(The following statement was released by the rating agency)
March 01 - Fitch Ratings has taken rating actions on E-MAC DE 2006-I B.V., E-MAC DE 2005-I B.V. and E-MAC DE 2006-II B.V. A full rating breakdown can be found at the end of this comment.
The transactions are securitisations of German residential mortgage loans originated by GMAC-RFC Bank GmbH, which was renamed Paratus AMC GmbH in 2011.
The downgrade of E-MAC DE 2006-I’s class C, D and E notes reflect the reduction of the reserve fund by more than 50% and the expectation that the class E principal deficiency ledger (PDL) balance will soon be debited. The reserve fund stands at 21 % of its target level. The likelihood of the class D PDL balance being debited has also increased significantly. The Outlook for the class A and B notes has been revised to Negative from Stable following the expected loss allocation to the junior notes.
The affirmation of E-MAC DE 2005-I and E-MAC DE 2006-II reflect that the current performance of the transactions is in line with Fitch’s expectations. The supporting factors for the affirmations were the lower levels of losses and lower reserve fund draws compared to EMAC DE 2006-I.
Cumulative losses for E-MAC DE 2005-I are at 3.5%, for E-MAC DE 2006-I at 4.2% and for E-MAC DE 2006-II at 2.6%. Generally there is a strong reliance on excess spread in these transactions though for E-MAC DE 2006-I and II reserve fund draws were necessary to cover losses. The reserve fund for E-MAC DE 2005-I stands at its target level while the reserve fund for E-MAC DE 2006-II stands at 88% of its target level.
E-MAC DE 2005-I noteholders may exercise their put right to sell their notes to the issuer in May 2012. Like the other E-MAC transactions in the Netherlands Fitch does not believe that the MPT provider (which is CMIS Investments B.V. for the German transactions) will provide the necessary funds to the issuer. If the issuer is not able to repurchase the notes, the note margins will be reset to a higher level. However, as any excess over the original margins ranks junior in the waterfall, Fitch does not expect this to have an impact on existing ratings for this transaction.
The ratings actions are as follows:
Class A (ISIN XS0221900243): affirmed at ‘AAsf’; Stable Outlook
Class B (ISIN XS0221901050): affirmed at ‘Asf’; Stable Outlook
Class C (ISIN XS0221902538): affirmed at ‘BBB-sf’; Stable Outlook
Class D (ISIN XS0221903429): affirmed at ‘B+sf’; Stable Outlook
Class E (ISIN XS0221904237): affirmed at ‘CCCsf’; Recovery Estimate (RE) of 100%
Class F (ISIN XS0221922056): Paid in full
Class A (ISIN XS0257589860): affirmed at ‘A+sf’; Outlook revised to Negative from Stable
Class B (ISIN XS0257590876): affirmed at ‘BBBsf’; Outlook revised to Negative from Stable
Class C (ISIN XS0257591338): downgraded to ‘Bsf’; Outlook Stable
Class D (ISIN XS0257592062): downgraded to ‘CCCsf’; RE 0%
Class E (ISIN XS0257592575): downgraded to ‘CCsf’; RE 0%
Class F (ISIN XS0257704717): Paid in full
Class A1 (ISIN XS0276932539): affirmed at ‘A+sf’; Stable Outlook
Class A2 (ISIN XS0276933347): affirmed at ‘A+sf’; Stable Outlook
Class B (ISIN XS0276933859): affirmed at ‘BBBsf’; Stable Outlook
Class C (ISIN XS0276934667): affirmed at ‘BBsf’; Stable Outlook
Class D (ISIN XS0276935045): affirmed at ‘Bsf’; Negative Outlook
Class E (ISIN XS0276936019): affirmed at ‘CCCsf’; RE 0%
Class F (ISIN XS0276936951): Paid in full