Deutsche Bank has launched a revolving master-trust securitization of German residential mortgages that is slated to eventually house between €25-30 billion (US$29.4-$35.2 billion) of collateral from of its subsidiaries.
Wendelstein 2017-1 is initially ramping up with €2.5 billion of mortgages originated by its DB Bauspar unit that originates short-term “building-savings” loans. The portfolio will grow to include loans also originated by Deutsche Bank AG and the institution’s private-banking arm over the next three years.
Wendelstein 2017-1 at the outset will issue €2.3 billion in Class A notes, backed with 8% credit enhancement and carrying a 1.5% coupon.
The deal follows up Deutsche’s July 2015 issuance out of the Wendelstein platform, which launched with €20.3 billion in securitized residential mortgages.
That deal was rated AA by DBRS, but DBRS is shifting down to an A rating for the 2017-1 deal that has half the CE level of the prior deal’s 16%, as well an unknown quantities of loans to be added. Those loans must meet minimum criteria, but the additional loans could vary by amortization or potentially be in arrears, according to DBRS.
Germany’s housing market is currently stable, with record-low interest rates and housing price appreciation of nearly 30% since 2010. However, DBRS notes, there is a risk of a long-term overheated housing market for which DBRS applied a 28% market decline in testing its stress scenario to derive the A-rated notes.
Future loans in the pool could be originated by any of the three Deutsche affiliates, as well; however, the issuer cannot acquire and securitize loans originated by DB AG or DB Private without the issuance of further notes.
The 20,030 loans in the initial pool average €130,9993 per borrower with coupons of 2.3%. They have an average seasoning of three years (with 9.1 years remaining) and an average loan-to-value ratio of 61.4%.
DB Private is the master servicer on all the loans.