Fitch has completed a negative review of nine German Pfandbrief programmes that it initiated in January 2010 on concerns about commercial real estate exposure, after issuers responded to a request for more information from the rating agency, albeit to varying levels of quality and quantity.

The end of the review process was marked by an affirmation of UniCredit Bank’s mortgage Pfandbriefe at AAA on Wednesday, according to Benjamin Heinrich, associate director, Fitch.  He said that all nine programmes had seen their ratings affirmed, albeit on the basis of higher supporting overcollateralisation levels.

The rating agency in January 2010 placed on Rating Watch Negative mortgage Pfandbriefe issued by Aareal Bank, Bayerische Landesbank, Berlin-Hannoversche Hypothekenbank, Corealcredit Bank, Deutsche Genossenschafts-Hypothekenbank, Deutsche Pfandbriefbank, Eurohypo, Landesbank Hessen-Thüringen Girozentrale, and UniCredit Bank.

At that time it said that the negative review was initiated because of concerns about the credit risk in commercial real estate lending against what it said was “a background of limited available information on this type of exposure and moderate levels of overcollateralisation between the cover pools and the corresponding covered bonds”.

The rating agency in May 2010 published revised criteria relating to the credit analysis of European granular commercial mortgage pools securing covered bonds.

By August 2010 seven of the nine affected issuers had provided Fitch with line-by-line information on the loans included in the cover pool, and on the related borrowers and underlying properties. Eurohypo and UniCredit Bank had yet to provide the line-by-line information by that time.

Rebecca Holter, senior director, Fitch, told The Covered Bond Report that all of the issuers delivered at least basic line-by-line data, and that in several cases there was a second round of data delivery because most of the issuers were unable to quickly provide the requested information.

“That’s also why it took longer than initially expected to finish the review process,” she said.

The data was not delivered in a standardised way, she said, with the extraction of data from IT systems a very individual process to the issuer. Therefore the level of data delivered to the agency differed substantially regarding quality and quantity among the issuers.

“Overall we have seen improved delivery for all issuers as except in a few cases the issuers delivered detailed line-by-line data,” she added.

Corealcredit’s Pfandbriefe were the first to be affirmed, at AA+, on 10 August 2010. By July 2011 Fitch had affirmed a further six programmes, leaving UniCredit Bank’s and Eurohypo’s Pfandbriefe on Rating Watch Negative.

The rating agency at that time said that UniCredit Bank had completed its IT integration with UniCredit Group at the end of 2010 and that the issuer had since then been working to complete Fitch’s data template for commercial real estate loans and was planning to make detailed information available within the next two months.

One month later the rating agency said that Eurohypo had begun to deliver line-by-line data in January 2011, and that it had conducted most of the rating analysis and understood that further data would be provided and outstanding points clarified within the coming week. On 20 September Fitch affirmed Eurohypo’s mortgage Pfandbriefe, but withdrew their rating in December because “the issuer has chosen to stop participating in the process” and the rating agency would no longer have sufficient information to maintain a rating.

On Wednesday Fitch said that it had received detailed information about the cover pool assets backing UniCredit mortgage Pfandbriefe, but that not all required information for the credit analysis could be provided line-by-line by the issuer.

It said that detailed line-by-line information was only provided for a sample representing around 33% of the total cover pool, with part of the available information not used by the rating agency given concerns about representativeness for the total cover pool.

“Nevertheless, Fitch deemed the overall data quality as below average but still to be sufficient to complete its analysis,” said the rating agency.