Transaction Update: Wuestenrot Bausparkasse AG (Mortgage Covered Bond Program)

Overview Key strengths Key risk Granular, seasoned, and geographically diversified cover pool, comprising exposures to German predominately residential mortgages and multifamily housing. The mismatch between interest earned on mortgages assets and that paid on the outstanding covered bonds results in a higher overcollateralization requirement. The program benefits from a public commitment to maintaining an overcollateralization level that is consistent with the rating. The program benefits from three unused notches of collateralbased support that would protect the covered bond ratings if we were to lower the longterm issuer credit rating (ICR) on the issuer. This is because the required credit enhancement for the coverage is now ?AAA? credit risk only and does not include 25% of refinancing costs as previously. Additionally,

...Under our updated covered bonds criteria, required credit enhancement for '###' covered bond ratings has decreased. This is because the required credit enhancement for the coverage is now `###' credit risk only and does not include 25% of refinancing costs as previously. Additionally, the removal of spread compression and commingling risk has supported the results....

Transaction Update Report