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