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Rating Action:

Moody's confirms 18 notes, upgrades 1 note and downgrades 3 notes in 11 Dutch E-MAC RMBS

23 Aug 2013

London, 23 August 2013 -- Moody's Investors Service has today confirmed the ratings of 10 senior and 8 mezzanine notes in 10 RMBS transactions of the E-MAC NL series. Also, Moody's has upgraded Class B in E-MAC NL 2004-I B.V., downgraded Classes A and B in E-MAC Program B.V. / Compartment NL 2007-NHG V and downgraded Class C in E-MAC Program III B.V. / Compartment NL 2008-I. Upcoming replacement of Issuer account bank holder by an eligible counterparty has prompted today's confirmation and upgrade actions.

Today's rating action concludes the review of the senior and mezzanine notes in the 11 transactions that were placed on review on 14 November 2012 in consideration of the exposure to Issuer Account Bank (http://www.moodys.com/research/Moodys-reviews-for-downgrade-European-RMBS-transactions-with-exposure-to--PR_259635).

For a detailed list of affected ratings, see towards the end of the press release, before regulatory disclosures.

RATINGS RATIONALE

Today's confirmation and upgrade actions reflect the reduction in counterparty risk in the transactions that will occur following the transfer of issuer account bank role to a highly rated entity. Today's upgrade action also reflects sufficient credit enhancement available to support the rating despite the increase in one of Moody's key collateral assumptions, MILAN Aaa CE. Today's downgrade actions primarily reflect insufficient credit enhancement to withstand the increase in MILAN Aaa CE.

-ISSUER ACCOUNT BANK REPLACEMENT

The issuer account banks are currently held by Citibank International Plc (Baa2/P-1) in E-MAC NL 2005-I B.V. and by Royal Bank of Scotland N.V. (A3/P-2, on review for possible downgrade) in the remaining 10 transactions. Moody's has been informed by the issuers that they intend to replace the issuer account bank with Bank Nederlandse Gemeenten (Aaa/P-1) in the coming weeks in each of the 11 transactions.

-COLLATERAL PERFORMANCE

Performance of the E-MAC NL series has been deteriorating. 60 days plus delinquencies have remained at elevated levels trending between 1% and 2%, while realised losses have continued to increase, exceeding 0.3% of original portfolio balance in most of the non fully NHG guaranteed portfolios.

Moody's has assessed updated loan-by-loan information of the outstanding portfolios and as a result has increased its Milan Aaa CE assumption in 10 out of 11 transactions. Moody's has maintained its expected loss assumptions which were previously revised in April 2013 in each of the transactions. A list of the transactions with the updated assumptions is available at the following link: http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF340318

-CREDIT ENHANCEMENT

Credit enhancement to Class B in E-MAC NL 2004-I B.V., which is provided by subordination and a non-amortising reserve fund, amounts to 6.4% of the current pool balance. This level of support is consistent with the upgraded rating, notwithstanding the increase in the MILAN Aaa CE assumption.

In the downgraded ratings, credit enhancement levels were not sufficient to withstand an increase in the MILAN Aaa CE assumption on the collateral pools backing the notes. Credit enhancement to Class A in E-MAC Program B.V. / Compartment NL 2007-NHG V is provided only by the reserve fund at 1.4% of the current pool balance. Class B in E-MAC Program B.V. / Compartment NL 2007-NHG V is an equity note that was issued to fund the reserve fund; it can be redeemed using funds released through reserve fund amortisation, excess spread cannot be used to redeem this note until October 2019.

- SENSITIVITY ANALYSIS

Moody's tested the sensitivity of the upgraded ratings on Class B in E-MAC NL 2004-I B.V. to various stress scenarios. The results show that the ratings would be able to withstand a simultaneous doubling of the expected loss assumption and a 40% increase in the MILAN Aaa CE assumption, all other parameters remaining constant.

Expected loss assumptions remain subject to uncertainties such as the future general economic activity, interest rates and house prices. If realised recovery rates were to be lower or default rates were to be higher than assumed, the rating would be negatively affected.

OTHER DEVELOPMENTS MAY NEGATIVELY AFFECT THE NOTES

As the euro area crisis continues, the ratings of structured finance notes remain exposed to the uncertainties of credit conditions in the general economy. The deteriorating creditworthiness of euro area sovereigns as well as the weakening credit profile of the global banking sector could further negatively affect the ratings of the notes.

Moody's describes additional factors that may affect the ratings in "Approach to Assessing Linkage to Swap Counterparties in Structured Finance Cashflow Transactions" published on 18 July 2013.

The methodologies used in these ratings were Moody's Approach to Rating RMBS Using the MILAN Framework published in May 2013, and The Temporary Use of Cash in Structured Finance Transactions: Eligible Investment and Bank Guidelines published in March 2013. Please see the Credit Policy page on www.moodys.com for a copy of these methodologies.

In reviewing these transactions, Moody's used its cash flow model, ABSROM, to determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the lognormal distribution assumed for the portfolio default rate. In each default scenario, Moody's calculates the corresponding loss for each class of notes given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss for each tranche is the sum product of (1) the probability of occurrence of each default scenario and (2) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

LIST OF AFFECTED RATINGS

Issuer: E-MAC NL 2004-I B.V.

....EUR763M A Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR17.5M B Notes, Upgraded to Aa3 (sf); previously on May 27, 2011 Confirmed at A2 (sf)

Issuer: E-MAC NL 2004-II B.V.

....EUR584M A Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR13M B Notes, Confirmed at Aa3 (sf); previously on Nov 14, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC NL 2005-I B.V.

....EUR476.2M A Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR10.5M B Notes, Confirmed at Aa3 (sf); previously on Nov 14, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC NL 2005-III B.V.

....EUR856.2M A Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR14.7M B Notes, Confirmed at Aa3 (sf); previously on Nov 14, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC NL 2006-II B.V.

....EUR528M A Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR8.8M B Notes, Confirmed at Aa3 (sf); previously on Nov 14, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC NL 2006-NHG I B.V.

....EUR600M A Notes, Confirmed at A1 (sf); previously on Mar 22, 2013 A1 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC Program B.V. / Compartment NL 2007-NHG V

....EUR250M A Notes, Downgraded to A1 (sf); previously on Mar 22, 2013 Aa3 (sf) Placed Under Review for Possible Downgrade

....EUR3M B Notes, Downgraded to B3 (sf); previously on Aug 14, 2009 Confirmed at Ba3 (sf)

Issuer: E-MAC Program B.V./ Compartment NL 2007-I

....EUR447.1M A2 Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR20.4M B Notes, Confirmed at Aa3 (sf); previously on Nov 14, 2012 Aa3 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC Program II B.V. / Compartment NL 2008-IV

....EUR230.6M A Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR11.3M B Notes, Confirmed at Aa2 (sf); previously on Nov 14, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade

Issuer: E-MAC Program III B.V. / Compartment NL 2008-I

....EUR160M A2 Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR7.5M B Notes, Confirmed at Aa2 (sf); previously on Nov 14, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade

....EUR3.9M C Notes, Downgraded to A3 (sf); previously on May 27, 2011 Confirmed at A2 (sf)

Issuer: E-MAC Program III B.V. / Compartment NL 2008-II

....EUR98M A2 Notes, Confirmed at Aaa (sf); previously on Nov 14, 2012 Aaa (sf) Placed Under Review for Possible Downgrade

....EUR5.25M B Notes, Confirmed at Aa2 (sf); previously on Nov 14, 2012 Aa2 (sf) Placed Under Review for Possible Downgrade

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Maria Divid
Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Annabel Schaafsma
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's confirms 18 notes, upgrades 1 note and downgrades 3 notes in 11 Dutch E-MAC RMBS
No Related Data.
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