Frankfurt, April 07, 2009 -- Moody's Investors Service has announced that it has taken ratings
actions on a number of German RMBS following the update of Moody's
rating methodology for German RMBS. A report titled "Moody's
Updated Milan Methodology for Rating German RMBS" which describes
the methodology updates in more detail was published earlier today.
Due to the change in methodology, 16 tranches of 4 transactions
were downgraded by 1 to 2 notches. These negatively affected tranches
were issued by 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.
In addition, the review of German RMBS also led to upgrades of 9
tranches of 3 transactions by 1 to 3 notches. All other ratings
of outstanding notes of German RMBS transactions were affirmed.
As indicated in Moody's earlier announcement, the most important
update in Moody's methodology leads to higher stressed default frequency
assumptions for loans with high loan-to values (LTV). Moody's
has assessed updated loan-by-loan information for the outstanding
portfolios to determine the volatility of the distribution of future losses.
As a result, Moody's has updated its Milan Aaa credit enhancement
(Milan Aaa CE) assumptions as detailed below. The expected loss
and the Milan Aaa CE are the two key parameters used by Moody's to calibrate
its loss distribution curve, which is one of the core inputs in
the cash-flow model it uses to rate RMBS transactions. The
methodology update resulted in significantly higher Milan Aaa CE numbers
for 4 transactions which has in turn lead to negative rating actions.
Moody's has not adjusted upwards its portfolio expected loss assumptions.
The following 4 transactions were affected by the update in methodology
as in these transactions loans with very high loan-to-values
were securitised. All notes issued by those 4 issuers also remain
on review for possible downgrade because of the existing operational concerns
due to GMAC-RFC's role as issuer administrator in these transactions
and the lack of a back-up arrangement as explained in more detail
in Moody's announcements in respect to of these transactions published
on 30 May 2008 and 12 December 2008.
Issuer: E-MAC DE 2005-I B.V.:
- Class A Mortgage-Backed Notes 2005 due 2047, Current
Rating Aa1, remain on review for possible downgrade;
- Class B Mortgage-Backed Notes 2005 due 2052, downgraded
to Aa3 from Aa2, remain on review for possible downgrade;
- Class C Mortgage-Backed Notes 2005 due 2052, downgraded
to Baa1 from A2, remain on review for possible downgrade;
- Class D Mortgage-Backed Notes 2005 due 2052, downgraded
to Ba1 from Baa3, remain on review for possible downgrade;
and
- Class E Mortgage-Backed Notes 2005 due 2052, downgraded
to B2 from B1, remain on review for possible downgrade.
- Last rating action: 12 December 2008.
Based on the updated methodology Moody's Milan Aaa CE for this transaction
increased from 15.7% at the most recent review to 22.3%.
Moody's has kept unchanged the expected loss assumption of 3%
of the pool balance as of closing.
Issuer: E-MAC DE 2006-I B.V.:
- Class A Mortgage-Backed Notes 2006 due 2048, Current
Rating Aa1, remain on review for possible downgrade;
- Class B Mortgage-Backed Notes 2006 due 2057, downgraded
to A1 from Aa3, remain on review for possible downgrade;
- Class C Mortgage-Backed Notes 2006 due 2057, downgraded
to Baa2 from A3, remain on review for possible downgrade;
- Class D Mortgage-Backed Notes 2006 due 2057, downgraded
to Ba1 from Baa3, remain on review for possible downgrade;
- Class E Mortgage-Backed Notes 2006 due 2057, downgraded
to B1 from Ba3, remain on review for possible downgrade.
- Last rating action: 12 December 2008.
Based on the updated methodology Moody's Milan Aaa CE for this transaction
increased from 18.5% at the most recent review to 25.7%.
Moody's has kept unchanged the expected loss assumption of 3%
of the pool balance as of closing.
Issuer: E-MAC DE 2006-II B.V.:
- Class A1 Mortgage-Backed Notes 2006 due 2048, Current
Rating Aa1, remain on review for possible downgrade;
- Class A2 Mortgage-Backed Notes 2006 due 2058, Current
Rating Aa1, remain on review for possible downgrade;
- Class B Mortgage-Backed Notes 2006 due 2058, downgraded
to A2 from Aa3, remain on review for possible downgrade;
- Class C Mortgage-Backed Notes 2006 due 2058, downgraded
to Baa2 from A3, remain on review for possible downgrade;
- Class D Mortgage-Backed Notes 2006 due 2058, downgraded
to Ba2 from Ba1, remain on review for possible downgrade;
- Class E Mortgage-Backed Notes 2006 due 2058, downgraded
to B2 from Ba3, remain on review for possible downgrade; and
- Class F Notes 2006 due 2058, Current Rating B2, remain
on review for downgrade.
- Last rating action: 12 December 2008.
Based on the updated methodology Moody's Milan Aaa CE for this transaction
increased from 16.9% at the most recent review to 23.4%.
Moody's has kept unchanged the expected loss assumption of 3%
of the pool balance as of closing.
Issuer: E-MAC DE 2007-I B.V.:
- Class A1 Mortgage-Backed Notes 2007 due 2054, Current
Rating Aa1, remain on review for possible downgrade;
- Class A2 Mortgage-Backed Notes 2007 due 2054, Current
Rating Aa1, remain on review for possible downgrade;
- Class B Mortgage-Backed Notes 2007 due 2054, downgraded
to Aa3 from Aa2, remain on review for possible downgrade;
- Class C Mortgage-Backed Notes 2007 due 2054, downgraded
to A3 from A2, remain on review for possible downgrade;
- Class D Mortgage-Backed Notes 2007 due 2054, downgraded
to Ba1 from Baa2, remain on review for possible downgrade;
and
- Class E Mortgage-Backed Notes 2007 due 2054, downgraded
to Ba3 from Ba2, remain on review for possible downgrade.
- Last rating action: 12 December 2008.
Based on the updated methodology Moody's Milan Aaa CE for this transaction
increased from 17.6% at the most recent review to 25.5%.
Moody's has kept unchanged the expected loss assumption of 3%
of the pool balance as of closing.
As part of a review of outstanding German RMBS transactions, Moody's
has also identified 9 tranches of 3 transactions that have been upgraded.
These upgrades are due to deleveraging at the individual loan level (which
has led to a decrease of LTVs since closing) and an increase in the relative
subordination available to the rated notes since closing due to the sequential
amortisation of the transactions.
The following 3 transactions were affected.
Issuer: Provide-A 2003-1 plc:
- Senior CDS, Current Rating Aaa, affirmed;
- Class A+ Floating Rate Credit Linked Notes, Current
Rating Aaa, affirmed;
- Class A Floating Rate Credit Linked Notes, Current Rating
Aaa, affirmed;
- Class B Floating Rate Credit Linked Notes, upgraded to
Aaa from Aa2;
- Class C Floating Rate Credit Linked Notes, upgraded to
Aa2 from A2;
- Class D Floating Rate Credit Linked Notes, upgraded to
A3 from Baa2.
- Last rating action: Ratings assigned on 16 October 2003.
Due to the amortisation of the securitised loans and the increasing seasoning
benefit, Moody's Milan Aaa CE for this transaction has decreased
to 6.4% from 8% at closing. For this review,
Moody's has kept the expected loss unchanged at 0.95%
of closing balance.
Issuer: Provide-A 2004-1 plc:
- Senior CDS, Current Rating Aaa, affirmed;
- Class A+ Floating Rate Credit Linked Notes, Current
Rating Aaa, affirmed;
- Class A Floating Rate Credit Linked Notes, Current Rating
Aaa, affirmed;
- Class B Floating Rate Credit Linked Notes, upgraded to
Aa1 from Aa2;
- Class C Floating Rate Credit Linked Notes, upgraded to
Aa3 from A2;
- Class D Floating Rate Credit Linked Notes, upgraded to
A3 from Baa2;
- Class E Floating Rate Credit Linked Notes, Current Rating
Ba2, affirmed.
- Last rating action: Ratings assigned on 19 February 2004.
Due to the methodology update, Moody's Milan Aaa CE for this
transaction has slightly increased to 4.8% from 4.6%
at closing. For this review, Moody's has kept the expected
loss unchanged at 0.43% of closing balance.
Issuer: Provide-A 2005-1 plc:
- Senior CDS, Current Rating Aaa, affirmed;
- Class A+ Floating Rate Credit Linked Notes, Current
Rating Aaa, affirmed;
- Class A Floating Rate Credit Linked Notes, Current Rating
Aaa, affirmed;
- Class B Floating Rate Credit Linked Notes, upgraded to
Aa1 from Aa2;
- Class C Floating Rate Credit Linked Notes, upgraded to
Aa3 from A1;
- Class D Floating Rate Credit Linked Notes, upgraded to
Baa1 from Baa2;
- Class E Floating Rate Credit Linked Notes, Current Rating
Ba2, affirmed.
- Last rating action: Ratings assigned on 16 December 2005.
Moody's Milan Aaa CE for this transaction has decreased to 3.8%
from 4.2% at closing. For this review, Moody's
has kept the expected loss unchanged at 0.45% of closing
balance.
In addition, following the updated methodology, Moody's
also affirms the ratings of all notes issued by the transactions listed
below:
Building Comfort 2008-1;
Last rating action: Ratings assigned on 30 September 2008.
Moody's Milan Aaa CE for this transaction has increased to 4.4%
from 4.0% at closing. For this review, Moody's
has kept the expected loss unchanged at 0.45% of closing
balance.
Haus 1998-1;
Last rating action: Ratings upgraded on 10 March 2003.
Moody's has not updated the assumptions for this transaction given the
very low pool factor of 6%.
PB Domicile 2006-1;
Last rating action: Ratings assigned on 29 September 2006.
Moody's Milan Aaa CE for this transaction has increased to 5.0%
from 4.2% at closing. For this review, Moody's
has kept the expected loss unchanged at 0.45% of closing
balance.
Provide Gems 2002-1;
Last rating action: Ratings downgraded on 9 April 2008.
Moody's Milan Aaa CE for this transaction has increased to 26.4%
from 24.8% at last review. For this review,
Moody's has kept the expected loss unchanged at 5.5%
of closing balance.
Provide-A 2006-1;
Last rating action: Ratings assigned on 22 December 2006.
Moody's Milan Aaa CE for this transaction has increased to 5.7%
from 4.9% at closing. For this review, Moody's
has kept the expected loss unchanged at 0.45% of closing
balance.
Provide-VR 2002-1;
Last rating action: Ratings downgraded on 11 March 2009.
Moody's Milan Aaa CE for this transaction has increased to 14.6%
from 11.8%. For this review, Moody's
has kept the expected loss unchanged at 3.2% of closing
balance.
Pure German Lion RMBS 2008;
Last rating action: Ratings assigned on 3 December 2008.
Moody's Milan Aaa CE for this transaction has increased to 6.8%
from 5.3% at closing. For this review, Moody's
has kept the expected loss unchanged at 0.6% of closing
balance.
TS Lago One;
Last rating action: Ratings assigned on 22 December 2008.
Moody's Milan Aaa CE for this transaction has remained at 22.8%.
For this review, Moody's has kept the expected loss unchanged
at 2.8% of closing balance.
Moody's monitors these transactions using the rating methodology for German
RMBS as described in the Rating Methodology report "Moody's Updated Milan
Methodology for Rating German RMBS" published today and "Cash Flow Analysis
in EMEA RMBS: Testing Structural Features with the MARCO Model",
published in January 2006.
Copies of Moody's New Issue Reports for these transactions are available
on our website www.moodys.com. Alternatively,
please call Moody's London client service desk on +44 (0)20 7772
5454, to order copies.
London
Neal Shah
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Frankfurt
Martin Lenhard
Asst Vice President - Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's takes rating actions on several German RMBS transactions
