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In the 2019/2020 season Bayern successfully defended their title, winning their 20th DFB-Pokal title after beating Bayer Leverkusen 4–2 in the final. With the win, Bayern completed their second consecutive and 13th domestic double overall, and therefore will play home (in a change of format; under old rules they would have played away as was the case the previous year) to 2019–20 Bundesliga runners-up Borussia Dortmund in the 2020 DFL-Supercup. Because Bayern qualified for the Champions League through the Bundesliga, the sixth-place team in the Bundesliga, 1899 Hoffenheim, earned qualification for the group stage of the 2020–21 edition of the UEFA Europa League, and the league’s second round spot went to the team in seventh, VfL Wolfsburg.
On July 25, 2018, Vancouver announced that it had agreed to a multi-million-dollar transfer of Davies to Bundesliga club Bayern Munich, with Davies seeing out the 2018 MLS season with Vancouver, before joining Bayern in January 2019.The base fee for the transfer was US$13.5 million, with performance-related bonuses that total $22 million, a then-record for MLS, later eclipsed by the transfer of Miguel Almirón to Newcastle United. Davies had his first training session with Bayern on November 21, 2018, and debuted on January 12, 2019 against Borussia Mönchengladbach in the Telekom Cup championship finale, which Bayern won on penalties following a scoreless draw. Davies made his Bundesliga debut on January 27 against VfB Stuttgart, appearing as a late substitute for Kingsley Coman in a 3–1 victory. He scored his first goal for Bayern on March 17, netting the final goal in a 6–0 rout of Mainz 05. In doing so, and at the age of 18 years, 4 months and 15 days, he became the youngest player since Roque Santa Cruz, twenty years prior, to score for the club. He is the first Canadian international to score for Bayern. On May 18, 2019, Davies won his first Bundesliga title as Bayern finished two points above Dortmund with 78 points. A week later, Davies won his first DFB-Pokal as Bayern defeated RB Leipzig 3–0 in the 2019 DFB-Pokal Final. Davies was not selected for the match day squad. Davies made his first Bundesliga start with Bayern on matchday nine of the 2019–20 Bundesliga season, going the full 90 minutes in a 2–1 home victory over Union Berlin. He made his first UEFA Champions League start on November 6, 2019, in a 2–0 victory against Olympiacos. Throughout the 2019–20 season, Davies played as a left back to allow David Alaba to play at centre back. Davies earned high praise during his time in that role, gaining an early reputation as one of the best left backs in the world. On February 25, 2020, Davies set-up Robert Lewandowski’s goal in a 3–0 away win over Chelsea in the first leg of the round of 16 of the UEFA Champions League; his performance during the match was widely praised in the media, with pundit Gary Lineker commenting that Davies played “beautifully,” while former U.S. international Stuart Holden described him as a “world class left back.” In April 2020, Bayern Munich and Davies agreed to a contract extension to 2025, adding two years onto his existing contract. Following the restart of the Bundesliga which had halted all matches due to the COVID-19 pandemic, Davies started against both Eintracht Frankfurt and Borussia Dortmund. He scored and assisted in the Frankfurt match and ended up running down Dortmund’s Erling Haaland at a speed of 35.3 kilometres per hour (21.9 mph). On June 16, 2020, Davies featured for Bayern against Werder Bremen in a game they won 1–0, securing Bayern Munich their eighth consecutive league title. Davies was sent off in the 79th minute for a second yellow card, but not before breaking the record for the fastest speed clocked in the Bundesliga at 36.51 kilometres per hour (22.69 mph). Davies was named the Bundesliga Rookie of the Year for the 2019–20 season. On August 14, 2020, Davies, who was playing the left-back position, was applauded for assisting Joshua Kimmich’s goal against Barcelona in the Champions League quarter-finals which Bayern Munich won with an impressive final score of 8–2. On August 23, he started in the Champions League final against Paris Saint-Germain, which Bayern won 1–0 to complete a continental treble; consequently, Davies became the first Canadian male international to win the Champions League.