FINANCIAL INSTITUTIONS

CREDIT OPINION2 June 2020

Update

Contacts

Swen Metzler, CFA +49.69.70730.762VP-Sr Credit Officerswen.metzler@moodys.com

Alexander Hendricks,CFA

+49.69.70730.779

Associate Managing Directoralexander.hendricks@moodys.com

» Contacts continued on last page

Commerzbank Finance & Covered Bond S.A.Update to credit analysis

SummaryCommerzbank Finance & Covered Bond S.A.'s (CFCB) long-term issuer rating is A1 (stable).We also assign an A1 long-term Counterparty Risk Rating (CRR), and a baa2 Baseline CreditAssessment (BCA) and Adjusted BCA to CFCB.

CFCB's issuer rating reflects (1) the bank's baa2 BCA and Adjusted BCA; (2) the results of ourAdvanced Loss Given Failure (LGF) analysis, resulting in three notches of uplift for CFCB'sissuer rating; and (3) the moderate probability of CFCB receiving government support in caseof need, resulting in one additional notch of rating uplift.

CFCB's BCA and Adjusted BCA are aligned with those of its parent bank, CommerzbankAG (Commerzbank, A1/A1 stable, baa21), reflecting our assessment that CFCB is a highlyintegrated and harmonised subsidiary of Commerzbank.

The alignment of the BCA reflects (1) CFCB's limited proprietary franchise; (2) the magnitudeof its management integration and its role as a group service provider, being fully integratedinto Commerzbank's treasury operations; and (3) Commerzbank's influence on CFCB'sfinancials, in particular CFCB's asset exposures and funding. Our assessment is supported bythe existing letter of comfort between CFCB and its parent bank, as well as several service-level agreements between the two entities, supporting CFCB's operational stability. Our viewon CFCB's BCA could change if the coronavirus credit shock led to a sustained erosion ofCommerzbank's financial profile.

In the case of resolution, we expect CFCB to form part of Commerzbank's wider resolutionperimeter. We therefore apply Commerzbank's LGF analysis, as well as the same governmentsupport assumption for Commerzbank's long-term senior unsecured debt ratings to CFCB.

For further details, please refer to the credit opinion of Commerzbank AG.

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Credit strengths

» CFCB is fully integrated into its parent bank's risk management and treasury operations, thereby benefiting from Commerzbank'scredit strength and access to liquidity and funding

» CFCB's creditors benefit from a lettre of comfort (Patronatserklärung) which link its ability to repay funding to the credit strength ofCommerzbank

Credit challenges

» CFCB exhibits high concentration risks from public sector lending

» Optically high capital ratios, driven by low risk-weights for public sector exposure, balanced by market values which are significantlylower than book values

» Focus on public sector lending drives CFCB'S low standalone profitability

Outlook

» The stable outlook on CFCB's rating follows the stable outlook on Commerzbank's ratings.

Factors that could lead to an upgrade

» An upgrade of CFCB's ratings would likely follow an upgrade of Commerzbank's BCA.

» Upward pressure on Commerzbank's BCA could be prompted by a combination of (1) a significant and sustained improvement in itsrisk-weighted capitalization and leverage ratio; (2) an improvement in its asset quality, in particular if achieved through sustainedlower sector and geographical concentrations; (3) a persistent and meaningful strengthening of the bank's profitability acrosseconomic cycles; and (4) a material decrease in Commerzbank’s moderate reliance on wholesale funding sources, coupled with afurther buildup of high-quality liquid assets.

Factors that could lead to a downgrade

» A downgrade of CFCB’s issuer rating could result from (1) a downgrade of Commerzbank’s BCA; (2) fewer notches of rating upliftas a result of our Advanced LGF analysis; (3) signs that CFCB returns to a lower level of integration within Commerzbank; or (4) areduction in our government support assumptions for Commerzbank and, therefore, CFCB.

» Downward pressure on CFCB’s issuer rating could be exerted as a result of a downgrade of Commerzbank’s BCA. Downwardpressure on Commerzbank's BCA could be exerted following: (1) a weakening of the operating environment in Germany; (2) a largeincrease in Commerzbank’s dependence on confidence-sensitive market funding, (3) a significant reduction in the volume of itsliquid resources; and (4) a significant deterioration of Commerzbank's solvency profile, through a weakening of its asset quality andcapital adequacy metrics or materially weaker profitability.

» CFCB's issuer rating could also be downgraded if, at the parent group level, the volume of bail-in-able debt were to decreasesignificantly, leading to fewer notches of rating uplift under our Advanced LGF analysis.

» In addition, CFCB's ratings could be downgraded if our assumption of CFCB as a highly integrated and harmonised subsidiary ofCommerzbank is undermined by Commerzbank (1) no longer being committed to orderly unwinding CFCB's legacy portfolios; (2)reducing funding support or separating CFCB from its treasury operations; or (3) withdrawing the letter of comfort or the existingservice-level agreements with CFCB.

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.

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Key indicators

Exhibit 1

Commerzbank Finance & Covered Bond S.A. (Consolidated Financials) [1]

12-192 12-182 12-172 12-162 12-152 CAGR/Avg.3

Total Assets (EUR Million) 8,222.5 10,720.8 14,705.4 17,598.6 19,675.6 (19.6)4

Total Assets (USD Million) 9,229.8 12,255.4 17,658.2 18,562.1 21,373.5 (18.9)4

Tangible Common Equity (EUR Million) 1,173.6 1,188.2 2,206.8 1,287.1 951.4 5.44

Tangible Common Equity (USD Million) 1,317.3 1,358.3 2,650.0 1,357.5 1,033.6 6.34

Problem Loans / Gross Loans (%) 0.0 0.0 0.0 1.0 2.6 0.75

Tangible Common Equity / Risk Weighted Assets (%) 55.8 44.5 71.8 33.5 21.5 45.46

Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 0.0 0.0 0.0 3.7 12.6 3.35

Net Interest Margin (%) -- 1.6 0.0 0.1 0.1 0.45

PPI / Average RWA (%) -1.5 2.1 -3.0 1.4 -0.9 -0.36

Net Income / Tangible Assets (%) -0.2 0.5 -0.5 0.3 -0.1 0.05

Cost / Income Ratio (%) -155.5 31.7 -33.0 26.4 -137.9 -53.75

Market Funds / Tangible Banking Assets (%) 87.5 89.8 69.5 75.6 75.9 79.75

Liquid Banking Assets / Tangible Banking Assets (%) 74.2 53.8 53.5 52.9 53.5 57.65

Gross Loans / Due to Customers (%) 4765.0 535.6 318.7 280.8 260.4 1232.15

[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 scaleof 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]Simpleaverage of Basel III periods.Sources: Moody's Investors Service and company filings

ProfileBased in Luxembourg, Commerzbank Finance & Covered Bond S.A. (CFCB2) is a specialized lender and covered bond bank and solelyperforms public sector lending (Kommunalkreditgeschäft) in accordance with Luxembourg's Covered Bond law. This includes offers viaan integrated agency function, syndicated loans and fiduciary notes.

CFCB is a wholly owned subsidiary of Commerzbank and benefits from a lettre of comfort (Patronatserklärung) from its Frankfurt-basedparent bank.

Recent developmentsThe coronavirus will cause unprecedented shock to the global economy. The full extent of the economic downswing will be unclearfor some time; however, G-20 economies will contract in 2020. We presently expect the G-20 advanced economies as a group tocontract by 5.8% in 2020 and the euro area by 6.5%, followed by a gradual recovery in 2021. In Europe, the coronavirus outbreak addsto late-cycle risks for European banks. The recession in 2020 will weigh on banks' asset quality and profitability. We expect fiscal policymeasures, as already announced by a variety of euro-area governments, to mitigate the economic contraction caused by the outbreak.In the current coronavirus-induced recession and its aftermath, capital levels will be a key differentiator of credit profiles among banks.Generally, banks are facing a sharp deterioration in asset quality and reductions in profitability from already low levels, while centralbanks are providing extraordinary levels of liquidity and governments have strong incentives to support banking systems to foster aneventual recovery. Thus, when comparing a bank to its peers, the level of capital with which it entered this recession and its ability toretain capital throughout the next several years take on particular importance.

The European Central Bank (ECB) announced a series of measures to help European Union (EU) economies weather the wideningeffects of the coronavirus pandemic, temporarily increasing banks’ liquidity provisions, as well as lowering regulatory capital andliquidity requirements. As part of these temporary measures, the ECB increased its targeted long-term refinancing operations (TLTROIII) under more favourable terms as well as its financial asset purchase program, while refraining from lowering the ultralow interestrates further. The temporary suspension of buffer requirements for regulatory capital and the liquidity coverage ratio (LCR) givesbanks greater flexibility and additional leeway to absorb the economic impacts, such as asset-quality declines. Overall, the packageaims to help the banks continue to finance corporates and small and medium-sized businesses suffering from the effects of thecoronavirus outbreak. We believe that the ECB’s measures will provide a limited relief for banks and their borrowers, and that it will

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require meaningful fiscal policy measures by the European Union and its member states to avert higher default rates in banks’ lendingbooks.

Germany launched a large stimulus package and the government's support is crucial for corporate borrowers in industries immediatelyhurt by the coronavirus outbreak like airlines, tourism, retail and the shipping sector, as well as smaller companies experiencing weakliquidity and high leverage. The scale of the support package is unprecedented and is far larger than the support provided during thefinancial crisis. At the same time, the government made it easier to access its short-work scheme (“Kurzarbeit”) and extended it toa broader pool of workers, which will limit the spike in unemployment and the fall in domestic consumption. The measures, whichare adapted according to the evolution of the economic effects of the pandemic, add to Germany's already expansionary fiscal policystance as well as to automatic stabilizers that support household incomes when unemployment increases

Detailed credit considerationsClose integration into Commerzbank drives alignment of BCAWe align CFCB's BCA with the BCA of Commerzbank, based on our rating approach for highly integrated and harmonised subsidiaries.Our assessment reflects CFCB's close integration with and dependence on its parent bank with regard to funding and capital support, aswell as key controlling and risk management functions:

» Most of CFCB's unsecured funding is sourced from its German parent.

» CFCB relies on capital support from Commerzbank to meet regulatory requirements.

» CFCB's credit risk management is integrated into Commerzbank's group-wide risk management and control systems, including limitallocations and risk monitoring. Further, CFCB is part of its parent's treasury operations.

Our view is further underpinned by the existence of a letter of comfort (Patronatserklärung) from Commerzbank and various service-level agreements in favour of CFCB. We therefore believe that CFCB's probability of failure, as measured by its BCA, is similar to that ofits parent bank.

High concentration risks from public sector lendingCFCB's status as a covered bond bank limits its lending activities, in accordance with Luxembourg's Covered Bond law. Therefore,CFCB's credit exposure almost exclusively relates to the financing of the public sector because these loans can be pledged as collateralin order to issue covered bonds, including lettre de gage.

At the end of 2019, CFCB's public sector loans accounted for around €7.4 billion or 76.5% of assets (2018: 87.0%), with around threequarters allocated to public sector entities in the United States of America (Aaa stable, 58%) and Italy (Baa3 stable, 17%). During 2019,CFCB reduced to almost zero its public sector exposures to the United Kingdom (Aa2 negative), accounting for only 1% of the total,compared to 27% in 2018. CFCB's most important group of creditors from loans and financial securities are public sector entities,banks, and financial institutions.

Given CFCB's public sector activities, asset quality is very high, as demonstrated by zero problem loans at the end of 2019, unchangedto 2018. To cover for potential unexpected credit losses, CFCB has set aside provisions of around €1.8 million at the end of 2019,compared with €3.1 million in 2018. CFCB’s assets accounted for around 2.1% of Commerzbank's consolidated assets at the end of2019 (2018: 2.6%).

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Exhibit 2

Three quarters of CFCB's public sector lending relates to the USand ItalyData in percent, as of end-2019

Exhibit 3

CFCB's assets relate to public sector entities, banks and financialinstitutionsData in percent, as of end-2019

US58%

Italy17%

Canada7%

Spain7%

Portugal5%

Supranational3%

Japan2%

UK1%

Source: Company reports and Moody's Investors Service

Banks18%

Financial insitutions27%

Corporate clients0%

Public sector55%

Source: Company reports and Moody's Investors Service

We consider CFCB's public sector exposures large in comparison with its standalone solvency. Despite a moderate improvement during2019, CFCB's risk-bearing ratio3 still falls short a treshold of 100%, which would indicate that economic risks are covered by capital.At the end of 2019, CFCB's risk-bearing ratio improved to 71.1% from 37.1% in 2018, reflecting the reduction of its UK public sectorexposures.

Optically high capital ratios, driven by low risk-weights and balanced by unrealized lossesWith a Tier 1 capital ratio of 55.7% as of end-2019 (2018: 36.7%), CFCB operates with very high capital ratios compared withcommercial banking peers. However, the optically high solvency reflects low risk-weights from public sector lending activities, asunderpinned by risk-weighted assets (RWA) that represented only 21.6% of assets at the end of 2019 (2018: 22.1%). For some parts ofits public-sector portfolio, CFCB benefits from a zero risk weight.

The improvement of CFCB's capital ratio during 2019 reflects the disposal of its exposure to public sector entities in the UK, whichtriggered a reduction in RWA of around 21% to €2.1 billion, as well as an improvement in the bank's regulatory Tier 1 capital to €1.17billion, reflecting the elimination of a regulatory shortfall. This improvement is also reflected in CFCB's regulatory leverage ratio4, whichimproved to 12.8% at the end of 2019, compared with 8.5% in 2018.

If necessary, we believe Commerzbank will compensate for any capital shortfall that may arise at CFCB and may be triggered by thedecision to reduce its public sector exposures before legal maturities. At the end of 2019, market values of CFCB's public sector assetsremain lower than book value, at around €502 million, compared with €611 million in 2018. Because of the bank's intention to holdthese assets until maturity, marke value do not apply. However, we expect that CFCB continues to reduce its portfolio in a value-preserving manner.

Focus on public sector lending drives CFCB's low profitabilityCFCB's low profitability reflects the low assets risks from public sector lending activities. Net interest margins from these loans typicallyrange at around 10 basis points and the usage of derivatives to hedge interest rates, currencies, and credit risks introduces earningsvolatility from fair value adjustments.

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For 2019, CFCB reported a net loss of €16 million (2018: net profit of €65 million) mainly due to lower net interest income and highernegative marks for fair value adjustments, which increased to an expense item of €167 million, compared with €117 million in 2018.

Access to liquidity and funding support from CommerzbankCFCB is highly dependent on liquidity and funding support from its parent bank. At the end of 2019, Commerzbank provided around€5.0 billion or 51.5% of CFCB's total liabilities (2018: 59.7%). The close integration into Commerzbank's group treasury means thatCFCB benefits from lower funding costs because funding is passed through to CFCB on market terms.

As of 31 December 2019, CFCB had €1.0 billion of outstanding covered bonds, a 16% decline from €1.2 billion as of year-end 2018. Weconsider CFCB's funding and liquidity risks similar to those of parent bank, even when considering CFCB's business-model-inherent highasset encumbrance.

Since October 2015, the European Central Bank no longer considers Lettres de Gage eligible securities under its repo program. As aresult, CFCB has stopped the issuance of these covered bonds and aims to reduce its funding needs by further reducing its asset baseand filling any potential gaps by tapping senior funding from Commerzbank.

Structural and support considerationsAffiliate supportBecause of its strong integration into Commerzbank's and the existing lettre of comfort (Patronatserklärung), we believe that CFCBbenefits from a “very high” probability of affiliate support. Our assessment also takes into account the sizeable funding which CFCBreceives from its parent bank. As a result of this assumption, CFCB's baa2 Adjusted BCA is aligned with Commerzbank's BCA.

Loss Given Failure (LGF) analysisWe perform our Advanced LGF analysis on the consolidated financials of Commerzbank, based on the assumption that resolutionwould be addressed for the German parent bank and its Luxembourg subsidiary at the same time. Common resolution with the parentis likely, given that CFCB is strongly interconnected with its parent, as illustrated by its funding reliance for most of its balance sheet.Such interconnectedness implies limited options for a subsidiary’s ring-fencing in resolution.

CFCB is subject to the European Union Bank Recovery and Resolution Directive (BRRD), which we consider an operational resolutionregime. In the case of resolution, we expect CFCB to form part of Commerzbank's wider resolution perimeter. We therefore applyCommerzbank's LGF analysis to CFCB, considering the risks relating to different debt and deposit classes across the bank's liabilitystructure at failure.

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

For CFCB's long-term issuer ratings, our Advanced LGF analysis indicates an extremely low loss given failure, leading to three notches ofrating uplift from the bank's baa2 Adjusted BCA.

Government supportAs a result of the Luxembourg-based bank’s close integration with its Germany-based parent, we expect any potential Germangovernment support to be available for the benefit of CFCB's senior creditors, in case of need. Such support from the Government ofGermany (Aaa stable) would likely be made available to and through Commerzbank in the event of stress.

Therefore, CFCB's long-term A1 issuer rating benefits from one additional notch of rating uplift from government support, mirroring ourmoderate support assumption at the level of Commerzbank for this class of debt.

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 liabilities

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under 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.

CFCB's CRRs are positioned at A1/P-1The bank's CRRs, prior to government support, are positioned three notches above the baa2 Adjusted BCA, reflecting the extremely lowloss given failure from the high volume of instruments that are subordinated to CRR liabilities. CFCB's CRRs also benefit from one notchof rating uplift provided by government support, in line with our 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 financial losssuffered in the event of default, and (2) applies to counterparty obligations and contractual commitments rather than debt or depositinstruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performanceobligations (servicing), derivatives (for example, swaps), letters of credit, guarantees and liquidity facilities.

Because the CR Assessment captures the probability of default on certain senior operational obligations, rather than expected loss, wefocus purely on subordination and take no account of the volume of the instrument class.

CFCB's CR Assessment is positioned at A1(cr)/P-1(cr)The bank's CR Assessment is positioned four notches above the baa2 Adjusted BCA, based on (1) the substantial buffer against defaultprovided by more subordinated instruments, primarily junior senior unsecured debt, to the senior obligations represented by the CRAssessment; and (2) the government support uplift, assuming a moderate level of support.

MethodologyThe principal methodology we use in rating Commerzbank Finance and Covered Bond S.A. is the Banks Methodology, published inNovember 2019.

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Ratings

Exhibit 4

Category Moody's RatingCOMMERZBANK FINANCE & COVERED BOND S.A.

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

PARENT: COMMERZBANK AG

Outlook StableCounterparty 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

Source: Moody's Investors Service

Endnotes1 The ratings shown are Commerzbank's deposit ratings and senior unsecured debt ratings, together with their corresponding outlooks, as well as the bank's

BCA.

2 CFCB resulted from the merger of two former Luxembourg-based Commerzbank subsidiaries that used Lettres de Gage (covered bonds) to refinance theirportfolios of public-sector loans. On 4 July 2016, Julius Baer Group Ltd. acquired selected parts of Commerzbank's Luxembourg private banking and wealthmanagement business (former Commerzbank International S.A. [CISAL], renamed Bank Julius Baer Luxembourg S.A.). As part of the deal, some of formerCISAL's assets and liabilities, as well as certain businesses from Commerzbank's Luxembourg branch, were transferred to CFCB or were reintegrated intoCommerzbank, thereby finalising the restructuring of Commerzbank's Luxembourg operations.

3 In accordance with the bank's Internal Capital Adequacy Assessment Process (ICAAP).

4 The regulatory leverage ratio compares CFCB's Tier 1 capital to its exposure at default.

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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’sOverseas 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 NationallyRecognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by anentity 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 registeredwith 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 preferredstock 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 servicesrendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

REPORT NUMBER 1229767

9 2 June 2020 Commerzbank Finance & Covered Bond S.A.: Update to credit analysis

MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Contacts

Simon Boemer +49.69.70730.892Associate Analystsimon.boemer@moodys.com

10 2 June 2020 Commerzbank Finance & Covered Bond S.A.: Update to credit analysis