Moody's announces impact of ResCap downgrade on EMEA RMBS
Approximately EUR 2,024 million of debt securities affected
London, 30 May 2008 -- Following the recent downgrade of ResCap to Ca, on review for downgrade,
Moody's has reviewed EMEA RMBS transactions whereby entities ultimately
owned by ResCap are performing servicing and cash management functions.
The following actions are the result of this review. The ratings
of all notes issued out of the E-MAC DE series were placed on review
for downgrade. No action was taken on the ratings of the notes
issued by the UK RMAC programme and no action was taken on notes issued
by the Dutch E-MAC NL programme.
RATING ANNOUNCEMENTS
E-MAC DE series -- Review for downgrade
In the four outstanding transactions of the E-MAC DE series,
GMAC-RFC Investments B.V. is the appointed servicer
and cash bond administrator. GMAC-RFC Investments B.V.
is an indirect wholly-owned subsidiaries of ResCap (Ca).
GMAC-RFC Investment B.V. sub-delegates the
day-to-day servicing of the loan portfolio to Kreditwerk
Hypotheken Management GmbH ("HM") and part of the special
servicing to Rechtsanwälte Paulus Westerwelle ("PW").
No back-up cash bond administrator or back-up servicer has
been appointed as of closing for these transactions. According
to the sub-servicing agreement, HM may continue to operate
as a day-to-day servicer should the appointment of GMAC-RFC
Investments B.V. be terminated. However, HM
has no obligation to do so unless it agrees new terms of appointment with
the trustee and the issuer. In addition, there are no back-up
provisions in place for the special servicing of the portfolio,
which involves making credit decisions on loan enforcements.Given
the absence of any committed back-up servicer or back-up
cash bond administrator, Moody's believes that there could
be delays in the performance of certain issuer obligations in case the
primary administrator were to be terminated. In particular,
if the termination of the primary administrator occurs a short time before
a note interest payment date, the issuer may be unable to perform
its payment obligations in a timely manner. This could, in
turn, lead to a termination of the swap agreements. Any swap
termination payment payable by the issuer would rank senior to noteholders
in the waterfall and could expose the notes to additional interest rate
risks not previously accounted for in Moody's analysis.
Moody's notes that the originator has started the process to put
in place a back-up cash bond administrator for these transactions
which could mitigate some of the risks mentioned above. Moody's
will monitor this process. However, even if back-up
cash management arrangements are concluded, the absence of back-up
servicing arrangements exposes these notes to a degree of linkage to the
credit quality of the current servicer. The review for downgrade
will focus on assessing the impact of a servicing disruption in terms
of potential increased costs and credit losses for these four German RMBS
transactions. Moody's will evaluate any plans to remedy the
lack of back-up cash management and back-up servicing agreements.
However, if no satisfactory plans were to be implemented over the
period of the review, which Moody's would expect to conclude
over the next few months, the ratings of the notes are likely to
be subject to a downgrade.
RMAC Securities Programme and RMAC series -- No rating action
In the case of the five most recent series of notes issued out of the
RMAC Securities Programme in the UK, GMAC RFC Limited is the appointed
series servicer and series cash bond administrator. GMAC RFC Limited
is a wholly-owned subsidiary of GMAC RFC (UK) Limited which in
turn is a wholly-owned subsidiary of ResCap (Ca).
Homeloan Management Limited ("HML") (SQ2+) is the sub-delegated
day-to-day servicer as well as the back-up servicer
which will assume the role of primary servicer in case the appointment
of GMAC RFC Limited is terminated by the trustee because of insolvency
or default on its obligations. Unlike in other UK RMBS transactions
originated by GMAC RFC Limited, no back-up cash bond administrator
has been appointed as of closing for these series of notes. Moody's
has been informed that GMAC RFC Limited is in the process to put in place
a back-up cash bond administrator for these transactions,
which would mitigate the risks described above.
Moody's also notes that for a number of other UK RMBS transactions
of the RMAC series (RMAC 2003-NS1 plc, RMAC 2003-NS2
plc, RMAC 2003-NS3 plc, RMAC 2003-NS4 plc,
RMAC 2004-NS1 plc, RMAC 2004-NSP2 plc, RMAC
2004-NS3 plc, RMAC 2004-NSP4 plc, RMAC 2005-NS1
plc and RMAC 2005-NSP2 plc) no back-up administration agreements
were in place as of closing. However on the 9th of May 2008 GMAC
RFC Limited and HML entered into a standby administration deed whereby
HML assumed the obligation to continue performing servicing and cash bond
administration functions in case the appointment of GMAC RFC Limited is
terminated by the trustee. In Moody's view, the standby
administration deed mitigates the risks of a servicing and administration
transfer.
E-MAC NL series -- No rating action
Finally, for the transactions of the E-MAC NL series and
for the series of notes issued out of the E-MAC Program,
GMAC RFC Nederland B.V. is the appointed servicer and cash
bond administrator. GMAC RFC Nederland B.V. is a
company incorporated in the Netherlands in 2000 and it is an indirect
wholly-owned subsidiary of ResCap. Stater Nederland B.V.
("Stater") and Quion Groep B.V. (SQ2) ("Quion")
are the delegated day-to-day servicers of the mortgage loans
according to the different origination channels. Stater and Quion
are responsible for the daily loan administration as well as for the special
servicing and foreclosure proceedings for the defaulted loans.
Both Stater and Quion have committed to assume the role of primary servicer
in case the appointment of GMAC RFC Nederland B.V. is terminated.
No back-up cash bond administrator has been appointed as of closing
for the transactions of the E-MAC NL series and E-MAC Program.
Moody's has been informed that GMAC RFC Nederland B.V.
is in the process to put in place a back-up cash bond administrator
for all the transactions of the E-MAC NL series and for the series
of notes issued in 2006 and 2007 out of the E-MAC Program.
In the latest two transactions issued in 2008 by the E-MAC Program,
ATC Financial Services B.V. is the appointed third party
issuer administrator performing the cash management functions.
Moody's will continue to closely monitor all these transactions,
in particular the completion of the back-up cash bond administrator
agreements and any other implications on the ratings of the notes due
to weakening of the credit quality of the servicer.
LIST OF RATING ACTIONS
Issuer: E-MAC DE 2005-I B.V.
Senior Class A Mortgage-Backed Notes 2005 due 2047
Current Rating: Aaa, on review for downgrade
Mezzanine Class B Mortgage-Backed Notes 2005 due 2052
Current Rating: Aa2, on review for downgrade
Junior Class C Mortgage-Backed Notes 2005 due 2052
Current Rating: A1, on review for downgrade
Subordinated Class D Mortgage-Backed Notes 2005 due 2052
Current Rating: Baa2, on review for downgrade
Subordinated Class E Mortgage-Backed Notes 2005 due 2052
Current Rating: Ba1, on review for downgrade
Issuer: E-MAC DE 2006-I B.V.
Senior Class A Mortgage-Backed Notes 2006 due 2048
Current Rating: Aaa, on review for downgrade
Mezzanine Class B Mortgage-Backed Notes 2006 due 2057
Current Rating: Aa2, on review for downgrade
Junior Class C Mortgage-Backed Notes 2006 due 2057
Current Rating: A1, on review for downgrade
Subordinated Class D Mortgage-Backed Notes 2006 due 2057
Current Rating: A3, on review for downgrade
Subordinated Class E Mortgage-Backed Notes 2006 due 2057
Current Rating: Baa2, on review for downgrade
Subordinated Class F Mortgage-Backed Notes 2006 due 2057
Current Rating: Ba3, on review for downgrade
Issuer: E-MAC DE 2006-II B.V.
Senior Class A1 Mortgage-Backed Notes 2006 due 2048
Current Rating: Aaa, on review for downgrade
Senior Class A2 Mortgage-Backed Notes 2006 due 2058
Current Rating Aaa, on review for downgrade
Mezzanine Class B Mortgage-Backed Notes 2006 due 2058
Current Rating: Aa1, on review for downgrade
Junior Class C Mortgage-Backed Notes 2006 due 2058
Current Rating: Aa3, on review for downgrade
Subordinated Class D Mortgage-Backed Notes 2006 due 2058
Current Rating: A3, on review for downgrade
Subordinated Class E Mortgage-Backed Notes 2006 due 2058
Current Rating: Baa2, on review for downgrade
Subordinated Class F Mortgage-Backed Notes 2006 due 2058
Current Rating: Ba3, on review for downgrade
Issuer: E-MAC DE 2007-I B.V.
Senior Class A1 Mortgage-Backed Notes 2007 due 2054
Current Rating: Aaa, on review for downgrade
Senior Class A2 Mortgage-Backed Notes 2007 due 2054
Current Rating: Aaa, on review for downgrade
Mezzanine Class B Mortgage-Backed Notes 2007 due 2054
Current Rating: Aa1, on review for downgrade
Junior Class C Mortgage-Backed Notes 2007 due 2054
Current Rating: Aa3, on review for downgrade
Subordinated Class D Mortgage-Backed Notes 2007 due 2054
Current Rating: A3, on review for downgrade
Subordinated Class E Mortgage-Backed Notes 2007 due 2054
Current Rating: Baa3, on review for downgrade
Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Barbara Rismondo
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454