Approximately EUR5.2 billion and 37 classes of debt securities affected
Paris, July 10, 2009 -- Moody's Investors Service said today that following the execution
of transaction amendments that introduced a back-up cash manager
in all the Dutch E-MAC residential mortgage-backed securities
(RMBS) transactions, it has concluded its review and confirmed the
ratings of all the notes in the non-NHG transactions, except
those of the E-MAC NL 2002-I, E-MAC NL 2003-I
and E-MAC NL 2003-II transactions. A complete list
of today's rating actions is included at the end of this press release.
Moody's has downgraded its ratings on all the notes in the E-MAC
NL 2002-I transaction, following the 7 July 2009 announcement
that as a result of the failure to obtain rating confirmations,
the notes are due to be redeemed in full on 27 July 2009 and the publication
of the step-up margins payable on the notes as from 27 July 2009,
if they are not redeemed on that date. Moody's ratings do
not address the likelihood of timely payments under this mandatory redemption.
However, the rating agency believes that given the uncertainty regarding
the obligation and ability of GMAC RFC Nederland B.V. (GMAC
RFC NL) to provide funds for the notes to be redeemed on 27 July 2009,
the transaction is now much likelier to move into enforcement, which
will change the priority of payments and subordinate payments on each
class of notes to the payments of the step up margins on higher ranking
notes (see Moody's press release on 16 June 2009 and below for further
details). As the ratings now incorporate the full probability of
this scenario, as well as the execution of the back up cash management
agreement, Moody's does not expect to further downgrade its
ratings if the notes failed to be redeemed on 27 July 2009 and has therefore
concluded its rating review.
Moody's has kept the ratings of the E-MAC 2003-I and
E-MAC 2003-II transactions on review for possible downgrade,
reflecting their exposure to a similar risk of a change in the priority
of payments upon enforcement if they became subject to a mandatory redemption,
as in the E-MAC NL 2002-I transaction. As the two
E-MAC NL 2003 transactions now benefit from a back-up cash
manager, Moody's rating review no longer reflects cash management
related risks. Moody's expects to conclude its review after
revising its assessment of the probability of a mandatory redemption of
the notes and a subsequent enforcement scenario.
Moody's has also maintained the ratings of the four E-MAC
NL NHG transactions on review for possible downgrade while it completes
its analysis of transaction-specific features unrelated to cash
management. The conclusion of this review will reflect methodology
updates detailed in "Moody's Updated Approach to NHG Mortgages
in Rating Dutch RMBS" published on 17 March 2009.
Moody's placed the ratings of all the notes in the E-MAC
NL non-NHG transactions issued prior to April 2008 on review for
possible downgrade on 3 December 2008 and those of the four Dutch E-MAC
NHG transactions on 10 July 2008. As detailed in press releases
issued then, Moody's rating review reflected the exposure
of the affected transactions to the ability of GMAC RFC NL to fulfil its
role as cash manager in these transactions, if it were to become
insolvent. GMAC RFC NL is an indirect wholly-owned subsidiary
of Residential Capital, LLC, which was downgraded to Moody's
lowest rating of C, on 20 November 2008. Moody's rating
review of the 4 E-MAC NL NHG transactions was also prompted by
NHG guarantee-related concerns.
In addition, on 16 June 2009, Moody's downgraded the
ratings of all the notes in the E-MAC NL 2002-I and those
of the non-senior classes of notes in the E-MAC NL 2003-I
and 2003-II transactions, due to structural features that
Moody's believed might affect the likelihood of an event of default
(E-MAC 2002-I) and the severity of potential losses to noteholders
after the notes are subject to a step-up of interest. A
step-up of interest occurs if the notes remain outstanding after
the relevant put option date. All the Dutch E-MAC NL transactions
are subject to a similar put option process and interest step-up
mechanism but Moody's believes that not all of them are exposed
to the same credit risks as the affected transactions, due to different
structural features (see press release issued on 16 June 2009 and below
for further details).
On July 10 back-up agreements for the role of issuer administrator
(performing the tasks generally associated with a cash manager),
were entered into by the relevant parties in all the E-MAC NL transactions
that closed prior to April 2008. Under these agreements,
ATC Financial Services B.V. (ATC) must step in as third-party
cash manager, within a short time from the termination of GMAC RFC
NL's role as cash manager. In particular, ATC has committed
that within two business days from termination of GMAC RFC NL's
role as cash manager, it would take over GMAC RFC NL's obligations
with respect to payments to be made under the swap and interest payments
under the notes. As the E-MAC NL 2003-I and E-MAC
NL 2003-II and the four E-MAC NL NHG transactions are also
subject to the back-up agreements, Moody's continued
review is no longer driven by the risk of a cash management disruption.
Moody's notes that in the two most recent Dutch E-MAC transactions
issued in 2008 (E-MAC NL 2008-II and E-MAC NL 2008-IV),
ATC is the appointed third-party issuer administrator performing
most of the cash management functions, although GMAC RFC NL still
performs administrative activities at the programme level. Despite
their residual exposure to GMAC RFC NL, the ratings of these transactions
have not been downgraded or placed on review due to the limited scope
of GMAC RFC NL's role.
In all of the E-MAC NL transactions, the interest rate on
any notes not redeemed at the put option date is subject to a step up.
Because this step-up interest (referred to as the "extension
margin") is calculated with reference to market prevailing rates,
it can be significantly higher than the current interest rate level.
This was evidenced by the extension margins published on 7 July 2009 for
E-MAC NL 2002-I (for instance, for Class A,
the extension margin is 6.87% per annum). The step-up
component of the interest on the notes, which is unrated by Moody's,
is generally deeply subordinated in the waterfall. In E-MAC
NL 2002-I and the EMAC NL 2003-I and 2003-II transactions,
in a post-enforcement scenario, the step-up component
of the interest on each class of notes would rank higher in the priority
of payments than the interest and principal on more junior notes,
which could significantly affect the severity of losses on the less senior
notes in the transaction. In addition, in that scenario,
the step-up component of the interest on each class of notes --
including the senior notes -- would also rank higher than principal
payments on the same class of notes, which would affect the severity
of principal losses for that class.
While Moody's rating downgrades for E-MAC NL 2002-I
on 16 June 2009 incorporated the uncertainty as to the outcome of the
credit agency confirmation process and the potential consequences of a
mandatory redemption, today's downgrades incorporate the much
higher likelihood of an enforcement process actually occurring after 27
June 2009, given the uncertainty of whether GMAC RFC NL will provide
funds to redeem the notes on that date under the mandatory redemption
announced on 7 June 2009. However, it should be noted that
with respect to principal payments, Moody's ratings address
the ultimate payment at par on or before the rated final legal maturity
date and not the likelihood of timely payments under a mandatory redemption.
Moody's ratings address only the credit risks associated with the
transaction. Other risks have not been addressed, but may
have a significant effect on yield to investors.
The principal methodology Moody's used in rating these transactions
is described in the Rating Methodology reports: "Moody's Updated
MILAN methodology for Rating Dutch RMBS", published on 16 March
2009, and "Cash Flow Analysis in EMEA RMBS: Testing
Structural Features with the MARCO Model", published in January
2006, which can be found at www.moodys.com in the
Credit Policy & Methodologies directory, in the Ratings Methodologies
subdirectory. Other methodologies and factors that may have been
considered in the process of rating these transactions can also be found
in the Credit Policy & Methodologies directory.
For further information, please refer to www.moodys.com
or contact Moody's Client Service Desk on +44-20 7772 5454.
DETAILED LIST OF RATING ACTIONS
E-MAC NL 2002-I B.V.
Class A, downgraded to Baa1; previously on 18 June 2009 Aa3
placed under review for possible downgrade
Class B, downgraded to Ca; previously on 18 June 2009 downgraded
to Ba1 and maintained under review for possible downgrade
Class C, downgraded to C; previously on 18 June 2009 downgraded
to Ba2 and maintained under review for possible downgrade
Class D, downgraded to C; previously on 18 June 2009 downgraded
to B2 and maintained under review for possible downgrade
E-MAC NL 2004-I B.V.
Class A, confirmed at Aaa; previously on 03 December 2008 Aaa
placed under review for possible downgrade
Class B, confirmed at A2; previously on 03 December 2008 A2
placed under review for possible downgrade
Class C, confirmed at Baa2; previously on 03 December 2008
Baa2 placed under review for possible downgrade
E-MAC NL 2004-II B.V.
Class A, confirmed at Aaa; previously on 03 December 2008 Aaa
placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
Class C, confirmed at Baa1; previously on 03 December 2008
Baa1 placed under review for possible downgrade
E-MAC NL 2005-I B.V.
Class A, confirmed at Aaa; previously on 03 December 2008 Aaa
placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
Class C, confirmed at Baa1; previously on 03 December 2008
Baa1 placed under review for possible downgrade
E-MAC NL 2005-III B.V.
Class A, confirmed at Aaa; previously on 03 December 2008 Aaa
placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
Class C, confirmed at Baa1; previously on 03 December 2008
Baa1 placed under review for possible downgrade
E-MAC NL 2006-II B.V.
Class A, confirmed at Aaa; previously on 03 December 2008 Aaa
placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
Class C, confirmed at Baa1; previously on 03 December 2008
Baa1 placed under review for possible downgrade
E-MAC Program B.V./ Compartment NL 2006-III
Class A1, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class A2, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
E-MAC Program B.V./ Compartment NL 2007-I
Class A1, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class A2, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
E-MAC Program B.V. / Compartment NL 2007-III
Class A1, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class A2, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class B, confirmed at Aa2; previously on 03 December 2008 Aa2
placed under review for possible downgrade
Class C, confirmed at A2; previously on 03 December 2008 A2
placed under review for possible downgrade
E-MAC Program II B.V. / Compartment NL 2007-IV
Class A, confirmed at Aaa; previously on 03 December 2008 Aaa
placed under review for possible downgrade
Class B, confirmed at Aa3; previously on 03 December 2008 Aa3
placed under review for possible downgrade
Class C, confirmed at A2; previously on 03 December 2008 A2
placed under review for possible downgrade
Class D, confirmed at Baa3; previously on 03 December 2008
Baa3 placed under review for possible downgrade
E-MAC Program III B.V. / Compartment NL 2008-I
Class A1, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class A2, confirmed at Aaa; previously on 03 December 2008
Aaa placed under review for possible downgrade
Class B, confirmed at Aa2; previously on 03 December 2008 Aa2
placed under review for possible downgrade
Class C, confirmed at A2; previously on 03 December 2008 A2
placed under review for possible downgrade
A list of these actions including ISIN identifiers may be found at:
Excel: http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF172891
For more information please see www.moodys.com.
Frankfurt
Marie-Jeanne Kerschkamp
Managing Director
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Paris
Ariel Weil
Vice President - Senior Analyst
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades E-MAC NL 2002-I, confirms ratings of 10 other E-MAC RMBS;