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Rating Action:

Moody's confirms Deutsche Hypothekenbank's covered bond ratings

24 Mar 2014

Frankfurt am Main, March 24, 2014 -- Moody's Investors Service has today confirmed the Aa2 ratings of the public sector covered bonds (Oeffentliche Pfandbriefe) and the mortgage covered bonds (Hypothekenpfandbriefe) issued by Deutsche Hypothekenbank AG (the issuer/Deutsche Hypo, deposits Baa1, negative; bank financial strength rating E+/adjusted baseline credit assessment baa3).

RATINGS RATIONALE

Today's rating action concludes the reviews for upgrade initiated on 12 March 2014 when Moody's updated its rating methodology for covered bonds. For further information please refer to "Moody's updates methodology approach for rating covered bonds" published on 12 March 2014.

As part of the updated methodology, Moody's reference point for determining the probability that Deutsche Hypo will cease making payments under the covered bond programmes, the covered bond (CB) anchor, has changed from the senior unsecured rating (SUR) to SUR +1 notch, given that Deutsche Hypo's debt ratio is >10%.

Moody's confirmed the Aa2 ratings of the public sector covered bonds and the mortgage covered bonds upon confirmation by the issuer that it will not support the covered bonds with over collateralisation (OC) levels beyond the levels consistent with the current Aa2 ratings. The OC level consistent with the Aa2 ratings on the mortgage covered bonds is 2.5%, while the OC level consistent with the Aa2 ratings on the public sector covered bonds is 0% (both levels on a present value basis).

The statutory minimum OC according to the Pfandbrief Act is 2% on a stressed present value basis for both programmes. The highest achievable rating for both types of covered bonds under Moody's rating methodology is Aaa.

KEY RATING ASSUMPTIONS/FACTORS

Moody's determines covered bond ratings using a two-step process; an expected loss analysis and a TPI framework analysis.

EXPECTED LOSS: Moody's uses its Covered Bond Model (COBOL) to determine a rating based on the expected loss on the bond. COBOL determines expected loss as (1) a function of the probability that the issuer will cease making payments under the covered bonds (a CB anchor event); and (2) the stressed losses on the cover pool assets following issuer default.

The cover pool losses for each programme is an estimate of the losses Moody's currently models if a CB anchor event occurs. Moody's splits cover pool losses between market risks and collateral risks. Market risks measure losses stemming from refinancing risks and risks related to interest rate and currency mismatches. These losses may also include certain legal risks. Collateral risks measure losses resulting directly from cover pool assets' credit quality. Moody's derives the collateral risk from the collateral score.

The cover pool losses for the public sector covered bond programme stand at 10.7%, with market risk of 8.7% and collateral risk of 2.0%. The collateral score is 4.1%. The present value OC in this cover pool is 4.6%, of which 2.0% is the statutory minimum. The minimum OC level that is consistent with the Aa2 rating target is 0% in present value terms.

The cover pool losses for the mortgage covered bond programme stand at 18.0%, with market risk of 10.9% and collateral risk of 7.1%. The collateral score is 10.6%. The present value OC in this cover pool is 12.7%, of which 2.0% is the statutory minimum. The minimum OC level that is consistent with the Aa2 rating target is 2.5% in present value terms.

These numbers show that Moody's is relying on uncommitted OC in its expected loss analysis for the Aa2 rating of the mortgage covered bonds.

All numbers in this section derive from Moody's most recent modelling, based on data as per 30 September 2013. For further details on cover pool losses, collateral risk, market risk, collateral score and TPI Leeway across all covered bond programmes rated by Moody's please refer to "Moody's EMEA Covered Bonds Monitoring Overview", published quarterly.

TPI FRAMEWORK: Moody's assigns a TPI, which indicates the likelihood that the issuer will make timely payments to covered bondholders in the event of an issuer default. The TPI framework limits the covered bond rating to a certain number of notches above the CB anchor.

For Deutsche Hypo's public sector covered bonds and mortgage covered bonds, Moody's has assigned a TPI of "High".

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The CB anchor is the main determinant of a covered bond program's rating robustness. The TPI Leeway measures the number of notches by which Moody's might lower the CB anchor before the rating agency downgrades the covered bonds because of TPI framework constraints.

Based on the current TPIs of "High" for both covered bond programmes, there is a TPI Leeway of three notches. This implies that if Moody's downgrades the issuer rating by four notches, the rating agency might also downgrade the covered bonds because of a TPI cap, all other variables being equal.

A multiple notch downgrade of the covered bonds might occur in certain limited circumstances, such as (1) a sovereign downgrade negatively affecting both the CB anchor and the TPI; (2) a multiple-notch lowering of the CB anchor; or (3) a material reduction of the value of the cover pool.

RATING METHODOLOGY

The principal methodology used in these ratings was "Moody's Approach to Rating Covered Bonds", published in March 2014. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

Moody's did not use any stress scenario simulations in its analysis.

For ratings issued on a program, series or category/class of debt, this announcement provides certain 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 certain 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 certain 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.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

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.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit 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 confirms Deutsche Hypothekenbank's covered bond ratings
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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