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Rating Action:

Moody's assigns provisional (P)A2 rating to Norddeutsche Landesbank's Aircraft Covered Bond (Flugzeug-Pfandbrief)

20 Jun 2012

Frankfurt am Main, June 20, 2012 -- Moody's Investors Service has assigned a provisional long-term rating of (P)A2 to the Aircraft covered bonds (Flugzeug-Pfandbriefe) issued by Norddeutsche Landesbank Girozentrale (NORD/LB or the issuer), which are governed by the German Pfandbrief Act (the programme).

RATINGS RATIONALE

The covered bonds will constitute direct, unconditional and senior obligations of NORD/LB and are secured by a pool of aircraft financings ("the cover pool").

As of 30 April 2012, the total outstanding principal amount of the assets in the cover pool, comprising 74 financings, was approximately EUR 0.95 billion. The financings comprise of direct loans to airlines (43% of the cover pool), aircraft operating leases (48%) and aircraft finance leases (9%). All financings are backed by aircraft mortgages. For a detailed description of the cover pool, see the pre sale report for this transaction.

A covered bond benefits from (i) the issuer's promise to pay interest and principal on the bonds; and (ii) if the issuer defaults, the economic benefit of a collateral pool (the cover pool). The ratings therefore take into account the following factors:

(i) The credit strength of Norddeutsche Landesbank Girozentrale (rated A3, P-2, D).

(ii) The value of the cover pool in the event of issuer default. The stressed level of losses modelled in the event of issuer default (cover pool losses) for this transaction is 72.9%.

The analysis of the value of the cover pool considered:

a) The legal framework. Notable aspects of the legal framework for Pfandbriefe include inter alia the regulatory requirement for the issuer to maintain 2% over-collateralisation on a stressed present value basis; Moody's considers this over-collateralisation to be "committed". The framework imposes an LTV threshold of 60% based on a clearly defined lending value. The issuer is also required to cover potential liquidity gaps over the next 180 days between payments expected to be received under the cover pool assets and the payments due under the outstanding covered bonds.

b) The credit quality of the assets backing the covered bonds. The covered bonds are backed by aircraft financings. The collateral score for the cover pool is 100%.

c) The exposure to interest rate and currency risk.

Moody's considers the transaction to be linked to the credit strength of the issuer, particularly from a default probability perspective. The uplift of the covered bond rating is restricted to one notch above the issuer rating given (i) the high level of losses that Moody's expects will impact covered bondholders following issuer default; and (ii) the limited amount of relevant historical data available to study collateral losses of aircraft financings.

The TPI assigned to this transaction is Improbable.

The rating assigned by Moody's addresses the expected loss posed to investors. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's issues provisional ratings in advance of the final sale of securities and these ratings only represent Moody's preliminary opinion. Upon a conclusive review of the transaction and associated documentation Moody's will endeavour to assign a definitive rating to the covered bonds.

KEY RATING ASSUMPTIONS / FACTORS

Covered bond ratings are determined after applying a two-step process: expected loss analysis and TPI framework analysis.

EXPECTED LOSS: Moody's determines a rating based on the expected loss on the bond. The primary model used is Moody's Covered Bond Model (COBOL), which determines expected loss as (i) a function of the issuer's probability of default (measured by the issuer's rating); and (ii) the stressed losses on the cover pool assets following issuer default.

The cover pool losses for this programme are 72.9%. This is based on Moody's most recent modelling (based on data as per 30.04.2012) and is an estimate of the losses Moody's currently models if the issuer defaults. Cover pool losses can be split between market risk of 5.9% and collateral risk of 67.0%. Market risk measures losses as a result of refinancing risk and risks related to interest-rate and currency mismatches (these losses may also include certain legal risks). Collateral risk measures losses resulting directly from the credit quality of the assets in the cover pool. Collateral risk is derived from the collateral score.

Moody's uses a collateral score of 100% for this covered bond programme. The collateral score is Moody's opinion of how much credit enhancement is needed to protect against the credit deterioration of assets in the cover pool in order to reach a theoretical Aaa expected loss, assuming those assets are otherwise unsupported. The collateral score setting is due to (i) the historic evidence that aircraft market values are exposed to more frequent and higher volatility than conventional Pfandbrief collateral (like residential mortgages), which is triggered by a wide range of factors and (ii) the limited amount of relevant historical data available to study collateral losses of aircraft financings, especially following issuer failure, which does not enable us at this stage to determine how much credit enhancement is needed to protect against the credit deterioration of assets in a cover pool in order to reach a theoretical Aaa expected loss.

However in Moody´s view some limited value can be given to the cover pool and thus the aircraft covered bonds obtain a one notch uplift over the issuer rating, as a result of i) the strength of the German legal framework for Flugzeugpfandbriefe (aircraft covered bonds), and ii) the role of the issuer in the programme. The strengths of the legal framework include a 60% LTV threshold based on the aircraft lending value. The Flugzeugpfandbriefe framework regulates the calculation of this lending value which is defined as the lower of (a) the current market value of the aircraft, (b) the average market value during the last 10 years and (c) the value assuming balanced market conditions and an average state of repair. This lending value concept can be expected to soften the credit risk impact of the volatility of the aircraft market. Moody's has also updated its assessment on non-EEA assets in Pfandbrief cover pools; for details please refer to "Moody's updates on non-EEA assets in German covered bond transactions", dated 20 June 2012. Further, Moody´s expects the issuer to add substantial value in terms of managing the cover pool and replacing defaulted assets.

The current over-collateralisation in the cover pool is 87%, of which 2% is provided on a "committed" basis. The minimum over-collateralisation level that is consistent with the (P)A2 rating target is 0% (numbers in present value terms). Therefore, Moody's is not relying on "uncommitted" over- collateralisation in its expected loss analysis.

All numbers in this section are based on Moody's most recent modelling (based on data as per 30 April 2012).

TPI FRAMEWORK: Moody's assigns a "timely payment indicator" (TPI), which indicates the likelihood that timely payment will be made to covered bondholders following issuer default. The effect of the TPI framework is to limit the covered bond rating to a certain number of notches above the issuer's rating. The TPI Leeway measures the number of notches by which the issuer's rating may be downgraded before the covered bonds are downgraded under the TPI framework.

SENSITIVITY ANALYSIS

The robustness of a covered bond rating largely depends on the credit strength of the issuer.

Based on the current TPI of Improbable, the TPI Leeway for this programme is 3 notches, meaning the covered bonds might be downgraded as a result of a TPI cap once the issuer rating is downgraded below Baa3, all other variables being equal.

However, as outlined above, the covered bond rating should be expected to be restricted to one notch above the issuer rating as a result of the expected loss analysis.

A multiple-notch downgrade of the covered bonds might occur in certain limited circumstances. Some examples might be (i) a sovereign downgrade negatively affecting both the issuer's senior unsecured rating and the TPI; (ii) a multiple notch downgrade of the issuer; or (iii) a material reduction of the value of the cover pool.

As the euro area crisis continues, the rating of covered bonds remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could negatively impact the ratings of covered bonds. For more information please refer to the Rating Implementation Guidance published on 13 February 2012 "How Sovereign Credit Quality May Affect Other Ratings". Please also refer to the recent rating actions on German banks published on 6 June 2012, (please see "Special Comment: Key Drivers of German Bank Rating Actions").

For further details on cover pool losses, collateral risk, market risk, collateral score and TPI Leeway across covered bond programmes rated by Moody's please refer to "Moody's EMEA Covered Bonds Monitoring Overview", published quarterly. These figures are based on the latest data that has been analysed by Moody's and are subject to change over time. These numbers are typically updated quarterly in Performance Overviews published by Moody's.

RATING METHODOLOGY

The principal methodology used in this rating was "Moody's Approach to Rating Covered Bonds" published in March 2010. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

REGULATORY DISCLOSURES

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service information.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

Please see ratings tab on the issuer/entity page on www.moodys.com for the last rating action and the rating history.

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Martin Lenhard
Vice President - Senior Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Juan Pablo Soriano
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's assigns provisional (P)A2 rating to Norddeutsche Landesbank's Aircraft Covered Bond (Flugzeug-Pfandbrief)
No Related Data.
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