E-MAC NL 2005-I B.V. Dutch RMBS Ratings Affirmed On All Classes

  • We have reviewed E-MAC NL 2005-I's performance in line with the publication of our revised counterparty risk criteria.
  • Following our review, we have affirmed our ratings on all classes of notes from this transaction.
  • The transaction is backed by Dutch residential mortgages originated by CMIS Nederland (previously GMAC-RFC Nederland).
Dublin (S&P Global Ratings) Sep. 03, 2019--S&P Global Ratings today affirmed its credit ratings on all classes from E-MAC NL 2005-I B.V.
Upon publication of our revised criteria for assessing counterparty risk in structured finance transactions, we placed our ratings that could be affected by the change in criteria under criteria observation (see "Ratings Placed Under Criteria Observation Due To Revised Counterparty Risk Criteria," and "Counterparty Risk Framework: Methodology And Assumptions," both published on March 8, 2019). Following our review of this transaction, our ratings on the class A, B, C, and D notes are no longer under criteria observation.
The swap counterparty in the transaction is Citibank N.A. The remedial actions defined in the swap agreement were in line with option one of our previous counterparty criteria. Under our revised criteria, we assess the collateral framework as adequate. Based on the combination of the replacement commitment and the collateral-posting framework, the maximum potential rating supported by the swap counterparty in this transaction is 'AA (sf)'. All other rating dependent counterparties do not constrain our ratings on the notes.
The transaction's performance has been in line with our expectations since our previous review. The reserve fund is fully funded, the liquidity facility is undrawn, and there is no principal deficiency ledger balance. Note payment is currently sequential due to a breach in delinquencies, but should the performance triggers pass in the future, this transaction could switch to paying pro rata. We have factored this into our analysis.
Our credit and cash flow analysis indicates that the available credit enhancement for the all notes can support higher ratings than those currently assigned. However, considering the high proportion of interest-only loans in the pool, the pro rata switch feature, and the abovementioned rating cap, we have affirmed our ratings on all classes of notes.
E-MAC NL 2005-I B.V. is a Dutch RMBS transaction backed by Dutch residential mortgages originated by CMIS Nederland (previously GMAC-RFC Nederland).
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