Frankfurt am Main, March 09, 2020 -- Moody's Investors Service ("Moody's") has today
upgraded the ratings of three Notes in E-MAC DE 2006-II
B.V. and E-MAC DE 2007-I B.V.
The rating action reflects the better than expected collateral performance
as well as increased levels of credit enhancement for the affected Notes.
Moody's affirmed the ratings of the Notes that had sufficient credit enhancement
to maintain the current ratings on the affected Notes.
Issuer: E-MAC DE 2006-II B.V.
....EUR 465.7M Class A2 Notes,
Affirmed A2 (sf); previously on Apr 23, 2019 Affirmed A2 (sf)
....EUR 35.0M Class B Notes,
Upgraded to A2 (sf); previously on Apr 23, 2019 Upgraded to
A3 (sf)
....EUR 24.5M Class C Notes,
Upgraded to B3 (sf); previously on Nov 7, 2014 Downgraded to
Ca (sf)
Issuer: E-MAC DE 2007-I B.V.
....EUR 19.5M Class A1 Notes,
Affirmed A2 (sf); previously on Apr 23, 2019 Affirmed A2 (sf)
....EUR 443.3M Class A2 Notes,
Affirmed A2 (sf); previously on Apr 23, 2019 Affirmed A2 (sf)
....EUR 39.1M Class B Notes,
Upgraded to Baa1 (sf); previously on Apr 23, 2019 Upgraded
to Ba1 (sf)
RATINGS RATIONALE
The rating action is prompted by decreased key collateral assumptions,
namely the portfolio Expected Loss (EL) due to better than expected collateral
performance as well as deal deleveraging resulting in an increase in credit
enhancement for the affected tranches.
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.
The performance of both transactions has been stable since the last rating
action in April 2019. In E-MAC DE 2006-II B.V.
the 90 days plus arrears have declined since the latest rating action
in April 2019 from 17% to 13.7%. In E-MAC
DE 2007-I B.V. the 90 days plus arrears are at approximately
the same level as at the time of the latest rating action, currently
standing at around 9%. Cumulative losses in E-MAC
DE 2006-II B.V. currently stand at 9.12%
of original pool balance, with pool factor of 10.4%
and cumulative losses in E-MAC DE 2007-I B.V.
are currently at 9.90% of the original pool balance,
while the pool factor is 14.2%.
Moody's decreased the expected loss assumption to 10.70%
as a percentage of original pool balance from 11.60% previously
in E-MAC DE 2006-II B.V., and decreased
the expected loss assumption to 11.50% as a percentage of
original pool balance from 12.50% previously in E-MAC
DE 2007-I B.V.
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.
As a result, and in consideration of the Minimum Expected Loss Multiple,
a floor defined in Moody's methodology for rating EMEA RMBS transactions,
Moody's has maintained the MILAN CE assumption at 35% for
E-MAC DE 2006-II B.V. and 33% for E-MAC
DE 2007-I B.V.
Increase in Available Credit Enhancement
Sequential amortization and trapping of excess spread used to reduce the
unpaid PDL in these transactions led to the increase in the credit enhancement
supporting the Notes affected by today's rating action.
For instance, expressed as a percentage of the non defaulted pool
balance, in E-MAC DE 2006-II B.V. the
credit enhancement for Class B increased to 46.9% from 32.6%
since the last rating action in April 2019 and the credit enhancement
for Class C increased to 13.2% from 8.2% over
the same period. In E-MAC DE 2007-I B.V.
the credit enhancement for Class B increased to 30.9% from
18.4% since the last rating action in April 2019.
Counterparty Exposure
Today's rating actions took into consideration the Notes'
exposure to relevant counterparties, such as servicer, account
banks or swap providers.
Moody's assessed how the liquidity available in the transactions and other
mitigants support continuity of Note payments in case of servicer default.
Moody's considers that the factors mitigating the operational risk in
these transactions are insufficient to fully support the continuity of
payments in the event of servicer disruption. As a result,
the ratings of the Class A2 and B notes in E-MAC DE 2006-II
B.V. and Class A1 and A2 notes in E-MAC DE 2007-I
B.V. continue to be constrained by operational risk.
The principal methodology used in these ratings was "Moody's Approach
to Rating RMBS Using the MILAN Framework" published in July 2019.
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) an increase in available credit enhancement;
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, category/class of
debt or security this announcement provides certain regulatory disclosures
in relation to each rating of a subsequently issued bond or Note of the
same series, category/class of debt, security 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.
Gaby Trinkaus, CFA
VP - Senior Credit Officer
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
Masako Oshima
Associate Managing Director
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
Client Service: 44 20 7772 5454
Yunkun Zhang
Associate Lead 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
