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Rating Action:

Moody's takes rating actions in five Dutch RMBS E-MAC NL transactions

08 Mar 2018

London, 08 March 2018 -- Moody's Investors Service has today upgraded the ratings of two notes in E-MAC NL 2005-III B.V. and E-MAC NL 2004-I B.V. Moody's also downgraded the ratings of 3 notes in E-MAC NL 2006-NHG I B.V., E-MAC Program B.V. / Compartment NL 2007-NHG II and E-MAC NL 2006-II B.V. Moody's affirmed the ratings of six notes and confirmed the rating of one note in all five E-MAC NL transactions.

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

....EUR763M Class A Notes, Affirmed Aaa (sf); previously on Jun 27, 2017 Affirmed Aaa (sf)

....EUR17.5M Class B Notes, Affirmed Aa2 (sf); previously on Jun 27, 2017 Upgraded to Aa2 (sf)

....EUR12M Class C Notes, Upgraded to A1 (sf); previously on Jun 27, 2017 Upgraded to Baa1 (sf)

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

....EUR856.2M Class A Notes, Affirmed Aaa (sf); previously on Jun 27, 2017 Affirmed Aaa (sf)

....EUR14.7M Class B Notes, Affirmed Aa1 (sf); previously on Jun 27, 2017 Upgraded to Aa1 (sf)

....EUR10M Class C Notes, Upgraded to Aa3 (sf); previously on Jun 27, 2017 Upgraded to A1 (sf)

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

....EUR528M Class A Notes, Affirmed Aaa (sf); previously on Jun 27, 2017 Affirmed Aaa (sf)

....EUR8.8M Class B Notes, Affirmed Aa2 (sf); previously on Jun 27, 2017 Upgraded to Aa2 (sf)

....EUR5.5M Class C Notes, Downgraded to Baa1 (sf); previously on Dec 11, 2017 A3 (sf) Placed Under Review for Possible Downgrade

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

....EUR600M Class A Notes, Downgraded to Baa1 (sf); previously on Dec 15, 2017 A1 (sf) Placed Under Review for Possible Downgrade

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

....EUR600M Class A Notes, Downgraded to Ba1 (sf); previously on Dec 15, 2017 A3 (sf) Placed Under Review for Possible Downgrade

....EUR7.2M Class B Notes, Confirmed at Caa2 (sf); previously on Dec 15, 2017 Caa2 (sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

The rating upgrades in E-MAC NL 2005-III B.V. and E-MAC NL 2004-I B.V. reflect the increased credit enhancement of the affected notes.

The rating downgrades in E-MAC NL 2006-NHG I B.V., E-MAC Program B.V. / Compartment NL 2007-NHG II and E-MAC NL 2006-II B.V. are prompted by the erosion of excess spread combined with the low credit enhancement in the three transactions.

-- Increased Credit Enhancement in E-MAC NL 2004-I B.V. and E-MAC NL 2005-III B.V.

Deal deleveraging resulted in increased credit enhancement for the C tranches in E-MAC NL 2004-I B.V. and E-MAC NL 2005-III B.V. leading to the rating upgrades. The credit enhancement of the C tranches in E-MAC NL 2004-I B.V. and E-MAC NL 2005-III B.V. increased from 1.4% and 1.5% respectively at closing to 5.2% and 4.0% currently.

-- Erosion of excess spread in in E-MAC NL 2006-NHG I B.V., E-MAC Program B.V. / Compartment NL 2007-NHG II and E-MAC NL 2006-II B.V.

Moody's placed four notes in E-MAC NL 2006-NHG I B.V., E-MAC Program B.V. / Compartment NL 2007-NHG II and E-MAC NL 2006-II B.V. on review for possible downgrade in December 2017 to reflect the reduction on portfolio yield. Moody's analyzed the data provided by Intertrust Trustee Services B.V. regarding the portfolio interest proceeds after payments under the hedging arrangements.

Moody's observed that the excess spread has reduced in all three transactions, turning negative in the in E-MAC Program B.V. / Compartment NL 2007-NHG II and E-MAC NL 2006-NHG I B.V. In E-MAC Program B.V. / Compartment NL 2007-NHG II, the erosion of excess spread led to drawings from the Reserve Accounts which now stands below its target. The erosion of the excess spread combined with the low credit enhancement of the tranche C in E-MAC NL 2006-II B.V. , tranche A in E-MAC NL 2006-NHG I B.V. and tranche A in E-MAC Program B.V. / Compartment NL 2007-NHG II led to the rating downgrade.

-- Revision of Key Collateral Assumptions

Moody's conducted a loan by loan analysis and reassessed the collateral assumptions of all five E-MAC NL transactions affected by today's rating actions. Moody's maintained the Expected Loss (EL) and MILAN CE assumptions in E-MAC NL 2004-I B.V., E-MAC NL 2005-III B.V. and E-MAC NL 2006-II B.V.

Moody's reduced the MILAN CE in E-MAC NL 2006-NHG I B.V. and E-MAC Program B.V. / Compartment NL 2007-NHG II from 6% to 5%. Moody's increased the EL assumption in E-MAC NL 2006-NHG I B.V. from 0.23% to 0.28% of original balance.

The principal methodology used in these ratings was "Moody's Approach to Rating RMBS Using the MILAN Framework" published in September 2017. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

The analysis undertaken by Moody's at the initial assignment of ratings for RMBS securities may focus on aspects that become less relevant or typically remain unchanged during the surveillance stage. Please see Moody's Approach to Rating RMBS Using the MILAN Framework for further information on Moody's analysis at the initial rating assignment and the on-going surveillance in RMBS.

Factors that would lead to an upgrade or downgrade of the ratings:

Factors or circumstances that could lead to an upgrade of the ratings include (1) performance of the underlying collateral that is better than Moody's expected, (2) deleveraging of the capital structure and (3) improvements in the credit quality of the transaction counterparties.

Factors or circumstances that could lead to a downgrade of the ratings include (1) an increase in sovereign risk (2) performance of the underlying collateral that is worse than Moody's expected, (3) deterioration in the notes' available credit enhancement and (4) deterioration in the credit quality of the transaction counterparties.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on an assessment of collateral characteristics to determine the collateral loss distribution, that is, the function that correlates to an assumption about the likelihood of occurrence to each level of possible losses in the collateral. As a second step, Moody's evaluates each possible collateral loss scenario using a model that replicates the relevant structural features to derive payments and therefore the ultimate potential losses for each rated instrument. The loss a rated instrument incurs in each collateral loss scenario, weighted by assumptions about the likelihood of events in that scenario occurring, results in the expected loss of the rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

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 credit rating action on the support provider and in relation to each particular credit 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 credit rating action, and whose ratings may change as a result of this credit 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.

Carole Sanz-Paris
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454

Michelangelo Margaria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 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
Client Service: 44 20 7772 5454

No Related Data.
© 2019 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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