory notes). In addition, more than a third of the group's €5.4 billion of senior unsecured liabilities outstanding has been sourced through private placement products, which further mitigates the bank's overall reliance on wholesale funding.

In 2020, the balance sheet increase of €30.3 billion was primarily funded through deposits and interbank borrowing. Among interbank sources, participation in the ECB's TLTRO III lending programme was the main driver of an increase to €70.4 billion as of 31 December

8 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

2020, up from €46.3 billion as of year-end 2019. We consider the group's €27 billion of TLTRO III funding sourced during 2020 to be predominantly of a temporary nature and very likely to be repaid to a substantial degree when the ECB stops offering its currently very attractive terms. In 2020, customer deposits, too, increased to €102.3 billion, up from €92.7 billion.

BayernLB's sound liquidity reserves mitigate funding risks BayernLB's sound liquidity is reflected in its assigned Liquidity score of baa1. Our negative adjustment from the a1 initial score includes adjustments for encumbered liquid assets used as collateral and pass-through interbank claims related to promotional loans, as well as our expectation that the currently high liquidity levels will not be sustained once TLTRO funding is repaid.

Exhibit 10 BayernLB's liquid resources have increased moderately Composition of liquid assets

Other assets Loans Securities/Investments Interbank Cash Liquid Banking Asset Ratio* 100%

90%

80%

70%

60%

50% 37% 32% 40% 30% 32% 31% 30%

20%

10%

0% 2016 2017 2018 2019 2020 *Liquid banking assets ratio = liquid assets/tangible banking assets. Sources: Company reports and Moody's Investors Service

BayernLB's short-term liquidity gaps from funding mismatches are suitably covered by liquidity buffers. The bank's comfortable liquidity is illustrated by its LCR of 245% as of year-end 2020 (2019: 168%). The strongly improved metric was supported by a temporary increase in liquid resources in conjunction with the group's access to TLTRO III funding. As of 31 December 2020, BayernLB's cash balances grew to €9.3 billion from €8.5 billion as of year-end 2019.

BayernLB and DKB possessed significant issuance leeway, under their respective public-sector and mortgage covered programmes, of €16.5 billion as of December 2020 before the programmes would hit required minimum overcollateralisation levels to maintain their current Aaa ratings or the legal minimum of 2%. Environmental, social and governance (ESG) considerations In line with our general view on the banking sector, BayernLB has low exposure to environmental risks (see our environmental risks heat map7 for further information).

BayernLB's subsidiary DKB has a strong focus on conducting sustainable business with one of the largest renewables financing portfolio in Germany and refinances itself with green and social bond programmes. Thus, we evaluate the bank to have an overall low exposure to environmental risks.

For social risks, we also place BayernLB in line with our general view on the banking sector, which indicates a moderate exposure. This includes considerations in relation to the rapid and widening spread of the coronavirus pandemic, given the substantial implications for public health and safety and deteriorating global economic outlook, creating a severe and extensive credit shock across many sectors, regions and markets. For further information see our social risks heat map8).

Governance9 is highly relevant for BayernLB, as it is to all banks. However, we do not have any particular governance concern for BayernLB and we do not apply any corporate behaviour adjustment to the bank. Nonetheless, corporate governance remains a key credit consideration and continues to be a subject of our ongoing monitoring.

9 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Support and structural considerations Affiliate support BayernLB benefits from S-Finanzgruppe's cross-sector support, which reduces the probability of default because such support would be available for stabilising a distressed member bank and not just compensating for losses in resolution. Our assumption of high cross- sector support provides one notch of rating uplift, leading to an Adjusted BCA of baa1.

Loss Given Failure (LGF) analysis BayernLB is subject to the EU Bank Recovery and Resolution Directive, which we consider an operational resolution regime. Therefore, we apply our Advanced LGF analysis, where we consider the risks faced by the different debt and deposit classes across the liability structure should the bank enter resolution.

We assume residual TCE of 3%, losses post-failure of 8% of tangible banking assets, a 26% proportion of junior deposits, a 25% run-off of these before failure and a 5% run-off in preferred deposits. These metrics are in line with our standard assumptions.

» For BayernLB's deposits and senior unsecured debt, rated Aa3, our LGF analysis indicates an extremely low loss given failure, leading to a three-notch uplift from the bank's baa1 Adjusted BCA.

» For junior senior unsecured debt, rated A2, our LGF analysis temporarily indicates a low loss given failure, which however we expect to revert to a very low loss given failure once BayernLB's increased total assets normalise, leading to a two-notch uplift from its baa1 Adjusted BCA.

» For subordinated debt, rated Baa2, our LGF analysis indicates a high loss given failure, leading us to position the rating one notch below the baa1 Adjusted BCA.

Government support considerations Given its size on a consolidated basis, we consider S-Finanzgruppe domestically and systemically relevant. Therefore, we assume a moderate probability of German government support for all direct member banks of the sector's institutional protection scheme, in line with our support assumptions for other systemically relevant banking groups in Europe. For BayernLB, this results in an additional government support uplift of one notch for its long-term senior unsecured debt and deposit ratings.

Counterparty Risk Ratings (CRRs) CRRs are opinions of the ability of entities to honour the uncollateralised portion of non-debt counterparty financial liabilities (CRR liabilities) and also reflect the expected financial losses in the event such liabilities are not honoured. CRRs are distinct from ratings assigned to senior unsecured debt instruments and from issuer ratings because they reflect that, in a resolution, CRR liabilities might benefit from preferential treatment compared with senior unsecured debt. Examples of CRR liabilities include the uncollateralised portion of payables arising from derivatives transactions and the uncollateralised portion of liabilities under sale and repurchase agreements.

BayernLB's CRRs are positioned at Aa3/P-1 The CRRs, before government support, are positioned three notches above the Adjusted BCA of baa1, reflecting the extremely low loss given failure from the high volume of instruments that are subordinated to CRR liabilities. BayernLB's CRRs benefit from one notch of rating uplift based on government support, in line with our support assumptions on deposits and senior unsecured debt.

Counterparty Risk (CR) Assessment The CR Assessment is an opinion of how counterparty obligations are likely to be treated if a bank fails and are distinct from debt and deposit ratings in that they consider only the risk of default rather than both the likelihood of default and expected financial loss; and apply to counterparty obligations and contractual commitments rather than debt or deposit instruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performance obligations (servicing), derivatives (for example, swaps), letters of credit, guarantees and liquidity facilities.

10 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

BayernLB's CR Assessment is positioned at Aa3(cr)/P-1(cr) The CR Assessment, before government support, is positioned three notches above the Adjusted BCA of baa1, reflecting the extremely low loss given failure. BayernLB's CR Assessments benefit from one notch of rating uplift based on government support, which is in line with our support assumptions on deposits and senior unsecured debt. Methodology and scorecard The principal methodology used in rating BayernLB is our Banks methodology, published in March 2021.

About Moody's Bank Scorecard Our scorecard is designed to capture, express and explain in summary form our Rating Committee's judgement. When read in conjunction with our research, a fulsome presentation of our judgement is expressed. As a result, the output of our scorecard may materially differ from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strong divergence). The scorecard output and the individual scores are discussed in rating committees and may be adjusted up or down to reflect conditions specific to each rated entity.

11 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Rating methodology and scorecard factors

Exhibit 11 Bayerische Landesbank Macro Factors Weighted Macro Profile Strong + 100%

Factor Historic Initial Expected Assigned Score Key driver #1 Key driver #2 Ratio Score Trend Solvency Asset Risk Problem Loans / Gross Loans 1.1% aa3 ↓ baa1 Sector concentration Market risk Capital Tangible Common Equity / Risk Weighted Assets 17.3% aa2 ↔ a3 Nominal leverage Expected trend (Basel III - fully loaded) Profitability Net Income / Tangible Assets 0.2% b1 ↔ b1 Expected trend Return on assets Combined Solvency Score a2 baa2 Liquidity Funding Structure Market Funds / Tangible Banking Assets 53.7% b3 ↔ baa3 Extent of market Expected trend funding reliance Liquid Resources Liquid Banking Assets / Tangible Banking Assets 36.6% a1 ↔ baa1 Asset encumbrance Stock of liquid assets Combined Liquidity Score ba1 baa2 Financial Profile baa2 Qualitative Adjustments Adjustment Business Diversification 0 Opacity and Complexity 0 Corporate Behavior 0 Total Qualitative Adjustments 0 Sovereign or Affiliate constraint Aaa BCA Scorecard-indicated Outcome - Range baa1 - baa3 Assigned BCA baa2 Affiliate Support notching 1 Adjusted BCA baa1

Balance Sheet in-scope % in-scope at-failure % at-failure (EUR Million) (EUR Million) Other liabilities 110,562 44.8% 119,889 48.6% Deposits 91,436 37.0% 82,110 33.3% Preferred deposits 67,663 27.4% 64,280 26.0% Junior deposits 23,773 9.6% 17,830 7.2% Senior unsecured bank debt 5,449 2.2% 5,449 2.2% Junior senior unsecured bank debt 30,257 12.3% 30,257 12.3% Dated subordinated bank debt 1,654 0.7% 1,654 0.7% Junior subordinated bank debt 29 0.0% 29 0.0% Preference shares (bank) 2 0.0% 2 0.0% Equity 7,404 3.0% 7,404 3.0% Total Tangible Banking Assets 246,793 100.0% 246,793 100.0%

12 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Debt Class De Jure waterfall De Facto waterfall Notching LGF Assigned AdditionalPreliminary Instrument Sub- Instrument Sub- De Jure De Facto Notching LGF Notching Rating volume + ordination volume + ordination Guidance notching Assessment subordination subordination vs. Adjusted BCA Counterparty Risk Rating 25.4% 25.4% 25.4% 25.4% 3 3 3 3 0 a1 Counterparty Risk Assessment 25.4% 25.4% 25.4% 25.4% 3 3 3 3 0 a1 (cr) Deposits 25.4% 15.9% 25.4% 18.2% 3 3 3 3 0 a1 Senior unsecured bank debt 25.4% 15.9% 18.2% 15.9% 3 3 3 3 0 a1 Junior senior unsecured bank debt 15.9% 3.7% 15.9% 3.7% 1 1 1 2 0 a2 Dated subordinated bank debt 3.7% 3.0% 3.7% 3.0% -1 -1 -1 -1 0 baa2

Instrument Class Loss Given Additional Preliminary Rating Government Local Currency Foreign Failure notching notching Assessment Support notching Rating Currency Rating Counterparty Risk Rating 3 0 a1 1 Aa3 Aa3 Counterparty Risk Assessment 3 0 a1 (cr) 1 Aa3(cr) Deposits 3 0 a1 1 Aa3 Aa3 Senior unsecured bank debt 3 0 a1 1 Aa3 Aa3 Junior senior unsecured bank debt 2 0 a2 0 A2 A2 Dated subordinated bank debt -1 0 baa2 0 Baa2 Baa2 [1] Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information. Source: Moody’s Investors Service

13 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Ratings

Exhibit 12 Category Moody's Rating BAYERISCHE LANDESBANK Outlook Stable Counterparty Risk Rating Aa3/P-1 Bank Deposits Aa3/P-1 Baseline Credit Assessment baa2 Adjusted Baseline Credit Assessment baa1 Counterparty Risk Assessment Aa3(cr)/P-1(cr) Issuer Rating Aa3 Senior Unsecured Aa3 Junior Senior Unsecured A2 Junior Senior Unsecured MTN -Dom Curr (P)A2 Subordinate Baa2 Commercial Paper -Dom Curr P-1 Other Short Term -Dom Curr (P)P-1 DEUTSCHE KREDITBANK AG Outlook Stable Counterparty Risk Rating A1/P-1 Bank Deposits A1/P-1 Baseline Credit Assessment baa2 Adjusted Baseline Credit Assessment baa1 Counterparty Risk Assessment A1(cr)/P-1(cr) Issuer Rating A1 Senior Unsecured -Dom Curr A1 Junior Senior Unsecured -Dom Curr A2 ST Issuer Rating P-1 Source: Moody's Investors Service

14 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Endnotes 1 The ratings shown are S-Finanzgruppe's corporate family rating, outlook and BCA. 2 The ratings shown are DKB's deposit and issuer ratings, outlook and BCA. 3 The rating shown is Bavaria's issuer rating and outlook. 4 The ratings shown are BayernLabo's backed deposit and backed senior unsecured debt ratings and outlook. 5 These are available on the landing pages of the banks on our website. 6 Reported total assets are before our adjustments, including, but not limited to derivatives netting. 7 Environmental risks can be defined as environmental hazards encompassing the impact of air pollution, soil/water pollution, water shortages and natural and man-made hazards (physical risks). Additionally, regulatory or policy risks, such as the impact of carbon regulations or other regulatory restrictions, including the related transition risks such as policy, legal, technology and market shifts, that could impair the evaluation of assets are important factors. Certain banks could face a higher risk from concentrated lending to individual sectors or operations exposed to the aforementioned risks. 8 Social risk considerations include customer relations, human capital, demographic and social trends, health and safety and responsible production. The most relevant social risks for banks arise from the way they interact with their customers. Social risks are particularly high in the area of data and customer privacy, which are partially offset by sizeable technology investments and banks’ long track record of handling sensitive client data. Fines and reputational damage because of product mis-selling or other types of misconduct are further social risks. Social trends are also relevant in a number of areas, such as shifting customer preferences towards digital banking services, which increase information technology costs; ageing population concerns in several countries, which affects demand for ; or socially driven policy agendas that translate into regulations that affect banks’ revenue bases. 9 Corporate governance is a well-established key driver for banks and related risks are typically included in our evaluation of banks' financial profile. Further factors like specific corporate behaviour, key-person risk, insider and related-party risk, strategy and management risk factors and dividend policy may be captured in individual adjustments to the BCA, if deemed applicable. Corporate governance weaknesses can lead to a deterioration in a company’s credit quality, while governance strengths can benefit its credit profile. When credit quality deteriorates because of poor governance, such as breakdown in controls resulting in financial misconduct, it can take a long time to recover. Governance risks are also largely internal rather than externally driven.

15 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved. CREDIT RATINGS ISSUED BY MOODY'S CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS, AND PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS OR PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT INTENDED FOR USE BY ANY PERSON AS A BENCHMARK AS THAT TERM IS DEFINED FOR REGULATORY PURPOSES AND MUST NOT BE USED IN ANY WAY THAT COULD RESULT IN THEM BEING CONSIDERED A BENCHMARK. All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing its Publications. To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S. To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY CREDIT RATING, ASSESSMENT, OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER. Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.” Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY550,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

REPORT NUMBER 1280567

16 8 June 2021 Bayerische Landesbank: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Contacts CLIENT SERVICES

Vasil Mrachkov Bernhard Held, CFA Americas 1-212-553-1653 Associate Analyst VP-Sr Credit Officer Asia Pacific 852-3551-3077 Japan 81-3-5408-4100 EMEA 44-20-7772-5454

17 8 June 2021 Bayerische Landesbank: Update to credit analysis