Frankfurt am Main, June 18, 2018 -- Moody's Investors Service ("Moody's") has today upgraded the ratings of
four Notes in 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. At the same time Moody's affirmed the ratings of eight
Notes. These four E-MAC transactions are backed by mortgage
loans granted to German residents and CMIS Investment B.V.
(not rated) (previously GMAC RFC Investment B.V.) acts as
issuer administrator.
Issuer: E-MAC DE 2005-I B.V.
....EUR259.2M (Current Outstanding
0.4M) Class A Notes, Affirmed A2 (sf); previously on
Jul 27, 2017 Upgraded to A2 (sf)
....EUR18.6M Class B Notes, Affirmed
A2 (sf); previously on Jul 27, 2017 Upgraded to A2 (sf)
....EUR9.9M Class C Notes, Upgraded
to Baa2 (sf); previously on May 6, 2016 Upgraded to Ba3 (sf)
....EUR9.3M Class D Notes, Affirmed
Caa3 (sf); previously on May 6, 2016 Affirmed Caa3 (sf)
Issuer: E-MAC DE 2006-I B.V.
....EUR437M (Current Outstanding 17.6M)
Class A Notes, Affirmed A3 (sf); previously on Jul 27,
2017 Upgraded to A3 (sf)
....EUR27M Class B Notes, Upgraded to
Baa3 (sf); previously on Feb 13, 2017 Upgraded to Ba1 (sf)
....EUR17.5M Class C Notes, Affirmed
Caa3 (sf); previously on Feb 13, 2017 Affirmed Caa3 (sf)
Issuer: E-MAC DE 2006-II B.V.
....EUR465.7M (Current Outstanding
31.7M) Class A2 Notes, Affirmed A2 (sf); previously
on Jul 27, 2017 Upgraded to A2 (sf)
....EUR35M Class B Notes, Upgraded to
Baa2 (sf); previously on Sep 22, 2016 Upgraded to B1 (sf)
Issuer: E-MAC DE 2007-I B.V.
....EUR19.5M (Current Outstanding 2.4M)
Class A1 Notes, Affirmed A2 (sf); previously on Jul 27,
2017 Upgraded to A2 (sf)
....EUR443.3M (Current Outstanding
54.3M) Class A2 Notes, Affirmed A2 (sf); previously
on Jul 27, 2017 Upgraded to A2 (sf)
....EUR39.1M Class B Notes, Upgraded
to Ba3 (sf); previously on Sep 22, 2016 Upgraded to B3 (sf)
RATINGS RATIONALE
Today's upgrades reflect 1) deal deleveraging resulting in an increase
in credit enhancement for the affected tranches and 2) decreased key collateral
assumptions, namely the portfolio Expected Loss ("EL") assumption
due to better than expected collateral performance in E-MAC DE
2006-II B.V. and E-MAC DE 2007-I B.V.
Moody's affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain current rating on the affected tranches.
Increase in Available Credit Enhancement
The upgraded Notes benefit from substantial increase in available credit
enhancement since the last rating action. Sequential amortization
led to the increase in the credit enhancement available in the affected
tranches.
For instance, the credit enhancement for Class C in E-MAC
DE 2005-I B.V. has increased to 23.0%
in May 2018 from 17.4% since the last rating action in May
2016. The credit enhancement for Class B in E-MAC DE 2006-I
B.V. increased to 20.5% from 18.2%
since the last rating action in February 2017. The credit enhancement
for Class B in E-MAC DE 2006-II B.V. increased
to 28.0% from 21.8% since the last rating
action in September 2016. The credit enhancement for Class B in
E-MAC DE 2007-I B.V. increased to 15.5%
from 6.9% since the last rating action in September 2016.
Moody's affirmed the ratings of eight Notes which have sufficient credit
enhancement to maintain their current ratings.
Revision of Key Collateral Assumptions
As part of the rating action, Moody's reassessed its lifetime loss
expectation for the portfolio reflecting the collateral performance to
date.
For E-MAC DE 2006-I B.V., Moody's increased
its EL assumption to 13.0% as a percentage of the original
pool balance from 12.7% given the delinquencies levels remain
at high level, with 90 days plus arrears standing at 19.2%
in May 2018.
For E-MAC DE 2006-II B.V. and E-MAC
DE 2007-I B.V., Moody's decreased the EL assumption
to 11.6% and 12.9% from 12.5%
and 14.0% of original pool balance respectively due to the
improving performance.
EL assumption for E-MAC DE 2005-I B.V. remained
unchanged at 9.9% as a percentage of the original pool balance
as the performance of the securitised pool remains in line with Moody's
assumption.
Moody's has also assessed loan-by-loan information as a
part of its detailed transaction review to determine the credit support
consistent with target rating levels and the volatility of future losses.
Moody's updated the MILAN CE in consideration of the Minimum Expected
Loss Multiple EL, a floor defined in Moody's updated methodology
for rating EMEA RMBS transactions. For E-MAC DE 2005-I
B.V. and E-MAC DE 2007-I B.V.,
Moody's has increased the portfolio credit MILAN assumption to 33%
from 28%; For E-MAC DE 2006-I B.V.
and E-MAC DE 2006-II B.V., Moody's has
increased the portfolio credit MILAN assumption to 35% from 28%
given the high LTV ratio of the current portfolio and the large regional
concentration in East Germany in excess of the benchmark.
In those four E-MAC transactions, the reserve funds have
been fully drawn, however the transactions still benefit from the
available liquidity. Moody's also considered how the liquidity
available in those transactions in case or shortfall and other mitigants
support continuity of note payments in case of servicer default.
Principal Methodology
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 these
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) performance of the underlying collateral that is worse than
Moody's expected, (2) deterioration in the notes' available credit
enhancement (3) deterioration in the credit quality of the transaction
counterparties and (4) increase in sovereign risk.
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.
Yuezhen Wang
Analyst
Structured Finance Group
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Carole Sanz-Paris
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Releasing Office:
Moody's Deutschland GmbH
An der Welle 5
Frankfurt am Main 60322
Germany
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
