Morningstar DBRS Confirms AA (high) Credit Ratings on Deutsche Bank A.G. Conditional Pass-Through Structured Covered Bonds (Structured - Mortgages) Guaranteed by SCB Alpspitze UG

DBRS Ratings GmbH (Morningstar DBRS) confirmed its credit ratings on the notes issued under the Deutsche Bank AG (DB AG or the Issuer) Conditional Pass-Through Structured Covered Bonds Programme (the programme) guaranteed by SCB Alpspitze UG at AA (high). At the same time, Morningstar DBRS discontinued its credit rating con Series 3 notes, which fully repaid in November 2024. The credit rating actions follow Morningstar DBRS' full review of the programme.

This credit rating action follows Morningstar DBRS' upgrade of the issuer, Deutsche Bank AG (DBAG), on 26 June 2025. Based on Morningstar DBRS' current reference rating (one notch below the COR) of AA (low) on Deutsche Bank, the downgrade provisions outlined in the transaction documents, and other mitigating factors inherent in the transaction structure, Morningstar DBRS considers the risk arising from the exposure to the account bank to be consistent with the credit rating assigned to the covered bonds issued under the programme, as described in Morningstar DBRS' "Legal & Derivative Criteria for European Structured Finance Transactions" methodology.

There are two series of covered bonds (CBs) outstanding under the programme, totalling a nominal amount of EUR 2.81 billion.

CREDIT RATING RATIONALE
The credit ratings are based on the following analytical considerations:
-- A Covered Bonds Attachment Point (CBAP) of AA (low), which is one notch below the Long Term Critical Obligations Rating (COR) of DB AG. DB AG is the Reference Entity (RE) for the programme. Morningstar DBRS assigned a CBAP that is one notch below the COR even if the programme can be seen as strategic to funding the RE's primary activity, departing from the notching schedule guideline proposed in the "Rating and Monitoring Covered Bonds" global methodology. For more information, please refer to the rating report at www.dbrsmorningstar.com.
-- A Legal and Structuring Framework (LSF) Assessment of "Very Strong" associated with the programme.
-- A Cover Pool Credit Assessment (CPCA) of A (low), which is the lowest CPCA in line with the LSF-Implied Likelihood (LSF-L).
-- An LSF-L of AA (high).
-- The level of overcollateralisation (OC) of 32.5% to which Morningstar DBRS gives credit, which is the minimum level observed in the past 12 months adjusted by a scaling factor of 0.85.
-- The sovereign rating on the Federal Republic of Germany, rated AAA with a Stable trend by Morningstar DBRS, as of the date of this press release.

Morningstar DBRS analysed the transaction using its European Covered Bond Cash Flow tool. The main assumptions focused on the timing of defaults and recoveries of the assets, and interest rate stresses.

Everything else being equal, a one-notch downgrade of the CBAP would lead to a one-notch downgrade of the LSF-L, resulting in a one-notch downgrade of the CB credit ratings. In addition, all else unchanged, the CB credit ratings would be downgraded if the CPCA was downgraded below A (low); or (2) the LSF Assessment associated with the programme was downgraded to "Average" or below.

This analysis does not consider the potential recovery uplift of up to two notches from the LSF-L that Morningstar DBRS may apply subject to the level of OC.

As of 31 March 2025, the aggregated outstanding balance of the CP underlying the Issuer's CB was EUR 4.6 billion. The total amount of liabilities outstanding is EUR 2.81 billion, yielding a current nominal OC ratio of 64.5%. The Issuer has publicly committed to maintain an OC level of 15.0%.

As of 31 March 2025, the CP assets comprised 42,362 residential mortgage loans, with a weighted-average (WA) current unindexed loan-to-value ratio of 78.7%, a WA seasoning of 66.5 months, and a WA remaining time to maturity of 211.6 months. The CP is located mainly in the German regions of North Rhine-Westphalia (28% by outstanding balance), Baden-Wuerttemberg (11%), and Lower Saxony (8.1%). Almost all (roughly 99%) of the retail pool yields a fixed coupon and 87% is fully amortising.

The Morningstar DBRS-calculated WA life of the mortgage assets is roughly 11 years based on a 0% prepayment rate, which is longer than the 2.6 years of WA life on the CB, not accounting for any maturity extension. This risk is mitigated by the conditional pass-through nature of the CB.

All CP assets and CB are denominated in euros. As such, investors are not currently exposed to any foreign-exchange risk.

Morningstar DBRS assessed the LSF related to the programme as "Very Strong" according to its rating methodology. For more information, please refer to the DB AG structured CB rating report at www.dbrsmorningstar.com.

For further information on the programme, please refer to the rating report at www.dbrsmorningstar.com.

Morningstar DBRS' credit rating on the covered bonds addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the related interest payment amounts and the related principal balance.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
Credit rating actions on Deutsche Bank AG are likely to have an impact on these credit ratings. ESG factors that have a significant or relevant effect on the credit analysis of Deutsche Bank AG are discussed separately at https://dbrs.morningstar.com/issuers/6178.
 
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings at https://dbrs.morningstar.com/research/454196 (2025-05-16)

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the credit rating is: "Global Methodology for Rating and Monitoring Covered Bonds" (25 March 2025) https://dbrs.morningstar.com/research/450542.

Other methodologies referenced in this transaction are listed at the end of this press release.

Morningstar DBRS has applied the principal methodology consistently and conducted a review of the transaction in accordance with the principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent credit rating action.

For a more detailed discussion of the sovereign risk impact on Structured Finance credit ratings, please refer to "Appendix C: The Impact of Sovereign Credit Ratings on Other Morningstar DBRS Credit Ratings" of the "Global Methodology for Rating Sovereign Governments" at: https://dbrs.morningstar.com/research/436000.

The sources of data and information used for this credit rating include investor reports and loan-by-loan data of the CP as at 31 March 2025, and dynamic delinquencies (90+ days) by vintage of origination, spanning from 2010 to H2 2023, provided by the issuer.

Morningstar DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial credit rating, Morningstar DBRS was not supplied with third-party assessments. However, this did not affect the credit rating analysis.

Morningstar DBRS considers the data and information available to it for the purposes of providing this credit rating to be of satisfactory quality.

Morningstar DBRS does not audit or independently verify the data or information it receives in connection with the credit rating process.

The last credit rating action on this transaction took place on 11 November 2024, when Morningstar DBRS upgraded the credit ratings on the covered bonds.

Information regarding Morningstar DBRS credit ratings, including definitions, policies, and methodologies, is available on https://dbrs.morningstar.com.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom.

Lead Analyst: Alejandro Tendero Delicado, Vice President
Rating Committee Chair: David Lautier, Senior Vice President
Initial Rating Date: 1 November 2019

DBRS Ratings GmbH
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Tel. +49 (69) 8088 3500
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Global Methodology for Rating and Monitoring Covered Bonds (25 March 2025),
https://dbrs.morningstar.com/research/450542.
-- European RMBS Insight Methodology (8 May 2025),
https://dbrs.morningstar.com/research/453613 and European RMBS Insight model v 10.1.0.1.
-- Global Methodology for Rating Banks and Banking Organisations (23 May 2025),
https://dbrs.morningstar.com/research/454637.
-- Legal and Derivative Criteria for European Structured Finance Transactions (19 November 2024),
https://dbrs.morningstar.com/research/443196.
-- Operational Risk Assessment for European Structured Finance Originators and Servicers (18 September 2024),
https://dbrs.morningstar.com/research/439571.
-- Interest Rate Stresses for European Structured Finance Transactions (24 September 2024),
https://dbrs.morningstar.com/research/439913.
-- Global Methodology for Rating Sovereign Governments (15 July 2024),
https://dbrs.morningstar.com/research/436000.
-- Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (16 May 2025), https://dbrs.morningstar.com/research/454196.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/439604.

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.