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Fitch Affirms AHBR's Mortgage Pfandbriefe at 'AA+'.

LONDON -- Fitch Ratings, the international rating agency, has today affirmed Allgemeine Hypothekenbank Rheinboden's (AHBR) outstanding mortgage Pfandbriefe at 'AA+'. AHBR's Long-term 'BBB', Short-term 'F3', and Support '2' ratings are on Rating Watch Evolving by Fitch due to the uncertainty arising from the planned sale of the bank (see statement dated July 5, 2005 on www.fitchresearch.com). It has an Individual 'D' rating by Fitch.

The mortgage Pfandbriefe rating reflects the German legal and regulatory framework, the credit risk of the cover pool, the mismatches between the assets and the liabilities' profile in an amortisation scenario, including available overcollateralisation, and the bank's organisation.

As of June 30, AHBR's mortgage Pfandbriefe totalled EUR14.9 billion while the cover pool amounted to EUR16.6 billion, resulting in a nominal over-collateralisation of 11.4%.The mortgage assets are split between residential purpose (approximately 60%) and commercial real estate (approximately 40%). In addition, the cover pool contains non-mortgage assets, such as government bonds and public sector bonds, for liquidity purposes. Geographically, the pool is concentrated on Germany (roughly four-fifths of total exposure) in addition to sizable loan amounts for the U.K., France, and the Netherlands, as well as marginal exposure to other European Union countries. International mortgage loans are almost exclusively of commercial nature, and commercial mortgage loans in the cover pool have a strong emphasis on office properties.

Fitch derived a default likelihood and recovery rate for the mortgage loans based on their loan-to-value and further assumptions, depending on whether they were for a residential or commercial purpose. In case of the latter, a conservative approach was taken due to limited available data. Fitch modelled expected cash flows from assets and liabilities under stress scenarios taking into account defaults, recoveries, delinquencies, prepayments, and maturity mismatches, as well as interest-rate and exchange-rate risks. Maturity mismatches are mitigated by ECB eligible assets, which, in Fitch's view, are sufficient to ensure timely payment of interest and principal on the mortgage Pfandbriefe.

The agency's reliance on potential industry support is progressively vanishing under the new Pfandbriefe law (for more information, see 'Analysis of German Pfandbriefe: Preparing for 2005,' published on Oct. 28, 2004). Fitch will closely monitor the credit quality of cover assets, derivatives included in the cover pool, the bank's asset and liability management related to its Pfandbriefe activity, as well as operational aspects, and periodically update the rating of AHBR's mortgage Pfandbriefe.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
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Publication:Business Wire
Date:Sep 12, 2005
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