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Related Issuers
Rating Action:

Moody's downgrades two notes in PB Domicile 2006-1

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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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​
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