Prog INTERNATIONAL STRUCTURED FINANCE COVERED BONDS Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Covered Bonds / Germany Contacts Widmayer, Patrick - +49 (697) 073-0715 - Patrick.Widmayer@moodys.com Albert Sanchez, Javier - +44 (207) 772-5515 - Javier.AlbertSanchez@moodys.com Monitoring Monitor.CB@moodys.com Click on the icon to download data into Excel & to see Glossary of terms used Client Service Desk London: +44 20 7772-5454, csdlondon@moodys.com Click here to access the covered bond programme webpage on moodys.com Reporting as of: 31/12/2017 All amounts in EUR (unless otherwise specified) For information on how to read this report, see the latest Moody's Global Covered Bond Monitoring Overview Data as provided to Moody's Investors Service (note 1) I. Programme Overview Overview Year of initial rating assignment: 1996 Total outstanding liabilities: Total assets in the Cover Pool: EUR EUR 14,506,319,750 17,061,059,823 Issuer name / CR Assessment: Group or parent name / CR Assessment: Main collateral type: Deutsche Pfandbriefbank AG / n/a Commercial Ratings Covered bonds rating: Entity used in Moody's EL & TPI analysis: CB anchor: CR Assessment: SUR: Unsecured claim used for Moody's EL analysis: Deutsche Pfandbriefbank AG CR Assessment + 1 notch Yes Aaa Aa2 Aa3 A1 A2 A3 Baa1 Baa2 Baa3 Ba1 Ba2 Ba3 B1 B2 Chart 1: Rating history Covered Bond Sovereign Aaa (cr) (cr) Aa2 (cr) Aa3 (cr) A1 (cr) A2 (cr) A3 (cr) Baa1 (cr) Baa2 (cr) Baa3 (cr) Ba1 (cr) Ba2 (cr) Ba3 (cr) B1 (cr) B2 (cr) II. Value of the Cover Pool Collateral quality Collateral Score: 7.2% Collateral Score excl. systemic risk: n/a Chart 2 : Asset types in cover pool Multi-Family assets, 18.4% Other / Supplementary assets, 6. Residential assets, 0.6% Cover Pool losses Collateral Risk (Collateral Score post-haircut): 4.8% 31% Market Risk: 10.8% 69% 15.6% (10) Commercial assets, 75. III. Over-Collateralisation Levels (notes 2 & 3) Over-Collateralisation (OC) figures presented below include Eligible only collateral. Over-collateralisation levels are provided on any of the following: nominal basis or unstressed NPV basis or on stressed NPV basis. NPV stress test where stressed: Dynamic Current situation Committed OC (Stressed NPV): 2. Current OC (Unstressed NPV): 17.8% OC consistent with current rating (note 4): 4. Sensitivity scenario CB anchor OC consistent with current rating Scenario 1: CB anchor is lowered by 1 notch n/a IV. Timely Payment Indicator & TPI Leeway Legal framework Timely Payment Indicator (TPI): High Does a specific covered bond law apply for this programme: Yes, Pfandbrief Act TPI Leeway: Main country in which collateral is based: Germany Country in which issuer is based: Germany Timely payment Refinancing period for principal payments of 6 months or greater: No Liquidity reserve to support timely payments on all issuances: Yes * * Please refer to section 4 of the Pfandbrief Act. (note 1) The data reported in this PO is based on information provided by the issuer and may include certain assumptions made by Moody's. Moody's accepts no responsibility for the information provided to it and, whilst it believes the assumptions it has made are reasonable, cannot guarantee that they are or will remain accurate. Although Moody's encourages all issuers to provide reporting data in a consistent manner, there may be differences in the way that certain data is categorised by issuers. The data reporting template (which Issuers are requested to use) is available on request. (note 2) This assumes the Covered Bonds rating is not constrained by the TPI. Also to the extent rating assumptions change following a downgrade or an upgrade of the Issuer, the necessary OC stated here may also change. This is especially significant in the case of CR assessments of A3(cr) committee discretion is applied. (note 4) The OC consistent with the current rating is the minimum level of over-collateralisation which is necessary to support the covered bond rating at its current level on the basis of the pool as per the cut-off date. The sensitivity run is based on certain assumptions, including that the Covered Bonds rating is not constrained by the TPI. Further, this sensitivity run is a model output only and therefore a simplification as it does not take into account certain assumptions that may change as an issuer is downgraded, and as a result the actual OC number consistent with the Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Page 1
Mismatch in % of the total liabilities COVERED BONDS V. Asset Liability Profile Interest Rate & Duration Mismatch (note 5) Swap Arrangements Fixed rate assets in the cover pool: 47.4% Interest rate swap(s) in the Cover Pool: No Fixed rate covered bonds outstanding: 92. Intra-group interest rate swap(s) provider(s): No WAL of outstanding covered bonds: 6.0 years Currency swap(s) in the Cover Pool: No WAL of the cover pool: 4.1 years Intra-group currency swap(s) provider(s): No Chart 3 : Stressed refinancing needs per quarter (% of liabilities) 6. (note 6) Maximum mismatch: 4.8% Chart 4: Currency mix before swaps (3 Main Currencies) Cover pool Covered Bonds 5. USD 571 590 4. 3. GBP 1,415 2,573 2. 1. 0. 0 1 2 3 4 5 6 7 8 9 Period in years EUR 12,723 12,040 0 2,000 4,000 6,000 8,000 10,000 12,000 14,000 in EUR millions Chart 5 : Amortisation profile (in millions) (note 7) Assets 18,000 16,000 14,000 12,000 10,000 8,000 6,000 4,000 2,000 0 VI. Performance Evolution Liabilities 0 1 2 3 4 5 6 7 8 9 Years Chart 6 : Collateral Score Chart 7 : Cover Pool Losses 1 9% 8% 7% 6% 4% 3% 2% 1% 8.8% 6.6% 6.7% 7.2% 7.2% Q4 2016 Q1 2017 Q2 2017 Q3 2017 Q4 2017 18% 16% 14% 12% 1 8% 6% 4% 2% 16.6% 14.4% Collateral Risk Market Risk Cover Pool Losses 15.4% 16.1% 15.6% Q4 2016 Q1 2017 Q2 2017 Q3 2017 Q4 2017 Chart 8 : OC consistent with covered bond rating vs. Current OC OC needed Surplus OC CurrentOC 3 2 2 18.4% 19.6% 20.7% 24.8% 17.8% 1 1 7.4% 15.1% 16.2% 19.8% 13.3% 11. Q4 2016 4. 4. 5. 4. Q1 2017 Q2 2017 Q3 2017 Q4 2017 Covered Bond Rating CR Assessment This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history. (note 5) This assumes no prepayment. (note 6) Based on principal flows only. Assumptions include no prepayments, principal collections limited to the portion of assets that make up the amount of the liabilities plus committed OC, no further CB issuance and no further assets added to the cover pool. (note 7) Assumptions include swaps in place in Cover Pool, no prepayment and no further CB issuance. Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Page 2
Cum Pool Volume COVERED BONDS VII. Cover Pool Information - Commercial Assets Overview Specific Loan and Borrower characteristics Asset type: Commercial Bullet loans: 51.8% Asset balance: 15,939,289,267 Loans in non-domestic currency: 26.7% Average loan balance: 7,093,587 Percentage of fixed rate loans: 46.1% Number of loans: 2,247 Performance Number of borrowers: 925 1.3% Number of properties: 4,039 Loans in a foreclosure procedure: 0. Largest 10 loans: Details on LTV Largest 10 borrowers: 9.2% WA current LTV (*): 50. WA remaining term (in months): 50 WA indexed LTV: WA seasoning (in months): 39 Valuation type: Market Value Main countries: Germany (47%) LTV Threshold (**): 60. UK (16%) Junior ranks: 74.4% France (12%) Prior ranks: 1.9% : information not disclosed by Issuer n/a : information not applicable Chart A: Balance per LTV-band Chart B: Percentage of commercial assets 3 3 2 2 21.3% 24.4% 28.9% 18.3% Multi-Family Assets, 18% 1 1 4.9% 0.8% 0. 0. 0.1% 0. 0.7% Commercial Assets, 7 Chart C: Borrower concentration 10 9 8 7 6 5 4 3 2 1 0 10 20 30 40 50 60 70 80 90 100 Number of Borrowers Chart D: Property type 4 3 3 2 2 1 1 36.3% 26.1% 19.7% 12. 4.2% 0.9% 0.9% Offices Retail Multifamily Industrial Hotel Land Other Chart E: Main country regional distribution 2 2 1 21.2% 20. 16.8% 15.3% 1 6.9% 3.9% 3.2% 2.4% 2.1% 2.1% 1.9% 1.2% 1.2% 1. 0.7% 0.1% Chart F: Remaining Term (in years) Chart G: Year of loan origination 5 4 3 2 1 30.8% 38.6% 27.1% 2.4% 1. 0.1% 0. 3 2 1 8.8% 0. 0.3% 1.3% 0.9% 2.3% 12. 22.6% 23.6% 28.2% (note *) Based on updated property valuation (note **) Based on Mortgage lending values. Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Page 3
COVERED BONDS VIII. Cover Pool Information - Supplementary Assets Overview Specific Loan and Borrower characteristics Asset type: Supplementary Assets Repo eligible assets: 68.3% Asset balance: 1,022,294,694 Percentage of fixed rate assets: 72.1% WA remaining Term (in months): 69 Percentage of bullet assets: 100. Number of assets: 24 Assets in non-domestic currency: 8.4% Number of borrowers: 17 Performance Average assets size: 42,595,612 0. Average exposure to borrowers: 60,134,982 0. : information not disclosed by Issuer Assets in arrears ( > 12months): 0. n/a: information not applicable Assets in a enforcement procedure: 0. 10 8 6 4 2 Chart A: Interest rate type 15.2% Floating rate (no Caps) Fixed rate Other 72.1% 12.7% Chart B: Percentage of supplementary assets Supplementary Assets, 6. 10 Chart C: Distribution by country, rating Chart D: Distribution by country rating 8 6 Aa2, 16.9%, 6.2% A1, 4.3% Aaa, 52.4% 4 2 21.9% 16.6% 9.8% 4.1% 6.2% 11.9% 5.1% 4.3% 20.1% Baa2, 20.1% Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Page 4
COVERED BONDS IX. Liabilities Information: Largest 50 Issuances ISIN Series Number Currency Outstanding Amount Issuance Date Expected Maturity Legal Final Maturity Interest Rate Type Coupon Principal Payment DE000A11QAP6 EUR 750,000,000 25/03/2019 Fixed rate DE000A13SWC0 EUR 750,000,000 19/01/2023 Fixed rate DE000A1MLUW0 EUR 750,000,000 03/06/2019 Fixed rate DE000A1R0527 EUR 750,000,000 18/03/2020 Fixed rate DE000A1PG3M8 GBP 550,000,000 20/12/2019 Fixed rate DE000A2DASJ1 EUR 600,000,000 09/08/2021 Fixed rate DE000A2DASU8 USD 700,000,000 04/05/2020 Fixed rate DE000A2E4ZK6 GBP 450,000,000 04/12/2020 Fixed rate DE000A13SV81 EUR 500,000,000 30/07/2020 Fixed rate DE000A13SWE6 EUR 500,000,000 01/03/2022 Fixed rate DE000A1X2566 EUR 500,000,000 28/08/2018 Fixed rate DE000A1X3LT7 EUR 500,000,000 21/01/2022 Fixed rate DE000A2E4ZE9 EUR 500,000,000 05/09/2022 Fixed rate DE000A2DASA0 GBP 250,000,000 13/01/2020 Floating rate DE000A2DASP8 SEK 2,500,000,000 21/02/2020 Floating rate DE000A11QA49 EUR 250,000,000 11/09/2019 Floating rate NP000843 EUR 221,500,000 23/06/2045 Fixed rate NP000058_1 EUR 130,000,000 20/04/2037 Fixed rate DE000A2DASS2 SEK 1,100,000,000 28/04/2019 Floating rate DE000A2AAV96 EUR 100,000,000 20/12/2019 Fixed rate HG100214831111 EUR 100,000,000 14/09/2020 Fixed rate HG9903542111_1 EUR 100,000,000 14/09/2026 Fixed rate DE000A1X3L03 SEK 950,000,000 23/02/2018 Fixed rate HG9904395111 EUR 94,500,000 07/05/2018 Fixed rate NP000882 EUR 61,000,000 09/10/2045 Fixed rate DE000A13SV24 EUR 60,000,000 31/03/2025 Fixed rate HG9903925111_1 EUR 60,000,000 21/11/2033 Fixed rate HI43644111 EUR 60,000,000 08/08/2025 Fixed rate HG9904298111 EUR 55,000,000 23/04/2018 Fixed rate NP001070 EUR 52,000,000 20/01/2025 Fixed rate NP001113 EUR 52,000,000 26/04/2047 Fixed rate HG9902864111 EUR 50,000,000 03/02/2032 Fixed rate HG9902872111 EUR 50,000,000 06/02/2034 Fixed rate HG9903127111 EUR 50,000,000 09/03/2035 Fixed rate HG9903151111 EUR 50,000,000 14/03/2033 Fixed rate HG9903186111 EUR 50,000,000 14/03/2035 Fixed rate HG9903496111 EUR 50,000,000 24/04/2031 Fixed rate HG9903569111_1 EUR 50,000,000 14/09/2020 Fixed rate HG9903739111 EUR 50,000,000 05/10/2034 Fixed rate HG9904107111_1 EUR 50,000,000 13/12/2024 Fixed rate HG9904182111 EUR 50,000,000 03/04/2018 Fixed rate HG9904220111 EUR 50,000,000 09/04/2018 Fixed rate HG9904247111 EUR 50,000,000 16/04/2018 Fixed rate HG9904255111 EUR 50,000,000 17/07/2018 Fixed rate HG9904271111 EUR 50,000,000 18/09/2018 Fixed rate HI43643111 EUR 50,000,000 07/08/2020 Fixed rate NP0000059 EUR 50,000,000 19/04/2033 Fixed rate NP000564 EUR 50,000,000 15/02/2044 Fixed rate NP000898 EUR 50,000,000 13/11/2045 Fixed rate NP000964 EUR 50,000,000 27/03/2046 Fixed rate Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Page 5
COVERED BONDS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE PURCHASE, HOLDING, OR SALE. AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, BENCHMARK. suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. OR MANNER WHATSOEVER. credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser. consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively. MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000. MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements. Deutsche Pfandbriefbank AG - Mortgage Covered Bonds Page 6