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I AGREE
31 May 2016
London, 31 May 2016 -- Moody's Investors Service has today downgraded the ratings of two notes
in PB Domicile 2006-1. The rating action reflects the level
of credit enhancement available in the deal, exposure to losses
and pace of amortisation for the affected notes.
Issuer: PB Domicile 2006-1
....EUR48.9M D Notes, Downgraded
to Baa3 (sf); previously on Apr 8, 2016 Baa1 (sf) Placed Under
Review for Possible Downgrade
....EUR15.4M E Notes, Downgraded
to Ba2 (sf); previously on Mar 1, 2016 Baa3 (sf) Placed Under
Review for Possible Downgrade
RATINGS RATIONALE
The downgrade of the Class D and E Notes is prompted by the level of credit
enhancement, exposure to losses and pace of amortisation for the
affected notes. The Class D Notes benefit from the subordination
of the Class E Notes and synthetic excess spread. The Class E Notes
only benefit from synthetic excess spread. We received additional
information on the amortisation profile of the reference portfolio as
a whole, from which losses can arise and be allocated to the notes,
and of the overdue reference claims, which form the basis for amortising
the Class D and E Notes. We also received additional information
on the performance of the overdue reference claims. We considered
this information in determining the weighted average life of the notes
and the tranches' expected loss.
Moody's have taken into consideration the available protection,
in view of portfolio performance and comparatively short weighted average
life, in our analysis to determine the revised rating of the Class
D Notes. The Class E Notes have a longer weighted average life
and thus a longer exposure to losses combined with a high sensitivity
to the pace of amortisation and low credit enhancement.
The issuance proceeds that ultimately back the principal repayment of
the Class D and E Notes are invested in unsecured, unsubordinated
bearer notes (the "Series D Collateral" and "Series
E Collateral", collectively the "Postbank Notes").
Deutsche Postbank AG (with a senior unsecured rating of (P)Baa2) acts
as issuer and custodian of the Postbank Notes. Whilst this is not
currently constraining the notes' ratings, the Class D and
E Notes would be capped at Baa2.
Revision of Key Collateral Assumptions
As part of this rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance to
date.
The performance of the transaction has continued to improve in 2015.
Total delinquencies have decreased in the past year, with 90 days
plus arrears currently standing at 0.99% of current pool
balance compared to 1.73% a year earlier. Cumulative
losses currently stand at 0.29% of original pool balance
compared to 0.28% a year earlier.
Moody's decreased the expected loss assumption to 0.60%
as a percentage of original pool balance from 0.67% due
to the improving performance.
Moody's has maintained the MILAN CE assumption at 6.00%.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in January 2015.
Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
The analysis undertaken by Moody's at the initial assignment of
ratings for RMBS securities may focus on aspects that become less relevant
or typically remain unchanged during the surveillance stage. Please
see Moody's Approach to Rating RMBS Using the MILAN Framework for
further information on Moody's analysis at the initial rating assignment
and the on-going surveillance in RMBS.
Factors that would lead to an upgrade or downgrade of the ratings:
Factors or circumstances that could lead to an upgrade of the ratings
include (1) performance of the underlying collateral that is better than
Moody's expected, (2) deleveraging of the capital structure and
(3) improvements in the credit quality of the transaction counterparties.
Factors or circumstances that could lead to a downgrade of the ratings
include (1) deterioration in the credit quality of the transaction counterparties,
(2) performance of the underlying collateral that is worse than Moody's
expected, (3) deterioration in the notes' available credit enhancement
and (4) a significant increase in sovereign risk.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
The analysis relies on an assessment of collateral characteristics to
determine the collateral loss distribution, that is, the function
that correlates to an assumption about the likelihood of occurrence to
each level of possible losses in the collateral. As a second step,
Moody's evaluates each possible collateral loss scenario using a
model that replicates the relevant structural features to derive payments
and therefore the ultimate potential losses for each rated instrument.
The loss a rated instrument incurs in each collateral loss scenario,
weighted by assumptions about the likelihood of events in that scenario
occurring, results in the expected loss of the rated instrument.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain regulatory
disclosures in relation to the provisional rating assigned, and
in relation to a definitive rating that may be assigned subsequent to
the final issuance of the debt, in each case where the transaction
structure and terms have not changed prior to the assignment of the definitive
rating in a manner that would have affected the rating. For further
information please see the ratings tab on the issuer/entity page for the
respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Alexander Roll
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Masako Oshima
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Gaby Trinkaus
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades two notes in PB Domicile 2006-1
No Related Data.
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