MOODY'S ASSIGNS DEFINITIVE RATINGS TO HAUS 2003-1 CREDIT-LINKED NOTES ISSUED BY DEUTSCHE BANK AG
Frankfurt, December 16, 2003 -- Moody's Investors Service has assigned the following definitive ratings to the credit-linked notes ("CLN") issued by Deutsche Bank AG as part of the Haus 2003-1 transaction:
- Baa2 to the EUR 13,000,000 Class D Floating Rate Credit Linked Notes, and
- Ba2 to the EUR 17,400,000 Class E Floating Rate Credit Linked Notes.
The definitive ratings assigned to the CLNs address the expected loss posed to investors. The structure allows for timely payment of interest and ultimate payment of principal by maturity. Moody's assigned prospective ratings on 26 November 2003.
This is Deutsche Bank's fourth transaction involving residential mortgage loans to German borrowers secured on properties located in Germany. In 1998 and 2000, Deutsche Bank launched Haus 1998-1 Limited (a true sale RMBS transaction), Haus 2000-1 Limited (true sale) and Haus 2000-2 (a synthetic RMBS transaction).
Under the Haus 2003-1 transaction, Deutsche Bank AG obtains credit protection for approximately EUR 30.4 of a total reference portfolio of EUR 2.9 billion. The Class D and Class E CLNs allow Deutsche Bank AG to place the default and loss risk associated with the reference portfolio with investors. This structure does not involve a special purpose company but rather the direct issuance of the CLNs by Deutsche Bank AG as issuer. The Class E CLNs benefit from an outstanding threshold amount of EUR 14.5 million (0.5 per cent) as first loss protection.
The positive features involved are: (1) the reference portfolio was originated by Deutsche Bank AG and includes strong eligibility criteria such as that all loans are fully performing since origination, seasoning of the loans is approximately 52 months and the current weighted average unadjusted LTAV is 54 per cent. (2) At the beginning of 2003, Moody's has upgraded certain tranches of the Haus 1998-1 Limited transaction due to better than expected performance. (3) The realised loss definition only captures principal losses, meaning accrued interest and foreclosure costs are not covered.
Less favourable aspects include: (1) the reference portfolio has a high level of complexity resulting from the mix of rights over properties of first and second ranking liens, which are or aren't held by Deutsche Bank AG and due to the fact that there could be several loans secured on a single property, but there could also be several properties collateralising one loan. (2) Under this transaction, as in the case of Haus 2000-2, Deutsche Bank AG issues the CLNs. Hence, in the event Deutsche Bank AG is downgraded, the CLNs could be subject to a downgrade as no collateral is posted to cover for this risk. However, as of closing of this transaction, the risk is rather limited as Deutsche Bank AG is currently rated (Aa3, Prime-1) and as the CLNs have a rating of Baa2 and Ba2 respectively.
To obtain a copy of Moody's New Issue Report, please see Moody's website www.moodys.com or contact our Client Service Desk in London (+44-20-7772 5454).
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