OREANDA-NEWS. Fitch Ratings-Frankfurt/London-14 December 2015: Fitch Ratings says the recent downgrade of Deutsche Postbank's Issuer Default Rating (IDR, DPB, BBB+/Evolving/F2) (see "Fitch Downgrades Postbank to 'BBB+/F2'; Rating Watch Evolving" dated 10 December 2015 at www.fitchratings.com) will not affect the rating (AAA/Stable) of the bank's mortgage Pfandbriefe. This is because the rating can sustain a downgrade of DPB's IDR by one notch to 'BBB' given its IDR uplift of 2 notches and a Discontinuity Cap of 4 notches, which allow for an unchanged rating on a probability of default basis of 'AA'.

As the programme continues to be classified as dormant, Fitch relies on the publicly stated level of OC of 15% on a nominal base which equals the unchanged breakeven OC. This level of OC supports an 'AA' rating on a tested probability of default basis and allows for a two-notch uplift for outstanding recoveries given default. The OC commitment is only valid for Postbank`s residential mortgage Pfandbriefe programme (cover pool D) and features a one-month notice period.

The rating would be vulnerable to a downgrade if any of the following occurs: (i) the IDR is downgraded by two or more notches to 'BBB-' or below; or (ii) the number of notches represented by the D-Cap is reduced to two or lower; or (iii) the OC that Fitch considers in its analysis decreases below Fitch's 'AAA' breakeven level of 15%.

The Outlook is Stable, despite the Watch Evolving on the issuer, since the rating can sustain a downgrade of DPB's IDR by one notch.