Moody’s upgraded mortgage-backed covered bonds issued by Deutsche Kreditbank yesterday (Thursday) from Aa2 to Aa1, citing a reduction in the programme’s asset-liability mismatch profile.

The rating agency said that the upgrade reflects a maturing repayment profile and a resultant decline in asset-liability mismatch, which in turn has led to a reduction in the level of overcollateralisation (OC) consistent with a given rating of the mortgage Pfandbriefe.

Under Moody’s methodology, the minimum level of OC required by Deutsche Kreditbank to maintain a Aa1 rating is 14.5% (in NPV terms), none of which needs to be on a committed basis. Deutsche Kreditbank holds 148.3% OC in its cover pool, with 2% provided on a committed basis.