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Announcement:

Moody's reviews ratings in 6 German RMBS and updates assumptions in 1 German RMBS

13 Apr 2011

Approximately EUR 343 million of debt securities affected.

London, 13 April 2011 -- Moody's Investors Service has today placed under review for possible downgrade the following 19 classes of notes (the affected notes) issued by six German RMBS transactions (the affected transactions):

- E-MAC DE 2005-I B.V.: Classes C, D and E

- E-MAC DE 2006-I B.V.: Classes B, C, D and E

- E-MAC DE 2006-II B.V.: Classes C, D and E

- E-MAC DE 2007-I B.V.: Classes C, D and E

- HAUS 1998-1 Limited: Classes B2 and B DC

- PROVIDE GEMS 2002-1 PLC: Classes A, B, C and D.

The review was prompted by the worse-than-expected performance of the collateral backing the notes and follows a portfolio review of the performance of all Moody's rated 14 German RMBS transactions currently outstanding. A complete list of all 19 classes of notes placed today on review for possible downgrade can be found at the end of this press release.

Also Moody's Investors Service has today updated the expected loss assumption in the German RMBS transaction Provide-VR 2002-1 and has taken no rating action, in consideration of the sufficient levels of credit enhancement currently available in the structure.

TRANSACTION OVERVIEWS

E-MAC DE 2005-I B.V., E-MAC DE 2006-I B.V., E-MAC DE 2006-II B.V. and E-MAC DE 2007-I B.V. (together, the "E-MAC DE transactions") were originated by GMAC-RFC Bank GmbH, which used intermediaries as its sole origination channel. The weighted-average loan-to-value ratios (WALTVs) in these transactions were in the range of 102% to 113% at issuance, which are significantly higher than the German market average. The E-MAC DE transactions were reviewed due to worse than expected collateral performance in 2008; since then, performance has deteriorated beyond our expectations at the time of the review. Loans more than 90 days in arrears are currently between 10% and 11.5% of the outstanding portfolio balance in the E-MAC DE transactions, while cumulative losses range from 0.6% of the initial portfolio balance in E-MAC DE 2007-I to 1.9% of the initial portfolio balance in E-MAC DE 2006-I.

HAUS 1998-1 Limited closed in May 1998 and the current mortgage pool factor is approximately 4.1%. The assets supporting the notes are mortgage loans secured by residential properties located in Germany; the majority of the mortgage loans in the pool are second-lien. The performance of this transaction has been deteriorating since 2007. Loans more than 60 days in arrears currently amount to approximately 0.59% of the outstanding portfolio balance, while outstanding defaults and loans under enforcement amount to 3.6% and 10.6% of the outstanding portfolio balance, respectively. Losses experienced since closing amount to 0.5% of the original portfolio balance. The top 10 borrowers in the pool represent approximately 8% of the outstanding portfolio balance, exposing the transaction to significant borrower concentration risk. Despite the considerable deleveraging of the transaction since closing, the current rating of class B2 is under pressure given the weak performance and the borrower concentration risk.

PROVIDE GEMS 2002-1 PLC closed in April 2002 and the current mortgage pool factor is approximately 25.5%. The assets supporting the notes are second-lien mortgage loans secured by residential properties located in Germany. The transaction was reviewed due to worse than expected performance in April 2008; since then, performance has deteriorated beyond our expectations at the time of the review. Loans more than 90 days in arrears currently amount to approximately 21.3% of the outstanding portfolio balance, while losses experienced since closing amount to 2.7% of the original portfolio balance.

PROVIDE-VR 2002-1 PLC closed in November 2002 and the current mortgage pool factor is approximately 25.1%. The assets supporting the notes are mortgage loans secured by residential properties located in Germany; the majority of the mortgage loans in the pool are second-lien. The weighted-average LTV at closing was approximately 74.7%, while the current weighted-average LTV is approximately 80%. The transaction was reviewed due to worse than expected performance in March 2009. Loans more than 90 days in arrears currently amount to approximately 0.4% of the current portfolio balance, while outstanding defaults are 5.8% of the current portfolio balance. Losses experienced since closing amount to 2.2% of the original portfolio balance. The loss severity experienced since closing has been approximately 67%. Moody's has increased its expected loss assumption for the portfolio from 3.2% to 4% of the original portfolio balance. The credit enhancement available in the transaction is sufficient to support the ratings of the notes with the revised assumption.

TRANSACTION REVIEWS

In identifying the affected notes, Moody's conducted a portfolio review of all the 14 outstanding German RMBS transactions that it rates. During the analysis, the rating agency took into account the performance of the collateral to date, its deviation from Moody's expectations as well as the levels of credit enhancement available to absorb the future projected losses on the respective portfolios. Within the German RMBS sector, the mortgage portfolios in the affected transactions have shown a material deviation from Moody's performance expectations. After taking into account the level of credit enhancement in each structure, the worse-than-expected performance has prompted Moody's to review the ratings of the affected notes for possible downgrade.

The full review of the ratings of the affected notes will take into account the current capital structures in their respective transactions. As part of its detailed transaction review, for each mortgage portfolio Moody's will reassess its lifetime loss expectation reflecting the collateral performance to date as well as the future macro-economic environment. Moody's will also request, whenever not already available, updated loan-by-loan information to revise its MILAN Aaa credit enhancement. Loan-by-loan information will also allow Moody's to validate its assumptions with regards to which loans have a higher default propensity. The lifetime loss and the MILAN Aaa credit enhancement are the key parameters used by Moody's to calibrate its loss distribution curve, which is one of the core inputs in our cash-flow model.

Moody's has also factored into its analysis the stable sector outlook for German RMBS. The sector outlook reflects the following expectations of key macro-economic indicators: GDP to increase by 2.3% in 2011 and by 1.9% in 2012, unemployment to decrease to 7.3% in 2011 and to 7.1% in 2012, house prices to remain stable. For detailed information please see Moody's-Economy.Com or for transaction specific performance, please refer to Moody's Performance Overviews available on www.moodys.com.

The principal methodologies used in rating and/or monitoring these transactions were Moody's Updated MILAN Methodology for Rating German RMBS published in April 2009, Revising Default/Loss Assumptions Over the Life of an ABS/RMBS Transaction published in December 2008 and Global Structured Finance Operational Risk Guidelines: Moody's Approach to Analyzing Performance Disruption Risk published in March 2011.

RATINGS

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

....EUR9.9M C Mortgage-Backed Notes, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Ba1 (sf)

....EUR9.3M D Mortgage-Backed Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to B1 (sf)

....EUR3M E Mortgage-Backed Notes, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Caa2 (sf)

Issuer: E-MAC DE 2006-I B.V.

....EUR27M B Mortgage-Backed Notes, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Baa1 (sf)

....EUR17.5M C Mortgage-Backed Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Ba2 (sf)

....EUR11.5M D Mortgage-Backed Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to B1 (sf)

....EUR7M E Mortgage-Backed Notes, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Caa1 (sf)

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

....EUR24.5M C Mortgage-Backed Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Ba2 (sf)

....EUR14M D Mortgage-Backed Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to B2 (sf)

....EUR9.8M E Mortgage-Backed Notes, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Caa2 (sf)

Issuer: E-MAC DE 2007-I B.V.

....EUR33.5M C Mortgage-Backed Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to Baa3 (sf)

....EUR13.9M D Mortgage-Backed Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to B1 (sf)

....EUR8.3M E Mortgage-Backed Notes, B3 (sf) Placed Under Review for Possible Downgrade; previously on Jun 9, 2009 Downgraded to B3 (sf)

Issuer: Haus 1998-1 Limited (Deutsche Bank AG - MBS)

....EUR21.5M B2 Certificate, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 10, 2003 Upgraded toBaa1 (sf)

....B DC Certificate, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on Mar 10, 2003 Upgraded to Baa1 (sf)

Issuer: PROVIDE GEMS 2002-1 PLC

....EUR32M A Notes, Aa1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2008 Downgraded to Aa1 (sf)

....EUR46M B Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2008 Downgraded to A2 (sf)

....EUR38M C Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2008 Downgraded to B1 (sf)

....EUR29M D Notes, Ca (sf) Placed Under Review for Possible Downgrade; previously on Apr 9, 2008 Downgraded to Ca (sf)

London
Maria Divid
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Barbara Rismondo
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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 reviews ratings in 6 German RMBS and updates assumptions in 1 German RMBS
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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