Ratings Assigned To Deutsche Bank SAE's ... - Standard & Poor's

Ratings Assigned To Deutsche Bank SAE's Spanish Mortgage Covered Bonds
RATINGS ASSIGNED TO DEUTSCHE BANK SAE'S MORTGAGE COVERED BONDS
The mortgage covered bonds that we have rated today, which have been issued by
Deutsche Bank SAE, are "cédulas hipotecarias".
In assigning today's ratings, we have applied our 2009 covered bond criteria
(see "Revised Methodology And Assumptions For Assessing Asset-Liability
Mismatch Risk In Covered Bonds," published on Dec. 16, 2009).
Under our criteria for rating covered bonds, we evaluate the maximum potential
rating on a covered bond program as the bank's obligor's creditworthiness plus
the maximum number of notches of ratings uplift. The maximum number of notches
of uplift results from our assessment and classification of the program's
asset-liability mismatch (ALMM) risk and the program categorization.
When determining the program categorization, we consider primarily our view of
the jurisdiction of a program and its ability to access external financing or
monetize the cover pool. Finally, we assign the covered bonds to one of three
distinct categories. Under our criteria, to achieve the maximum potential
number of notches of uplift, the available credit enhancement needs to be
commensurate with the target credit enhancement.
Following our analysis, and given our view of the Spanish legal framework, we
have categorized Deutsche Bank SAE's mortgage covered bonds in category "1"
and determined a "low" ALMM classification.
Based on our criteria and the application of our credit and cash flow stresses
using the latest information we received from the issuer, we have assessed
that the overcollateralization available to support Deutsche Bank SAE's
cédulas hipotecarias can sustain the maximum potential uplift above the
long-term obligor's creditworthiness on Deutsche Bank SAE.
Therefore, we have assigned our 'AA+' long-term rating to Deutsche Bank SAE's
mortgage covered bond program and all related series, which reflects this
maximum ratings uplift capped by the sovereign rating on Spain, in line with
our "Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And
Assumptions," published on June 14, 2011.
At the same time, we have placed on negative outlook the assigned 'AA+'
ratings on these covered bonds. The negative outlook reflects the outlook for
the rating on the Kingdom of Spain (BBB+/Negative/A-2).
Our ratings on Deutsche Bank SAE's mortgage covered bonds follow our analysis
of the issuer's asset and cash flow information as of March 31, 2012.
We have analyzed the credit risk in stressed scenarios using structured
finance techniques--i.e., foreclosure frequency and loss severity
assumptions--which we typically apply for Spanish mortgage assets (see "
Methodology And Assumptions: Update To The Criteria For Rating Spanish
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