Moody's Downgrades 26 Classes of Dutch E-MAC RMBS Transactions

Strategic Insights -

Moody's Investors Service has recently downgraded the ratings of 26 classes and confirmed the ratings of 14 classes of notes issued by 16 Dutch E-MAC RMBS transactions. The downgrades were announced in response to financial disruption risk and uncertainties regarding counter-indemnities that may be claimed against the issuers. The affected transactions were placed on review for downgrade on March 6, 2025, due to concerns over CMIS Nederland B.V.'s (CMIS) effectiveness as a mortgage payment transaction (MPT) Provider and Issuer Administrator.

Key Takeaways:

  • Moody's downgraded the ratings of 26 classes of notes issued by 16 Dutch E-MAC RMBS transactions, citing financial disruption risk and uncertainties regarding counter-indemnities that may be claimed against the issuers.
  • The downgrades reflect increased uncertainty regarding the effectiveness of transaction governance, based on Moody's expectation of a prolonged period of time needed to replace CMIS as MPT Provider and Issuer Administrator in the transactions.
  • The downgrades also reflect sensitivity to expected increases in servicing fees related to the replacement of the MPT Provider and other fees, including potential legal fees.
  • Moody's confirmed the ratings of 14 classes of notes, citing assessment that the risks relating to financial disruption are commensurate with the current ratings of these notes.
  • The downgrades affect 19 tranches, where the expected tranche loss is commensurate with the current rating.
  • The downgrades reflect Moody's assessment that the risks relating to financial disruption are commensurate with the current ratings of these notes.
  • Moody's ESG scores have changed, with a revised Governance Issuer Profile Score (IPS) of G-3 from G-2 given moderate credit exposure to governance risk, and a revised Credit Impact Score (CIS) to CIS-3 from CIS-2 in 11 transactions.

Statistics:

  • 26 classes of notes were downgraded by Moody's, while 14 classes were confirmed.
  • 19 tranches were downgraded due to increased uncertainty regarding the effectiveness of transaction governance.
  • 7 tranches were downgraded due to expected increases in servicing fees related to the replacement of the MPT Provider and other fees.
  • Moody's ESG scores have changed, with a revised IPS of G-3 from G-2.
  • Moody's revised CIS to CIS-3 from CIS-2 in 11 transactions.
  • The reserve fund for E-MAC Program III B.V. / Compartment NL 2008-II is fully depleted.
  • The liquidity facility for E-MAC Program III B.V. / Compartment NL 2008-II is almost fully depleted, standing at EUR 66,338 as of the latest interest payment date in April 2025.

Sources:

  • Moody's Investors Service (2025). "Rating Action: Moody's Downgrades 26 Classes of Dutch E-MAC RMBS Transactions."
  • Moody's Investors Service (2024). "Residential Mortgage-Backed Securitizations Methodology."
  • Moody's Investors Service (2025). "Ratings Rationale: Moody's Downgrades 26 Classes of Dutch E-MAC RMBS Transactions."