Various Rating Actions On Three Deutsche
Postbank Covered Bond Programs; Ratings Then
Withdrawn At The Bank's Request
Primary Credit Analyst:
Ioan Isopel, Frankfurt (49) 69-33-999-306; [email protected]
Secondary Contact:
Karlo S Fuchs, Frankfurt (49) 69-33-999-156; [email protected]
OVERVIEW
• On July 12, 2012, our updated criteria for assessing counterparty risk in
covered bonds became effective, and issuers had six months to meet the
updated criteria.
• On Dec. 14, 2012, we put our ratings on Deutsche Postbank's
mortgage-covered bonds and DSL Briefe covered bond program on CreditWatch
negative due to the likelihood that these programs would not fully meet
our counterparty criteria by Jan. 11, 2013, when the transition period
ends.
• After reviewing these programs under our updated criteria, including the
bank's progress in mitigating risks we have identified, we have concluded
that account bank and commingling risks remain relevant for the two
programs.
• We are therefore lowering our ratings on the mortgage-covered bond
program to 'AA+' from 'AAA' and those on the DSL Briefe program to 'AA-'
from 'AAA'. At the same time, we are removing the ratings from
CreditWatch.
• We are affirming our 'AAA' ratings on Postbank's public-sector covered
bonds.
• At the issuer's request, we are subsequently withdrawing the ratings on
all three programs and related series. Before the withdrawal, the
outlooks on the mortgage-covered bond and DSL Briefe were negative and
www.standardandpoors.com
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor’s permission. See Terms of Use/Disclaimer on the last page.
1
1059032 | 300642892
Various Rating Actions On Three Deutsche Postbank Covered Bond Programs; Ratings Then Withdrawn At The
Bank's Request
that on the public-sector covered bond was stable.
FRANKFURT (Standard & Poor's) Jan. 4, 2013--Standard & Poor's Ratings Services
has today lowered to 'AA+' from 'AAA' its long-term issue ratings on the
Hypothekenpfandbriefe (mortgage-covered bond) of Germany-based Deutsche
Postbank AG (A+/Negative/A-1). We have also lowered our long-term issue
ratings on Postbank's DSL Briefe program to 'AA-' from 'AAA'. We have removed
the ratings on both programs from CreditWatch, where they were placed with
negative implications on Dec. 14, 2012.
At the same time, we have affirmed our 'AAA/A-1+' issue ratings on Postbank's
Oeffentliche Pfandbriefe (public-sector covered bond) program.
Upon the issuer's request, we have subsequently withdrawn the ratings on all
three programs and related series. Before the withdrawal, the outlooks on the
mortgage-covered bond and DSL Briefe were negative, and that on the
public-sector covered bond program was stable.
Today's rating actions follow our review of the programs' asset and cash flow
information as of Sept. 30, 2012, and the implementation of our updated
counterparty criteria framework (see "Counterparty Risk Framework Methodology
And Assumptions," published Nov. 29, 2012, and "Covered Bonds Counterparty And
Supporting Obligations Methodology And Assumptions," published May 31, 2012).
In line with our updated counterparty criteria framework, we have identified
account bank risk and commingling risk as relevant for the programs.
The review encompassed the credit quality of the cover pools, the cash flow
structure of assets and liabilities, and likely counterparty risks. Because
the most recent cash flow reports we have received are as of Sept. 30, 2012,
and based on quarterly cash flow projections only, we used our worst-case
assumptions to estimate the size of account bank and commingling risks.
Since we published the criteria, we have been in regular contact with the
issuer to monitor progress on addressing the risks we have identified and on
setting up and implementing the action plan to meet the rating criteria.
Under the criteria, using our worst-case assumptions for commingling risk, the
available credit enhancement of 22.15% for the mortgage-covered bond program
as of Sept. 30, 2012, is not sufficient to cover the target credit enhancement
of 22.92% and is only commensurate with three notches of uplift above the
issuer credit rating (ICR).
Likewise, the available credit enhancement of 29.98% for the DSL Briefe as of
Sept. 30, 2012, is not sufficient to cover the target credit enhancement of
41.28%, and is only commensurate with one notch of uplift above the ICR.
The available credit enhancement of 38.23% as of Sept. 30, 2012, for the
public-sector covered bond program is sufficient to cover the target credit
enhancement of 36.47% and is commensurate with the full four possible notches
of uplift above the ICR.
Standard & Poor’s | Research | January 4, 2013
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor’s permission. See Terms of Use/Disclaimer on the last page.
2
1059032 | 300642892
Various Rating Actions On Three Deutsche Postbank Covered Bond Programs; Ratings Then Withdrawn At The
Bank's Request
Under our the criteria in "Revised Methodology And Assumptions For Assessing
Asset-Liability Mismatch Risk In Covered Bonds," published Dec. 16, 2009, the
ratings on the mortgage-covered bonds and DSL Briefe program could be six
notches above the ICR, provided that the counterparty risks have been fully
mitigated. In our view, these risks have not been fully covered. Therefore the
negative outlooks before the withdrawal reflect the negative rating outlook on
the issuer. All else being equal, a potentially negative rating action would
also have an impact on the covered bond ratings.
The stable outlook on the public-sector covered bonds before the withdrawal
reflects that the ratings incorporated only four of the five possible notches
of uplift above the ICR. The one unused notch acts as a buffer, meaning that
under our criteria a potential one-notch downgrade of the issuer would not
automatically lead to a downgrade of the outstanding covered bonds, all else
being equal.
RELATED CRITERIA AND RESEARCH
• Counterparty Risk Framework Methodology And Assumptions, Nov 29, 2012
• Credit FAQ: What Factors Do We Consider When Analyzing Commingling And
Account Bank Risk In Covered Bonds?, Nov. 26, 2012
• Covered bond Ratings Framework: Methodology And Assumptions, June 26,
2012
• Global Investment Criteria For Temporary Investments in Transaction
Accounts, May 31, 2012
• Covered Bonds Counterparty And Supporting Obligations Methodology And
Assumptions, May 31, 2012
• Assessing Asset-Liability Mismatch Risk In Covered Bonds: Revised
Methodology And Assumptions For Target Asset Spreads, April 24, 2012
• Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And
Assumptions, June 14, 2011
• Principles Of Credit Ratings, Feb. 16, 2011
• Advance Notice Of Proposed Criteria Change: Methodologies And Assumptions
For Rating Certain Covered Bonds And CDOs, Aug. 5, 2010
• Revised Methodology And Assumptions For Assessing Asset-Liability
Mismatch Risk In Covered Bonds, Dec. 16, 2009
• Update To The Cash Flow Criteria For European RMBS Transactions, Jan. 6,
2009
• Update To The Criteria For Rating German Residential Mortgage-Backed
Securities, Jan. 6, 2009
• German Law Change Affects Mortgage Foreclosure Period Stresses, Nov. 28,
2008
• A Listing Of S&P's New Actions Aimed At Strengthening The Ratings Process,
Feb. 7, 2008
• CDO Spotlight: Rating Approach To Synthetic CDOs Of Sovereigns Or Local
And Regional Governments, May 3, 2006
• European Legal Criteria for Structured Finance Transactions, March 23,
2005
• German Pfandbrief Framework Further Improved, March 30, 2004
www.standardandpoors.com
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor’s permission. See Terms of Use/Disclaimer on the last page.
3
1059032 | 300642892
Various Rating Actions On Three Deutsche Postbank Covered Bond Programs; Ratings Then Withdrawn At The
Bank's Request
• Cash Flow Criteria For European RMBS Transactions, Nov. 20, 2003
• Surviving Stress Scenarios: Assessing Asset Quality of Public Sector
Covered Bond Collateral, Sept. 30, 2003
• Rating Pfandbriefe--The Analytical Perspective, Jan. 27, 2003
• Criteria For Rating German Residential Mortgage-Backed Securities, Aug.
31, 2001
RATINGS LIST
Downgraded; CreditWatch/Outlook Action; Ratings Withdrawn;
Final
To
Deutsche Postbank AG
Mortgage Covered Bonds (Hypothekenpfandbriefe)
Issue Rating
NR
AA+/Negative
DSL Briefe
Issue Rating
NR
AA-/Negative
From
AAA/Watch Neg
AAA/Watch Neg
Ratings Affirmed; Ratings Withdrawn
Deutsche Postbank AG
Public-Sector Covered Bonds (Oeffentliche Pfandbriefe)
Issue Rating
NR
AAA/Stable/A-1+
AAA/Stable/A-1+
NR--Not rated.
Additional Contact:
Covered Bonds Surveillance; [email protected]
Standard & Poor’s | Research | January 4, 2013
© Standard & Poor's. All rights reserved. No reprint or dissemination without Standard & Poor’s permission. See Terms of Use/Disclaimer on the last page.
4
1059032 | 300642892
Copyright © 2013 by Standard & Poor's Financial Services LLC (S&P), a subsidiary of The McGraw-Hill Companies, Inc.All rights reserved.
No content (including ratings, credit-related analyses and data, model, software or other application or output therefrom) or any part thereof (Content) may be modified,
reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of S&P. The Content
shall not be used for any unlawful or unauthorized purposes. S&P, its affiliates, and any third-party providers, as well as their directors, officers, shareholders, employees or
agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or
omissions, regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is
provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING
WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any
party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without
limitation, lost income or lost profits and opportunity costs) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact or
recommendations to purchase, hold, or sell any securities or to make any investment decisions. S&P assumes no obligation to update the Content following publication in any
form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or
clients when making investment and other business decisions. S&P’s opinions and analyses do not address the suitability of any security. S&P does not act as a fiduciary or
an investment advisor. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or
independent verification of any information it receives.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result,
certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the
confidentiality of certain non-public information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain credit-related analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right
to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and
www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party
redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.
www.standardandpoors.com
5
1059032 | 300642892