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TEXT-Fitch affirms Aareal Bank's Mortgage Pfandbriefe at 'AAA'
2012年5月11日 / 下午4点02分 / 5 年前

TEXT-Fitch affirms Aareal Bank's Mortgage Pfandbriefe at 'AAA'

May 11 - Fitch Ratings has affirmed Aareal Bank's 
(ARB,'A-'/Stable/'F1') Mortgage Pfandbriefe at 'AAA'. The affirmation follows
the agency's review of the credit risk of the cover pool and the cash flow
mismatches between the assets and liabilities of the programme.	
The Pfandbriefe rating is based on the ARB's Long-term Issuer Default Rating
(IDR) of 'A-' and an unchanged Discontinuity Factor (D-Factor) of 26.0%, the
combination of which enables ARB's mortgage Pfandbriefe to be rated up to 'AA'
on a probability of default (PD) basis. In the agency's cash flow analysis,
overcollateralisation (OC) of 21.5% allows the cover pool to withstand 'AA'
stress levels and still repay the Pfandbriefe on time. In addition, it is
sufficient to achieve outstanding recoveries from the cover pool should the
Pfandbriefe default, supporting a two-notch uplift to 'AAA'. The affirmation is
based on the issuer's commitment to increase the OC to 21.5% from its current
level of 20.8% by the end of May 2012.	
The level of nominal OC supporting the programme's 'AAA' rating on the mortgage
Pfandbriefe has increased to 21.5% from 19.0%. The increase of OC supporting a
'AAA' rating level primarily relates to the correction of a misapplication of
Fitch's default timing assumptions in the agency's previous cash flow analysis.
The corrected default timing assumption now distributes the defaults mainly in
the first five years after an assumed issuer default whereas the previous timing
distribution spread defaults more evenly throughout the first 10 years following
the issuer default. The increase in the level of minimum supporting OC is
further driven by Aareal's short weighted average maturity of the assets which
is sensitive to frontloaded default timing.	
The misapplication of default timing assumptions is unique to this covered bond
programme and does not impact the analysis or ratings of other Fitch rated
German covered bond programmes secured by commercial mortgage real estate.	
As of 31 December 2011, ARB had EUR8.9bn outstanding mortgage Pfandbriefe
secured by a cover pool of EUR10.7bn, resulting in a nominal OC of 20.8%, which
was also the lowest level of nominal OC in the prior 12 months. The issuer has
informed the agency that it intends to increase the OC to the level sufficient
to support the 'AAA' rating by end of May 2012. Fitch will monitor this
programme based on the lowest OC of the preceding 12 months, starting from the
date that the OC is increased to this level.	
In a 'AAA' rating scenario, the agency has calculated an expected credit loss of
20.4% for the portfolio of cover assets, compared to 22.5% in May 2011, whereby
the assumed defaults and recoveries for this stress scenario are 74.3% and
72.6%, respectively.	
The cash flow profile shows mismatches in terms of maturities, interest rates
and currencies. The weighted average residual maturity of the cover assets and
liabilities are 3.5 and 4.0 years, respectively. More than 98% of the
liabilities are euro-denominated compared to around 68% of the assets. 65% of
the assets are floating rate compared to only 18% of the Pfandbriefe. The
resulting open FX and interest rate open positions have been reduced through the
inclusion of privileged currency swaps in the cover pool. Fitch has taken all
remaining mismatches into account in modelling the expected cash flows by
applying appropriate stresses.	
The OC supporting a given rating will be affected, among others, by the profile
of the cover assets relative to outstanding Pfandbriefe, which can change over
time, even in the absence of new issuances.	
In accordance with Fitch's policies, the issuer appealed and provided additional
information to Fitch that resulted in a supporting overcollateralisation level
for the rating that is different to that in the original rating committee
Additional information is available on The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.	
Applicable criteria, 'Covered Bonds Rating Criteria', dated 12 August 2011,
'Criteria for the Analysis of Covered Bonds secured by Commercial Real Estate
Loans', dated 12 August 2011 and 'Covered Bonds Counterparty Criteria', dated 14
March 2012 available at	
Applicable Criteria and Related Research:	
Covered Bonds Rating Criteria	
Criteria for the Analysis of Covered Bonds Secured by Commercial Real Estate
Covered Bond Counterparty Criteria

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