Ratings Assigned To Deutsche Bank SAE's ... - Standard & Poor's
Ratings Assigned To Deutsche Bank SAE's ... - Standard & Poor's Ratings Assigned To Deutsche Bank SAE's ... - Standard & Poor's
sale of the property (the loss severity, expressed as a percentage of the outstanding loan). We determined the total mortgage balance that we assume will default, and the total amount of this defaulted balance that is not recovered for the entire residential book, by calculating the weighted-average foreclosure frequency (WAFF) and the weighted-average loss severity (WALS). The product of the WAFF and WALS is the net loss that we assume may affect the portfolio in a 'AAA' scenario. At the 'AAA' level, the WAFF and WALS results were: WAFF (%) 30.22 WALS (%) 29.50 Assumed net credit loss (WAFF x WALS) (%) 8.91 Our assessment indicated that this combination of factors, along with the appraisal of other risk factors, is commensurate with a 'AA+' rating on Deutsche Bank SAE's cédulas hipotecarias. The negative outlook on the covered bond rating reflects the negative outlook for the sovereign rating. RELATED CRITERIA AND RESEARCH Ratings Assigned To Deutsche Bank SAE's Spanish Mortgage Covered Bonds • Covered Bond Ratings Framework: Methodology And Assumptions, June 26, 2012 • Counterparty Risk Framework Methodology And Assumptions, May 31, 2012 • Covered Bonds Counterparty And Supporting Obligations Methodology And Assumptions, May 31, 2012 • Assessing Asset-Liability Mismatch Risk In Covered Bonds: Revised Methodology And Assumptions For Target Asset Spreads, April 24, 2012 • European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012 • Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011 • Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011 • Principles Of Credit Ratings, Feb. 16, 2011 • Methodology: Credit Stability Criteria, May 3, 2010 • Revised Methodology And Assumptions For Assessing Asset-Liability Mismatch Risk In Covered Bonds, Dec. 16, 2009 • Use Of CreditWatch And Outlooks, Sept. 14, 2009 • Methodology And Assumptions: Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009 • Methodology And Assumptions: Update To The Criteria For Rating Spanish Residential Mortgage-Backed Securities, Jan. 6, 2009 • European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008 • A Listing Of S&P's New Actions Aimed At Strengthening The Ratings Process, Feb. 7, 2008 • Expanding European Covered Bond Universe Puts Spotlight on Key Analytics, WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 29, 2012 6 982598 | 300076937
July 16, 2004 • Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003 • Criteria for Rating Spanish Residential Mortgage-Backed Securities, March 1, 2002 RATINGS LIST Program/ Country: Covered bond type RATINGS ASSIGNED; OUTLOOK NEGATIVE Rating Deutsche Bank, S.A.E. AA+/Negative Spain: Mortgage Covered Bonds ("Cédulas Hipotecarias") Additional Contact: Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com Ratings Assigned To Deutsche Bank SAE's Spanish Mortgage Covered Bonds WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 29, 2012 7 982598 | 300076937
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- Page 3 and 4: Residential Mortgage-Backed Securit
- Page 5: Weighted-average LTV ratio (%) 76.1
July 16, 2004<br />
• Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003<br />
• Criteria for Rating Spanish Residential Mortgage-Backed Securities, March<br />
1, 2002<br />
RATINGS LIST<br />
Program/<br />
Country: Covered bond type<br />
RATINGS ASSIGNED; OUTLOOK NEGATIVE<br />
Rating<br />
<strong>Deutsche</strong> <strong>Bank</strong>, S.A.E. AA+/Negative<br />
Spain: Mortgage Covered Bonds ("Cédulas Hipotecarias")<br />
Additional Contact:<br />
Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com<br />
<strong>Ratings</strong> <strong>Assigned</strong> <strong>To</strong> <strong>Deutsche</strong> <strong>Bank</strong> <strong>SAE's</strong> Spanish Mortgage Covered Bonds<br />
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 29, 2012 7<br />
982598 | 300076937
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