...Maturity Mismatches Drive OC: The main contributor to the `AAA' breakeven overcollateralisation (OC) of Deutsche Postbank AG's (DPB) mortgage Pfandbriefe of 15.0% remains the cash flow valuation component, which has increased to 13.3% from 12.1% over the past 12 months. Fitch Ratings has applied its residential mortgage prepayment vector adjusted for seasoning, which leads to increased prepayment assumptions and a greater mismatch between assets and liabilities since all the assets mature well before the liabilities. Commingling Loss Reflected: For the first time commingling losses have been modelled as DPB's Issuer Default Rating (IDR) has fallen below the minimum IDR of A/F1 that Fitch expects per its counterparty criteria. This transfers into a further increase of the cash flow valuation component. Credit Risk Increased: The higher but still low credit loss of 5.1% (previously 4.2%) mirrors two factors. Firstly, an increase in the pool's expected foreclosure frequency to 30.1% from 26.8%...
