The PDFs are created against the Contact for the Statement Generate process.
The PDFs are created against the Campaign during the "Statement Send" process when the "Save as PDF" option selected is "Yes - Only Contacts without Email" OR “Yes - All Contacts”.
Related: Email Sending Behaviour
The “Save PDFs” option also impacts how Campaign Member Status is applied and whether emails are sent. If you are expecting emails to be sent along with PDFs, see: Why are my Annual Statement emails not sending after Statement Generate or Statement Send?