Commerzbank AG

FINANCIAL INSTITUTIONS

CREDIT OPINION30 April 2021

Update

RATINGS

Commerzbank AGDomicile Frankfurt am Main,

Germany

Long Term CRR A1

Type LT Counterparty RiskRating - Fgn Curr

Outlook Not Assigned

Long Term Debt A1

Type Senior Unsecured - FgnCurr

Outlook Negative

Long Term Deposit A1

Type LT Bank Deposits - FgnCurr

Outlook Stable

Please see the ratings section at the end of this reportfor more information. The ratings and outlook shownreflect information as of the publication date.

Contacts

Swen Metzler, CFA +49.69.70730.762VP-Sr Credit [email protected]

Alexander Hendricks,CFA

+49.69.70730.779

Associate Managing [email protected]

Carola Schuler [email protected]

» Contacts continued on last page

Commerzbank AGUpdate to credit analysis

SummaryCommerzbank AG's (Commerzbank) deposits ratings are A1 with stable outlook and itssenior unsecured debt ratings are A1 with negative outlook. We also assign Baa2 juniorsenior unsecured debt ratings, A1 Counterparty Risk Ratings (CRRs), and a Baseline CreditAssessment (BCA) of baa2 to Commerzbank.

Commerzbank A1 deposit and senior unsecured debt ratings reflect its baa2 Baseline CreditAssessment (BCA) and the application of our Advanced Loss Given Failure (LGF) analysis toits liabilities, which results in an extremely low loss-given-failure. We further incorporateone notch of rating uplift from government support, reflecting our view that there remainsa moderate probability of government support for junior depositors and senior unsecuredcreditors.

Commerzbank's baa2 BCA reflects the bank's de-risked balance sheet displaying solid assetquality, its sound balance-sheet liquidity and adequate capitalisation, further supportedby a moderate dependence on confidence-sensitive market funding. The bank's BCA alsotakes account of the bank's very low profitability owing to the persistent low interest-rateenvironment and its low efficiency metrics.

Exhibit 1

Rating Scorecard - Commerzbank AG - Key financial ratios

2.0% 12.4%

-0.3%

26.9% 33.9%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Asset Risk:Problem Loans/

Gross Loans

Capital:Tangible Common

Equity/Risk-WeightedAssets

Profitability:Net Income/

Tangible Assets

Funding Structure:Market Funds/

Tangible BankingAssets

Liquid Resources:Liquid Banking

Assets/TangibleBanking Assets

Solvency Factors (LHS) Liquidity Factors (RHS)

Commerzbank AG (BCA: baa2) Median baa2-rated banks

So

lve

ncy F

acto

rs

Liq

uid

ity F

acto

rs

Note: Data as of year-end 2020 in accordance with our Bank methodology.Source: Moody's Financial Metrics

This document has been prepared for the use of Patricia Novak and is protected by law. It may not be copied, transferred or disseminated unlessauthorized under a contract with Moody's or otherwise authorized in writing by Moody's.

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MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths

» Sound asset quality with credit exposures largely focused on stable German and European economies, mitigated by litigation risksfrom Swiss-franc mortgages at its Polish subsidiary

» Solid capital buffers to cover for unforeseen risks

» Ample liquidity supported by the ECB's refinancing programmes, mitigated by moderate asset encumbrance

Credit challenges

» Execution risks to achieve ambitious targets under its updated transformation plan, exacerbated by implementation amid anongoing global pandemic

» Restoring adequate risk-adjusted profitability to strengthen Commerzbank's position as leading commercial bank in Germany

» Moderate market funding dependence balanced by sizeable and growing deposits

Outlook

» The stable outlook on Commerzbank's deposit ratings reflects our view that the bank will be able to sustain its standalone creditprofile.

» The negative outlook on Commerzbank's long-term senior unsecured debt and issuer ratings reflects uncertainty regarding thebank's future liability structure. In particular, the negative outlook reflects our assessment of uncertainties around Commerzbank'sfull delivery on the bank's medium-term funding plan, uncertainty of the future balance sheet development in particular as regardsto lending volumes, and uncertainty as to the bank's repayment plans for participation in the ECB's TLTRO III.

Factors that could lead to an upgrade

» Commerzbank's ratings could be upgraded as result of an upgrade of its BCA. Upward pressure on Commerzbank's BCA couldbe prompted by a combination of (1) a significant and sustained improvement in its risk-weighted capitalisation and leverageratio; (2) a further improvement in its asset quality, in particular through sustained lower sector and geographical concentrations;(3) a persistent and significant strengthening of the bank's profitability across economic cycles; and (4) a material decrease inCommerzbank's moderate reliance on wholesale funding sources, coupled with a further buildup of high-quality liquid assets.

» In addition, junior senior unsecured and subordinated instrument ratings could be upgraded if Commerzbank issued sizeablevolumes of liabilities specifically designated to absorb losses in resolution, in particular subordinated bonds such that this materiallyreduces our current expected loss assumption for these instrument classes.

Factors that could lead to a downgrade

» Downward pressure on Commerzbank's ratings could be exerted as a result of (1) a downgrade of its BCA; and (2) a further shift inits liability structure that results in decreasing volumes of bail-inable debt instruments, which results in an increase in the expectedloss and which can result in fewer notches of rating uplift from our Advanced LGF analysis.

» Downward pressure on Commerzbank's BCA could be exerted following (1) a weakening of the operating environment in Germany;(2) a large increase in Commerzbank's dependence on confidence-sensitive market funding; (3) a significant reduction in the bank'sliquid resources; and (4) a significant deterioration in Commerzbank's solvency profile, through a weakening of its asset quality andcapital 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 onwww.moodys.com for the most updated credit rating action information and rating history.

2 30 April 2021 Commerzbank AG: Update to credit analysis



Key indicators

Exhibit 2

Commerzbank AG (Consolidated Financials) [1]

12-202 12-192 12-182 12-172 12-162 CAGR/Avg.3

Total Assets (EUR Billion) 460.8 417.5 416.7 399.5 408.2 3.14

Total Assets (USD Billion) 563.8 468.6 476.4 479.7 430.5 7.04

Tangible Common Equity (EUR Billion) 22.8 24.9 24.3 25.8 26.0 (3.2)4

Tangible Common Equity (USD Billion) 27.9 28.0 27.7 30.9 27.4 0.54

Problem Loans / Gross Loans (%) 2.0 1.6 1.7 2.6 3.4 2.35

Tangible Common Equity / Risk Weighted Assets (%) 12.4 13.3 13.1 15.1 13.7 13.56

Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 18.5 13.8 14.3 19.3 23.3 17.85

Net Interest Margin (%) 1.1 1.2 1.1 1.0 1.0 1.15

PPI / Average RWA (%) 0.9 0.9 0.9 0.7 1.0 0.96

Net Income / Tangible Assets (%) -0.3 0.3 0.2 0.0 0.3 0.15

Cost / Income Ratio (%) 79.5 80.4 81.4 85.1 79.0 81.15

Market Funds / Tangible Banking Assets (%) 26.9 21.4 23.3 24.0 27.7 24.65

Liquid Banking Assets / Tangible Banking Assets (%) 33.9 26.9 29.7 33.6 35.8 32.05

Gross Loans / Due to Customers (%) 85.2 89.7 86.4 86.1 85.1 86.55

[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 thescale 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

ProfileCommerzbank AG is one of Germany's largest commercial banks, which primarily focuses on the German and Polish banking markets.As of year-end 2020, Commerzbank reported consolidated asset of €507 billion (2019: €463 billion), representing around 5.6% ofGermany's total banking system (2019: 5.5%).

Commerzbank's main business segments are Private and Small Business Customers (PSBC) and Corporate Clients (CC). Commerzbankcommands strong market positions in financing German companies, in the foreign exchange and trade finance business, and alsoprovides a wide range of capital market products and services. Group-wide, Commerzbank serves around 17 million private and smallbusiness customers, as well as around 60,000 corporate clients through a network of around 800 branches in Germany and 437foreign branches, including its Polish subsidiary mBank S.A. (A3 stable, baa31) in around 40 countries.

For more information, please see Commerzbank's Issuer Profile, the German Banking System Profile (published in March 2021) and theGerman Banking System Outlook (published in March 2021).

Weighted Macro Profile of Strong+Commerzbank's regional focus is on Germany (Aaa stable), Poland (A2 stable), reflecting the consolidation of mBank, in whichCommerzbank holds a majority stake of 69.3%, and other European Union (EU) countries. These activities are key drivers for itsWeighted Macro Profile of Strong+, in line with Germany's Macro Profile.

Recent developmentsThe pandemic has caused an unprecedented shock to the global economy, most G-20 economies have contracted in 2020 but weexpect a gradual recovery in 2021. The recovery path is beset by uncertainty and will remain highly dependent on the development anddistribution of a vaccine, effective pandemic management, and government policy support.

Germany agreed on a stimulus package to support economic recovery last year, which continues to be adapted to latest developments.The stimulus package will support Germany's economic recovery as the contraction resulting from the coronavirus containmentmeasures abates.

On 11 February 2021, Commerzbank announced new targets for its strategic direction at an Investor Day. Commerzbank will intensifyefforts to digitalise its franchise and sustainably improve earnings, a long-standing objective which has repeatedly fallen short of



https://www.moodys.com/credit-ratings/mBank-SA-credit-rating-600017397

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBM_1226156

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1244501


https://www.moodys.com/credit-ratings/Germany-Government-of-credit-rating-333700

https://www.moodys.com/credit-ratings/Poland-Government-of-credit-rating-613900




investor expectations. We believe that a successful digital overhaul will be crucial for the bank to meet its new strategic objectives. Thenew plan termed Strategy 2024 is the most ambitious yet and followed quickly after new CEO Knof assumed office on 1 January 2021.

Detailed credit considerationsSound asset quality with credit exposures largely focused on stable German and European economies, mitigated bylitigation risks from Swiss-franc mortgages at mBankWe assign a baa1 Asset Risk score to Commerzbank, two notches below the a2 initial score. The adjustment mainly captures themoderate risk concentrations towards more cyclical industries, such as automotive, construction and metallurgical industries, withinthe bank's corporate loan book, as well as the exposure to potentially more vulnerable European and non-European countries.

Over the last couple of years, Commerzbank's successfully reduced non-core exposures, such as commercial real estate and ship loan.At the end of 2020, the bank's €466 billion exposure at default (EaD) (2019: €445 billion) evenly splits between its two main segments,Private and Small Business Customers (PSBC, €190 billion; 2019: €178 billion) and Corporate Customer (CC, €180 billion; 2019: €184billion), see Exhibit 3. The PSBC segment includes its German retail activities (€114 billion; 2019: €104 billion), its Polish bank activitiesfrom mBank (€41 billion; 2019: €39 billion), and comdirect bank (€2 billion; 2019: €3 billion). Commerzbank's credit exposures, whicharise from its CC segment, mainly include the bank's German Mittelstand activities (€80 billion; 2019: €79 billion), as well as exposuresto large international corporates (€64 billion; 2019: €68 billion).

Exhibit 4 shows that Commerzbank's corporate lending activities are very diversed among sectors, including moderate exposure tosegments that are most affected by the coronavirus fallout, accounting for only 2.5% of the bank's total credit exposures at end-December 2020. These include €7.3 billion exposure to retail (Einzelhandel), €4.0 billion exposure to the travel sector, of which €2.1billion relates to airlines and €0.8 billion to ship cruise lines, and aroun €4.5 billion to oil&gas.

Exhibit 3

Commerzbank's credit exposure is evenly split among its two coresegmentsData in percent as of year-end 2020

Exhibit 4

Commerzbank's corporate lending activities are diversed amongsectorsData in percent as of year-end 2020

PSBC41%

Corporate Clients39%

Other / consolidation20%

Source: Company reports, Moody's Investors Service

Energy/Waste16%

Consumption11%

Technology/Electrical industry10%

Transport/Tourism9%

Wholesale9%

Basic materials/Metals7%

Services/Media7%

Automotive7%

Chemicals/Plastics6%

Mechanical engineering6%

Construction4%

Pharmaceutical/Healthcare4%

Other4%


At the end of 2020, around 75% of Commerzbank's credit exposures related to customers in Germany or Western Europe and around11% Eastern Europe, which predominantly arises from the consolidation of mBank. The remainder is evenly split to North America andAsia and reflects activities from international customers.

Successful de-risking as well as a benign operating environment helped to improve Commerzbank's asset quality, as reflected by itsconsolidated non-performing loan ratio, which decreased to 1.6% at the end of 2019 from 3.4% in 2016. The economic fallout ofthe coronavirus triggered a moderate increase of its consolidated NPL ratio to 2.0% in 2020 (Exhibit 5) as problem loans (IFRS view)increased to around €4.8 billion from €3.7 billion in 2019 while gross loans remained broadly unchanged at €239 billion (2019: €238billion). Around 24% of the bank's problematic loans relate to mBank. At end-2020, Commerzbank's Polish subsidiary had a problemloan ratio of around 4.5%, compared with 4.1% in 2019, while its standalone asset quality remained much better, at 1.2% (2019: 0.9%).




mBank is one of the most exposed Polish bank to Swiss-franc mortgages, accounting for around 14% of gross loans at end-September2020. We believe that the conversion of Swiss franc mortgages to zloty would wipe excess capital from some banks. On 11 May, thePolish Supreme Court will provide guidance for Polish judges on how they should handle the pending legal disputes between banks andborrowers. At the end of 2020, Commerzbank had provisioned around €300 million.

Commerzbank's overall stable asset quality is also demonstrated by only moderate movements in its retail and corporate loans inaccordance with IFRS 9. The increase in Stage 2 and Stage 3 loans for corporate lending was most pronounced during 2020, whilechanges for retails loans remained very little (Exhibit 6).

Exhibit 5

Solid asset quality and adequate coverage for problem loansData in percent

Exhibit 6

Commerzbank's IFRS 9 movements in 2020Data in € million

3.4%

2.6%

1.7%1.6%

2.0%1.8%

1.4%

1.0% 0.9%1.2%

5.4%5.2%

4.5%

4.1%

4.5%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0%

1%

2%

3%

4%

5%

6%

2016 2017 2018 2019 2020

NPL ratio - consolidatedNPL ratio - standaloneNPL ratio - mBankCoverage ratio (consolidated, RHS)


0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

Stage 2 -- retail Stage 3 -- retail Stage 2 -- corporates Stage 3 -- corporates

2019 1H20 2020


In addition to its commercial lending activities, Commerzbank continues to have significant exposures to countries in the Europeanperiphery, mainly Italy (Baa3 stable; €9.6 billion, excluding non-sovereign exposures, as of end-2020), Spain (Baa1 stable; €2.5 billion),Poland (A2 stable; €10.7 billion), as well as non-Europen countries like the United States (Aaa stable; €1.3 billion).

Solid capital buffers to cover for unforeseen risksCommerzbank's assigned Capital score is a3, in line with the initial score. The assigned score reflects the bank's (1) moderate regulatoryleverage ratio2 of 4.9% in 2020 (2019: 5.1%); and (2) solid buffers against the European Central Bank (ECB)'s more strict minimumcapital requirements as set under its Supervisory Review and Evaluation Process (SREP).

Commerzbank enters the transformation period of Strategy 2024 with very comfortable capital levels, giving it the flexibility to addressunforeseen risk. The plan guides for a Common Equity Tier (CET1) capital ratio of 14.6% by the end of 2024, up from 13.2% at the endof 2020 (Exhibit 7), and compared with our Tangible Common Equity (TCE) ratio of 12.4% in 2020. Our capital ratio is somewhat lowerbecause we increase risk-weighted assets for sovereign bond exposures which benefit from a zero percent weight under the regulatoryview.

Also, Commerzbank’s excess capital of around 370 bps over its minimum Pillar 2 CET1 capital requirement equips the bank with somefinancial flexibility (Exhibit 8). The higher buffer during 2020 largely reflects a lower Pillar 2 Requirement (P2R) and Additional Tier 1(AT1) capital shortfall.3





https://www.moodys.com/credit-ratings/Italy-Government-of-credit-rating-423690

https://www.moodys.com/credit-ratings/Spain-Government-of-credit-rating-704550/summary

https://www.moodys.com/credit-ratings/Poland-Government-of-credit-rating-613900/summary

https://www.moodys.com/credit-ratings/United-States-of-America-Government-of-credit-rating-790575/summary



Exhibit 7

Commerzbank's CET1 capital ratios since 2016 ...Data in %

Exhibit 8

... reflect ample buffer* over Pillar 2 requirementsData in % (lhs), excess capital buffer in basis points (rhs)

13.1% 13.3%

12.4%12.9%

13.4% 13.2%

5.9% 6.0%

5.0%

0%

2%

4%

6%

8%

10%

12%

14%

16%

2018 2019 2020

TCE ratio CET1 ratio (fully loaded) TCE leverage ratio*

Note: TCE = Tangible Common Equity, CET1 = Common Equity Tier 1 capital. *The TCEleverage ratio compares TCE to tangible banking assetsSource: Company reports, Moody's Investors Service

8.5%

9.6%10.1%

11.3%

9.5%

0

100

200

300

400

500

600

700

800

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

2016 2017 2018 2019 2020

Pillar 2 min. CET1 requirement Buffer*

Note: *The buffer reflects the difference between the reported CET1 ratio and the Pillar 2minimum CET1 requirement. Years refer to the publication of the requirement.Source: Company reports, Moody's Investors Service

Commerzbank's updated strategic plan, however, anticipates a dip in its CET1 capital ratio to around 12% in 2021, reflecting additionalrestructuring charges and RWA increases associated with higher pandemic-related loan book risk. We expect that the bank’s solvencywill be most sensitive in the early phase of its four-year transition period before improved retained earnings accrue from 2022 onwards.

The targeted €3 billion capital return potential via dividend payments and share buy-backs requires the successful implementation ofthe plan and is based on earnings retention during the second half of the transformation.

Restoring adequate risk-adjusted profitability to strengthen Commerzbank's position as leading commercial bank inGermanyThe assigned b3 Profitability score to Commerzbank, which is one notch above the bank's initial score, reflects our expectation ofcontinued earnings pressure. Our assessment takes into account the effects from measures contemplated under its transformation,including additional restructuring charges and required investments. Our view also reflects sustained low interest rates, driving marginsdown, and elevated credit provisions, driven by the pandemic and its economic fallout, the full extent of which is still unknown. In2020, Commerzbank booked credit provisions of €1.75 billion in 2020, compared with €620 million in 2019.

On 11 February 2021, Commerzbank announced new targets for its strategic direction at an Investor Day which, however, are notnew and focus on cost reduction and risk-weighted asset (RWA) optimisation. These components were already part of previous plans,Commerzbank 5.0 and 4.0. However, the new plan termed Strategy 2024 is the most ambitious. It includes €1.6 billion in gross costreductions, equivalent to around 24% of 2020 operating expenses. This will be mainly achieved by downsizing the domestic workforceby around 30% by 2024 and closing around 550 bank branches by 2022. To facilitate this, the bank has earmarked restructuring costsof €1.8 billion, of which a combined €915 million were booked in 2020 and 2019.

We believe that a successful digital overhaul will be crucial for the bank to meet its new strategic objectives. The €1.7 billion digitalinvestment plan will touch all parts of its business and requires a delicate balancing act to maintain revenue, retain intellectual capitaland drive down costs. Chief Executive Manfred Knof will directly oversee the transformation. Repeated shortfalls in delivering plannedprofitability improvements under previous initiatives were partly driven by weak execution and transformation governance andultimately resulted in the resignation of the bank’s most senior executives July 2020.

If achieved, improved earnings would be positive for bondholders. Commerzbank projects a return on tangible equity (ROTE) of around7% by 2024. This is more ambitious than the 4% to 5% target under the previous plans and would bring the bank in step with the EUaverage.

The target is broadly consistent with return on assets (ROA) of around 40 basis points (bps), and compares with the bank's average ofaround nine bps between 2011 and 2019. In 2020, Commerzbank reported a net loss of €2.87 billion.







Exhibit 9

High operating expenses are a key driver for Commerzbank's weak profitabilityData in € billion

5.7 4.2 4.3 4.7 5.1 5.0

3.4

3.2 3.2 3.1 3.1 3.31.5

-7.1 -7.0 -6.8 -6.8 -6.8 -6.7

-0.7 -0.9 -0.8 -0.4 -0.6-1.7

-10

-5

0

5

10

15

2015 2016 2017 2018 2019 2020

€ m

illio

n

Net interest Income Net fees and commissions income Trading & other incomeAdmin. Expenses Risk provisions Extraordinary income and expensePre-tax profit

Sources: Company reports, Moody's Investors Service

Commerzbank continues to benefit from its 69.3% majority ownership in mBank, its subsidiary in Poland, which helps to diversifyand supports the bank's weak domestic profitability. In 2019, mBank contributed around one quarter of Commerzbank's consolidatedoperating profit and exhibited a broadly three-times higher return-on-assets, compared with the Frankfurt-based domestic activities.

However, mBank's profitability is challenged by rising regulatory costs and loan-loss provisions, while the bank's significant exposure toSwiss franc mortgages entails high litigation risks. On 11 May, the Polish Supreme Court will provide guidance for Polish judges on howthey should handle the pending legal disputes between banks and borrowers. We believe that the conversion of Swiss franc mortgagesto zloty could pressure some Polish banks' excess capital. In May 2020, Commerzbank abandoned the planned sale of mBank, citingchallenges to execute the transaction at reasonable terms because of the outbreak of the coronavirus pandemic.

Moderate market funding dependence balanced by sizeable and growing depositsCommerzbank's assigned Funding Structure score is baa1, one notch above its initial score, capturing our expectation of an unchangedmoderate market funding dependence over the next 12-18 months, as well as our view that some portion of the funding provided bythe ECB's targeted long-term refinancing operations (TLTRO III) will be temporary.

Compared with previous years, Commerzbank has significantly reduced refinancing risks, as demonstrated by a higher share of depositswhich increased to 57% of assets at the end of 2019, compared with 49% in 2015. At the end of 2020, Commerzbank's participation inTLTRO III was €32.3 billion or 6.4% of assets, a key driver for its sizeable 9.3% assets increase to €507 billion at end-2020. Pro forma itsTLTRO III participation, Commerzbank's customer deposits accounted for 59.2% of assets in 2020.








Exhibit 10

Commerzbank's participation in TLTRO III triggered a higher Market Funding ratio in 2020 following several years of improvementLiabilities in percent of tangible banking assets

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2015 2016 2017 2018 2019 2020

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

Note: *Market Funds Ratio = Market funds/tangible banking assets.Sources: Company reports and Moody's Investors Service

At the end of 2020, Commerzbank's main funding sources largely consisted of €152.1 billion granular retail deposits (2019: €139.4billion), €95.7 billion of corporate deposits (2019: €84.6 billion), €26.2 billion from financial institutions (2019: 29.4 billion), and €7.2billion from the public sector (2019: €11.7 billion), which in total accounted fro around 55.4% of its total liabilities (including equity).

At the same time, the bank's outstanding debt capital market funding was €62 billion, or around 12.2% of total liabilities, and includedaround €30 billion in covered bonds. In 2020, Commerzbank issued total debt of around €7.0 billion, with an average maturity of 8years. These included, among others, €1.75 billion AT1 instruments, €750 million subordinated debt, and €1.5 billion preferred seniordebt. Due to its participation in TLTRO III, Commerzbank's expects moderately lower funding need of less than €5 billion in total in2021.

At end-September 2020 (latest available), Commerzbank exceeded its minimum requirement for own funds and eligible liabilities(MREL) by around 3.8 percentage points, taking into account the EU's requirement of 27.66%, based on RWA. Commerzbank's MRELrequirement considers a multiple point of entry (MPE) approach with separate resolution perimeters for its German entities and mBank.

Sound liquidity supported by the ECB's refinancing programs and mitigated by moderate asset encumbranceCommerzbank's assigned Liquid Resources is a3, one notch below the initial score. Our assessment reflects the bank's sizeable liquidity,balanced by moderate asset encumbrance and our view that its liquid assets are somewhat elevated due to participation in the ECB'srefinancing operations (TLTRO III).

Our assessments for capital and liquidity strongly underpin the positioning Commerzbank's credit profile. Commerzbank operates withsizeable liquidity, as expressed by its liquid banking assets ratio of 33.9% at end-2020 (2019: 26.9%), including around €76 billion cash(2019: €41.1 billion) and around €83 billion financial securities, excluding derivatives (2019: €69 billion). This view is further supportedby the bank's solid Liquidity Coverage Ratio (LCR) which Commerzbank report at 136% at the end of 2020, compared with 133% in2019.





Exhibit 11

Commerzbank operates with sizeable but declining liquidity, supported in 2020 through extra-ordinary funding provided by the ECBAsset composition, in percent of tangible banking assets

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2015 2016 2017 2018 2019 2020

Other assets Loans Securities/Investments Interbank Cash Liquid Banking Asset Ratio* (RHS)

Note: *Liquid Banking Assets Ratio = Liquid assets/tangible banking assets.Source: Company reports and Moody's Investors S

Environmental, social and governance (ESG) considerationsIn line with our general view on the banking sector, Commerzbank AG has a low exposure to environmental risks (see ourenvironmental risk heat map4 for further information).

For social risks, we also place Commerzbank AG in line with our general view on the banking sector, which indicates a moderateexposure (see our social risk heat map5 for further information). This includes considerations in relation to the rapid and wideningspread of the coronavirus outbreak, given the substantial implications for public health and safety and deteriorating global economicoutlook, creating a severe and extensive credit shock across many sectors, regions and markets.

Governance6 is highly relevant for Commerzbank, as it is to all banks. The bank has a limited exposure to complex global capital marketactivities, and it has sold its derivatives and structured products business, which made related reporting and oversight less challenging.However, Commerzbank has been accused of helping clients evade taxes as part of an alleged structured scheme avoiding taxpayments on dividends (so-called CumEx litigation cases). The trials is ongoing and its outcome is highly uncertain. Also, Commerzbankhas been fined for dealing with US-sanctioned countries (Iraq, Iran).

That said, these are largely legacy issues, and the bank has taken significant measures, including investments in systems, to improveinternal controls over the past five years. As a result, we do not have any particular governance concern for Commerzbank at present.Nonetheless, corporate governance remains a key credit consideration and continues to be a subject of our ongoing monitoring.

Support and structural considerationsLoss Given Failure (LGF) analysisCommerzbank is subject to the EU Bank Recovery and Resolution Directive (BRRD), which we consider to be an operational resolutionregime. We therefore apply our Advanced LGF analysis, where we consider the risks faced by the different debt and deposit classesacross the liability structure should the bank enter resolution.

Our Advanced LGF analysis follows the insolvency legislation in Germany. In line with our standard assumptions, we assume a residualTCE of 3%, as well as asset losses of 8% of tangible banking assets in a failure scenario. We also assume a 25% runoff of juniorwholesale deposits and a 5% runoff in preferred deposits. Moreover, we assign a 25% probability to junior deposits being preferred tosenior unsecured debt. We apply a standard assumption for European banks that 26% of deposits are junior.

The results of our Advanced LGF analysis are as follows:

» For deposits and senior unsecured debt, our LGF analysis indicates an extremely low loss given failure, leading to three notches ofrating uplift from the bank's baa2 Adjusted BCA.







» For junior senior unsecured debt, our LGF analysis indicates a moderate loss given failure, leading to the ratings of this debt classbeing positioned in line with the bank's baa2 Adjusted BCA.

» For subordinated debt, our LGF analysis indicates a high loss given failure, leading to a one-notch deduction from the bank's baa2Adjusted BCA. The resulting Baa3 rating also applies to the subordinated debt instruments issued by Dresdner Funding Trust IVbecause these display the same risk profile as Commerzbank's senior subordinated debt.

Additional notching for junior subordinated and hybrid instrumentsFor Commerzbank's more junior debt classes, our Advanced LGF analysis indicates a high loss given failure, given the limited volumeof debt and limited protection from more subordinated instruments and residual equity. This leads to a one-notch deduction from thebank's Adjusted BCA. We further incorporate additional notching for junior subordinated and hybrid debt instruments, reflecting theinstrument's individual features:

» The Tier 1 instruments (Dated Silent Partnership Certificates) issued by Dresdner Funding Trust I (ISIN: US26156FAB94 orXS0097772965) are rated Ba1(hyb), two notches below the Adjusted BCA, reflecting the fact that the coupon-skip triggers (4% Tier1 ratio and 8% total capital ratio) of these non-cumulative instruments are unlikely to be breached. We expect these instruments tobe continuously serviced in the foreseeable future.

» Commerzbank's €3 billion AT1 debt program rating is (P)Ba2. Since its launch on 26 May 2020, Commerzbank has issued two noteswith a combined volume of €1.75 billion (ISINs: XS2189784288 and DE000CB94MF6). The low-trigger AT1 securities support thebank's regulatory capital and help to optimize its capital structure.

Government supportWe assume a moderate probability of government support for both deposits and senior unsecured debt of Commerzbank, which weconsider a domestic systemically important financial institution, resulting in one notch of additional rating uplift. For junior seniorunsecured debt, subordinated debt and hybrid instruments, we believe the potential for government support is low and these ratings,therefore, do not benefit from any government support uplift.

Counterparty Risk Ratings (CRRs)Our 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. Examples of CRR liabilitiesinclude the uncollateralised portion of payables arising from derivatives transactions and the uncollateralised portion of liabilitiesunder sale and repurchase agreements. CRRs are not applicable to funding commitments or other obligations associated with coveredbonds, letters of credit, guarantees, servicer and trustee obligations, and other similar obligations that arise from a bank performing itsessential operating functions.

Commerzbank's CRRs are positioned at A1/P-1The bank's CRRs, before government support, are positioned three notches above the baa2 Adjusted BCA, reflecting the extremelylow loss given failure from the high volume of instruments, primarily junior senior unsecured debt, which are subordinated to CRRliabilities. Commerzbank's CRRs further benefit from one additional notch of rating uplift provided by government support, in line withour support assumptions on deposits and senior unsecured debt.

Counterparty Risk (CR) AssessmentOur CR Assessment is an opinion of how counterparty obligations are likely to be treated if a bank fails and is distinct from debt anddeposit ratings in that it (1) considers only the risk of default rather than both the likelihood of default and the expected financialloss suffered in the event of default, and (2) applies to counterparty obligations and contractual commitments rather than debtor deposit instruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractualperformance obligations (servicing), derivatives (for example, swaps), letters of credit, guarantees and liquidity facilities. Because the CRAssessment captures the probability of default on certain senior operational obligations, rather than expected loss, we focus purely onsubordination and take no account of the volume of the instrument class.




Commerzbank's CR Assessment is positioned at A1(cr)/P-1(cr)The bank's CR Assessment, before government support, is positioned three notches above the baa2 Adjusted BCA, based on thesubstantial buffer against default provided by more subordinated instruments, primarily junior senior unsecured debt, to the seniorobligations represented by the CR Assessment. In addition, Commerzbank's CR Assessment benefits from one further notch of ratinguplift provided by government support.

Methodology and scorecardThe principal methodology we use in rating Commerzbank AG is the Banks Methodology, published in March 2021.

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

Rating methodology and scorecard factors

Exhibit 12

Commerzbank AG

Macro FactorsWeighted Macro Profile Strong + 100%

Factor HistoricRatio

InitialScore

ExpectedTrend

Assigned Score Key driver #1 Key driver #2

SolvencyAsset RiskProblem Loans / Gross Loans 2.0% a2 ↔ baa1 Sector concentration Quality of assets

CapitalTangible Common Equity / Risk Weighted Assets(Basel III - fully loaded)

12.4% a3 ↔ a3 Risk-weightedcapitalisation

Expected trend

ProfitabilityNet Income / Tangible Assets -0.3% caa1 ↔ b3 Return on assets Expected trend

Combined Solvency Score baa2 baa2LiquidityFunding StructureMarket Funds / Tangible Banking Assets 26.9% baa2 ↔ baa1 Extent of market

funding relianceExpected trend

Liquid ResourcesLiquid Banking Assets / Tangible Banking Assets 33.9% a2 ↔ a3 Stock of liquid assets Asset encumbrance

Combined Liquidity Score baa1 baa1Financial Profile baa2Qualitative Adjustments Adjustment

Business Diversification 0Opacity and Complexity 0Corporate Behavior 0

Total Qualitative Adjustments 0Sovereign or Affiliate constraint AaaBCA Scorecard-indicated Outcome - Range baa1 - baa3Assigned BCA baa2Affiliate Support notching 0Adjusted BCA baa2

Balance Sheet is not applicable.





De Jure waterfall De Facto waterfall NotchingDebt ClassInstrumentvolume +

subordination

Sub-ordination

Instrumentvolume +

subordination

Sub-ordination

De Jure De FactoLGF

NotchingGuidance

vs.Adjusted

BCA

AssignedLGF

notching

AdditionalNotching

PreliminaryRating

Assessment

Counterparty Risk Rating - - - - - - - 3 0 a2Counterparty Risk Assessment - - - - - - - 3 0 a2 (cr)Deposits - - - - - - - 3 0 a2Senior unsecured bank debt - - - - - - - 3 0 a2Junior senior unsecured bank debt - - - - - - - 0 0 baa2Dated subordinated bank debt - - - - - - - -1 0 baa3Non-cumulative bank preference shares - - - - - - - -1 -2 ba2

Instrument Class Loss GivenFailure notching

Additionalnotching

Preliminary RatingAssessment

GovernmentSupport notching

Local CurrencyRating

ForeignCurrency

RatingCounterparty Risk Rating 3 0 a2 1 A1 A1Counterparty Risk Assessment 3 0 a2 (cr) 1 A1(cr)Deposits 3 0 a2 1 A1 A1Senior unsecured bank debt 3 0 a2 1 A1 A1Junior senior unsecured bank debt 0 0 baa2 0 Baa2 Baa2Dated subordinated bank debt -1 0 baa3 0 Baa3 Baa3Non-cumulative bank preference shares -1 -2 ba2 0 Ba2 (hyb) Ba2 (hyb)[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

DisclaimerThe volume of in-scope liabilities per instrument class is currently not displayed in the absence of public information and the resulting limited disclosure regarding the volume, tenure andinsolvency ranking of Commerzbank's loss-absorbing debt instruments.




Ratings

Exhibit 13

Category Moody's RatingCOMMERZBANK AG

Outlook Stable(m)Counterparty Risk Rating A1/P-1Bank Deposits A1/P-1Baseline Credit Assessment baa2Adjusted Baseline Credit Assessment baa2Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating A1Senior Unsecured A1Junior Senior Unsecured Baa2Junior Senior Unsecured MTN (P)Baa2Subordinate Baa3Pref. Stock Non-cumulative Ba2 (hyb)Commercial Paper -Dom Curr P-1Other Short Term (P)P-1

COMMERZBANK FINANCE & COVERED BOND S.A.

Outlook NegativeCounterparty Risk Rating A1/P-1Baseline Credit Assessment baa2Adjusted Baseline Credit Assessment baa2Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating -Dom Curr A1

MBANK S.A.

Outlook StableCounterparty Risk Rating A2/P-1Bank Deposits A3/P-2Baseline Credit Assessment baa3Adjusted Baseline Credit Assessment baa2Counterparty Risk Assessment A2(cr)/P-1(cr)

COMMERZBANK AG, NEW YORK BRANCH

Outlook StableCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured MTN (P)A1Subordinate MTN (P)Baa3Other Short Term (P)P-1

Source: Moody's Investors Service




Endnotes1 The rating shown is mBank's deposit rating and outlook, and its Baseline Credit Assessment

2 The regulatory leverage ratio compares Commerzbank's Tier 1 capital to its exposure at default (EaD).

3 The AT1 shortfall refers to guidelines under the ECB's Supervisory Review and Evaluation Process (SREP) which commands certain requirements aroundthecomposition of bank's regulatory capital.

4 Environmental risks can be defined as environmental hazards encompassing the impacts of air pollution, soil/water pollution, water shortages and naturaland man-made hazards (physical risks). Additionally, regulatory or policy risks, such as the impact of carbon regulation 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 an important factor.Certain banks could face a higher risk from concentrated lending to individual sectors or operations exposed to the aforementioned risks.

5 Social risk considerations represent a broad spectrum, including customer relations, human capital, demographic and social trends, health and safety, andresponsible production. The most relevant social risks for banks arise from the way they interact with their customers. Social risks are articularly high inthe area of data security and customer privacy, which are partly mitigated by sizeable technology investments and banks’ long track record of handlingsensitive client data. Fines and reputational damage because of product mis-selling or other types of misconduct are further social risks. Social trends arealso relevant in a number of areas, such as shifting customer preferences towards digital banking services increasing information technology costs, ageingpopulation concerns in several countries affecting demand for financial services or socially driven policy agendas translating into regulations that affectbanks’ revenue bases.

6 Corporate governance is a well-established key driver for banks and related risks are typically included in our evaluation of the banks' financial profile.Further factors such as specific corporate behaviour, key-person risk, insider and related-party risk, strategy and management risk factors, and dividendpolicy may be captured in individual adjustments to the BCA, if deemed applicable. Corporate governance weaknesses can lead to a deterioration in acompany’s credit quality, while governance strengths can benefit its credit profile. When credit quality deteriorates because of poor governance, such as abreakdown in controls resulting in financial misconduct, it can take a long time to recover. Governance risks are also largely internal rather than externallydriven.




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