July 16 - Fitch Ratings has affirmed PB Domicile 2006-1 PLC, as follows:
EUR 27.6m Class D (ISIN DE000A0GYFL1): affirmed at 'BBBsf'; Stable Outlook
EUR 15.4m Class E (ISIN DE000A0GYFM9): affirmed at 'BBsf'; Outlook revised to Negative from Stable
The affirmations reflect that the transaction's performance is above Fitch's expectations. This is driven by the high cure and removal rate since closing. Cumulative realised losses are at 0.28% and three-month-plus arrears are fairly stable at around 1.0%.
Following the time call as of the early redemption date on 28 November 2011, the class A1+ to C notes were paid in full and the class D notes were partially redeemed. The remaining outstanding notes reflect the amount of overdue reference claims as of the early redemption date less net proceeds received from synthetic excess spread, cures and recoveries as well as removals (due to breaches of eligibility criteria) since the call date. The outstanding note balance as of the May 2012 payment date was EUR43.0m. The remaining protected portfolio amount stands at EUR1.6bn.
Fitch expects synthetic excess spread and proceeds from cures and late recoveries to cover losses for the respective rating scenarios until the class D and E notes are repaid. Since the available synthetic excess spread depends on the portfolio repayment rate as well as the amount of cures and removals, which have been volatile over the past payment periods, the Outlook for the class E has been revised to Negative from Stable.
The transaction is a synthetic securitisation referencing a portfolio of residential mortgage loans originated by Postbank Bank AG.