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Rating Action:

MOODY'S ASSIGNS PROSPECTIVE RATINGS TO HAUS 2003-1 CREDIT-LINKED NOTES ISSUED BY DEUTSCHE BANK AG

26 Nov 2003
MOODY'S ASSIGNS PROSPECTIVE RATINGS TO HAUS 2003-1 CREDIT-LINKED NOTES ISSUED BY DEUTSCHE BANK AG

Approximately EUR30.4 Million of Debt Securities Affected.

Frankfurt, November 26, 2003 -- Moody's Investors Service has assigned the following prospective ratings to the credit-linked notes ("CLN") to be issued by Deutsche Bank AG as part of the Haus 2003-1 transaction:

- (P)Baa2 to the EUR 13,000,000 Class D [Floating Rate] Credit Linked Notes, and

- (P)Ba2 to the EUR 17,400,000 Class E [Floating Rate] Credit Linked Notes.

The prospective 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.

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 (also a true sale RMBS transaction) 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 prospective rating of (P)Baa2 and (P)Ba2 respectively.

Moody's issues prospective ratings in advance of the final sale of securities, but these ratings represent only Moody's preliminary credit opinions. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the notes. A definitive rating may differ from a prospective rating.

To obtain a copy of Moody's Pre-Sale report, please see Moody's website www.moodys.com or contact our Client Service Desk in London (+44-20-7772 5454).

Frankfurt
Detlef Scholz
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 33 1 53 43 93 78 SUBSCRIBERS: 44 20 7772 5454

Frankfurt
Marie-Jeanne Kerschkamp
VP - Senior Credit Officer
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 33 1 53 43 93 78 SUBSCRIBERS: 44 20 7772 5454

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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