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Fitch: Loan Mod Loss Reporting Not Uniform among U.S. RMBS Servicers

NEW YORK–(BUSINESS WIRE)–

U.S. RMBS servicers are not uniformly reporting losses associated with principal forbearance loan modifications, according to Fitch Ratings in its latest ‘US RMBS Servicer Snapshot’ report.

Fitch found that the timing of realized loss reporting can vary for loan modifications (mods) with principal forbearance. The forborne amount is often reported as a loss at the time of the mod. However, this is not always the case. The loss realization can also be delayed until the loan is liquidated.

Principal forbearance loan mods are important tools in the suite of options available to mortgage loan servicers for working with borrowers through challenging situations. Under a principal forbearance mod, the borrower’s interest-bearing principal balance is reduced, thus lowering the monthly payment. The forborne amount is not forgiven; the borrower is still obligated to repay the full principal amount when the property is sold or the loan is refinanced. If the loan reaches maturity, the forborne amount is required to be repaid as a balloon payment.

Mortgage loans are generally modified under either the federal Home Affordable Modification Program (HAMP) program, or under a ‘proprietary’ mod program outside of HAMP. Fitch estimates that roughly 1.5 million private label RMBS loans were modified between June 2009 and June 2014. Of that amount, approximately one-third received a HAMP mod, with the remaining two-thirds falling under a proprietary program.

The Treasury Department’s guidance for HAMP mods is for servicers to report to the trustee or securities administrator any forborne principal as a realized loss at the time of the loan modification. Fitch has found that servicers generally follow this reporting guidance for HAMP mods, as well as for many proprietary principal forbearance mod programs.

However, servicers may take a different reporting approach with proprietary mods. Instead of reporting the non-interest bearing deferred amounts as a loss at the time of the mod, the loss may be reported at the time the loan is liquidated. Servicers that report forborne loss amounts in this manner for proprietary mods indicated to Fitch that their approach is guided by the pooling and servicing agreement. If the borrower is eventually able to pay off the loan in full (including the forborne principal), a loss may never be reported.

Fitch’s rating analysis of seasoned transactions is governed by several factors. Among them include observed performance, cash flow analysis, deal structure, servicer practices and loss timing. The impact of delayed reporting of forborne principal losses on RMBS is that subordinate bonds do not incur a principal writedown at the time of the mod. This may allow subordinate bonds to remain outstanding longer than if the loss were realized at the time of the mod. However, Fitch believes that the high percentage of distressed ratings on legacy transactions reflect conservative cash flow assumptions and therefore delayed loss recognition will have minimal ratings pressure.

Fitch will continue to monitor servicer approaches to reporting losses related to principal forbearance on proprietary loan modifications and its impact to RMBS transactions.

‘US RMBS Servicer Snapshot’ is available at ‘www.fitchratings.com‘ or by clicking on the link.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

Monthly RMBS Servicer Snapshot

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=846948

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

FinanceInvestment & Company Information Contact:

Fitch Ratings

Natasha Aikins

Director

+1-212-908-0272

Fitch Ratings

33 Whitehall Street

New York, NY 10004

or

Roelof Slump

Managing Director

+1-212-908-0705

or

Media Relations

Elizabeth Fogerty

+1-212-908-0526

New York

elizabeth.fogerty@fitchratings.com

or

Media Relations

Sandro Scenga

+1-212-908-0278

New York

sandro.scenga@fitchratings.com […]

Fitch Rates Citigroup Mortgage Loan Trust 2014-12

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has assigned the following ratings and Rating Outlooks to one group in Citigroup Mortgage Loan Trust 2014-12 Group 3 Securities:

–$32,493,000 class 3A1 ‘BBBsf’; Outlook Stable.

Fitch is not expected to rate the following class:

–$10,127,235 class 3A2.

CMLTI 2014-12 is composed of three groups. Fitch is rating one bond in one of the groups (Bond 3A1 in group 3). Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated group is collateralized with class 6-A-1 from Adjustable Rate Mortgage Trust 2005-7. While the mortgage pool has performed worse than initial expectations, performance has stabilized and improved in recent years.

Fitch’s stressed mortgage pool loss assumption in the ‘BBBsf’ rating scenario is approximately 21% of the underlying pool. Fitch assumes home prices decline 20% below their sustainable levels in a ‘BBBsf’ rating scenario. The principal balances of all subordinate classes of the underlying transaction have been entirely written down and the underlying class has already experienced writedowns.

KEY RATING DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from ‘CCCsf’ to ‘AAAsf’. The ‘CCCsf’ scenario is intended to be the most likely base-case scenario. Rating scenarios above ‘CCCsf’ are increasingly more stressful and have less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the ‘Bsf’ scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the ‘AAAsf’ scenario.

The group-to-bond association for the Fitch-rated group is as follows: Group 3 represents a 54.69% interest in the Adjustable Rate Mortgage Trust 2005-7, Class 6-A-1. Fitch’s ‘BBBsf’ rating for class 3A1 reflects the credit risk of the underlying transaction and the additional subordination provided by the new resecuritization trust. The underlying collateral pool for Adjustable Rate Mortgage Trust 2005-7, class 6-A-1 consists entirely of hybrid ARM mortgage loans. As of Nov. 25, 2014, Fitch estimates the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 716 and an estimated current combined loan-to-value of 82%. The top three state concentrations are California (32%), Florida (11%) and Arizona (8%). Approximately 10% of the remaining pool is delinquent.

For further information, see Citigroup Mortgage Loan Trust 2014-12 Representations and Warranties Appendix, published today.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 2014);

–‘U.S. RMBS Master Rating Criteria,’ (July 2014);

–‘U.S. RMBS Surveillance and Re-REMIC Criteria’ (June 2014);

–‘U.S. RMBS Loan Loss Model Criteria’ (November 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 2014);

–‘U.S. RMBS Cash Flow Analysis Criteria’ (April 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (January 2014);

–‘Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers’ (January 2014).

Applicable Criteria and Related Research: Citigroup Mortgage Loan Trust 2014-12 – Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=845528

U.S. RMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750110

U.S. RMBS Master Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750719

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731747

U.S. RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746027

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

U.S. RMBS Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810788

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=961895

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch RatingsMortgage Loan Contact:

Fitch Ratings

Primary Analyst

Ryan O’Loughlin

Analyst

+1-212-908-0387

Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004

or

Committee Chairperson

Grant Bailey

Managing Director

+1-212-908-0544

or

Media Relations:

Elizabeth Fogerty, +1-212-908-0526

elizabeth.fogerty@fitchratings.com […]

Fitch Rates CSMC Trust Series 2014-11R

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings assigns a rating to one group of CSMC Trust series 2014-11R, a U.S. RMBS resecuritization:

Group 17 Securities

–$5,373,000 class 17-A-1 ‘BBBsf’.

The Rating Outlook is Stable.

Fitch is not expected to rate the following classes:

–$1,632,800 subsequent exchangeable class 17-A-2;

–$816,000 initial exchangeable class 17-A-3;

–$816,800 initial exchangeable class 17-A-4.

CSMC 2014-11R is comprised of 17 groups. Fitch is rating one bond in one of the groups (Bond 17-A-1 in group 17). Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated group is collateralized with class A-2 from Deutsche Alt-A Securities Mortgage Loan Trust series 2007-RAMP1. While the mortgage pool has performed worse than initial expectations, performance has stabilized and improved in recent years.

Fitch’s stressed mortgage pool loss assumption in the ‘BBBsf’ rating scenario is approximately 50% of the underlying pool. Fitch assumes home prices decline 20% below their sustainable levels in a ‘BBBsf’ rating scenario. The principal balances of all subordinate classes of the underlying transaction have been entirely written down. However, the underlying class A-2 benefits from a sequential payment priority that effectively provides approximately 38% subordination for principal recovery in the underlying transaction. The new resecuritization class 17-A-1 benefits from additional credit support of 23.3% as a percentage of the A-2 class (approximately 14% as a percentage of the underlying pool balance).

Ocwen Loan Servicing (Ocwen) is a primary servicer of the underlying mortgage pool. Fitch recently placed Ocwen’s servicer rating on Rating Watch Negative due to concerns raised by the New York State Department of Financial Services (NY DFS). The NY DFS has alleged significant issues with Ocwen’s systems and processes, especially relating to borrower requests for mortgage loan modifications. Ocwen’s increased risk is mitigated by the presence of Wells Fargo Bank, N.A. (Wells Fargo; rated ‘RMS1’ by Fitch) as Master Servicer.

This transaction contains certain classes designated as Initial Exchangeable Securities and another as a Subsequent Exchangeable Securities.

For Group 17, classes 17-A-3 and 17-A-4 are Initial Exchangeable Securities and class 17-A-2 is a Subsequent Exchangeable Security. For the Fitch rated group, interest is paid pro-rata and principal is paid sequentially.

KEY RATING DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from ‘CCCsf’ to ‘AAAsf’. The ‘CCCsf’ scenario is intended to be the most likely base-case scenario. Rating scenarios above ‘CCCsf’ are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the ‘Bsf’ scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the ‘AAAsf’ scenario.

The group-to-bond association for the Fitch-rated group is as follows: Group Seventeen represents a 14.29% interest in the Deutsche Alt-A Securities Mortgage Loan Trust series 2007-RAMP1, Class A-2. Fitch’s ‘BBBsf’ rating for class 17-A-1 reflects the credit risk of the underlying transaction and the additional subordination provided by the new resecuritization trust. The underlying collateral pool for Deutsche Alt-A Securities Mortgage Loan Trust series 2007-RAMP1, class A-2 consists of fixed-rate and hybrid ARM mortgage loans. As of Nov. 25, 2014, Fitch estimates the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 689, an estimated current combined loan-to-value of 98% and a sustainable loan-to-value of 102%. The top three state concentrations are New York (12%), Florida (11%) and New Jersey (9%). Approximately 36.5% of the remaining pool is delinquent.

For further information, see CSMC Series 2014-11R Representations and Warranties Appendix, published December 2nd, 2014.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 2014);

–‘U.S. RMBS Master Rating Criteria,’ (July 2014);

–‘U.S. RMBS Surveillance and Re-REMIC Criteria’ (June 2014);

–‘U.S. RMBS Loan Loss Model Criteria’ (November 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 2014);

–‘U.S. RMBS Cash Flow Analysis Criteria’ (April 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (January 2014);

–‘Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers’ (January 2014).

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=961875

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Ryan O’Loughlin

Analyst

+1-212-908-0387

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Grant Bailey

Managing Director

+1-212-908-0544

or

Media Relations

Elizabeth Fogerty, +1 212-908-0526

elizabeth.fogerty@fitchratings.com […]

TEXT-S&P takes rating actions in Dutch RMBS deal E-MAC NL 2005-III

Oct (KOSDAQ: 039200.KQnews) 15 –

OVERVIEW

— We have carried out a credit, cash flow, and counterparty analysis of the E-MAC NL 2005-III transaction.

— Under our 2012 counterparty criteria, there is a direct ratings link between the ratings on the notes and the rating on the GIC provider, which caps our ratings on all notes at the ‘A’ rating level.

— As a result of our analysis, we have affirmed our ratings on the class A, B, D, and E notes and raised our rating on the class C notes.

— E-MAC NL 2005-III is backed by Dutch residential mortgages originated by CMIS Nederland B.V.

Standard & Poor’s Ratings Services today affirmed its credit ratings on E-MAC NL 2005-III B.V.’s class A, B, D, and E notes. At the same time, we have raised to ‘A (sf)’ from ‘A- (sf)’ our rating on the class C notes (see list below).

Today’s rating actions follow our credit, cash flow, and counterparty analysis of the most recent transaction information that we have received from the servicer, and we have applied our Dutch residential mortgage-backed securities (RMBS) criteria (see “Related Criteria And Research”).

Under our 2012 counterparty criteria, the highest potential rating on the notes in E-MAC NL 2005-III is equal to the issuer credit rating on the GIC provider, The Royal Bank of Scotland N.V. (A/Stable/A-1). Therefore, our ratings on the notes are capped at the ‘A’ rating level.

We have calculated our weighted-average foreclosure frequency (WAFF) and weighted-average loss severity (WALS) by applying our Dutch RMBS criteria. For Dutch RMBS transactions, we adjust our WALS by applying a 5% decrease in house prices and giving full credit to the house price index. If we expect arrears to increase in the transaction, we adjust our WAFF by projecting arrears based on historical data.

The arrears performance for the underlying pool of this transaction is worse than our Dutch RMBS index–90+ day arrears have increased to 0.96% in July 2012 (the latest interest payment date ) from 0.81% in July 2011. We have therefore assumed an additional 0.58% of total arrears for this transaction based on increasing arrears, and our view that they are likely to increase in the future.

The decline in Dutch house prices since our July 2011 review has increased our estimate of the weighted-average indexed loan-to-value ratio for this pool, and has increased our WALS estimate. The decline in house prices has had less of a negative impact on our WAFF, the increase in the WAFF being due to our assumed arrears. The required level of credit enhancement, an estimate of potential losses, has increased at each rating level.

Rating WAFF WALS CE

level (%) (%) (%)

AAA 13.02 18.32 2.39

AA 10.41 15.36 1.60

A 7.74 11.57 0.90

BBB 4.89 9.52 0.47

BB 3.58 6.63 0.24

CE–Credit enhancement.

As of the July 2012 IPD, the reserve fund is fully funded at its EUR4.5 million target amount. This together with the amortization of the class A notes means that the available credit enhancement to all classes of notes has increased since our July 2011 review.

We consider that the class A, B, and D notes have sufficient credit enhancement to maintain their current ratings under our cash flow stresses.

The increase in credit enhancement for the class C notes has been greater than the increase in the required level of credit enhancement at the ‘A’ rating level. We have raised our rating on the class C notes based on the results of our cash flow analysis. The class C notes pass our cash flow stresses at a higher rating, we have therefore raised our rating on the class C notes to ‘A (sf)’ from ‘A- (sf)’.

We have affirmed our ‘CCC (sf)’ rating on the class E notes as it is highly unlikely that principal will ultimately be repaid (see “Ratings Lowered To ‘CCC (sf)’ On Class E Notes In Seven E-MAC NL Dutch RMBS Transactions,” published on July 12, 2012).

We also consider credit stability in our analysis. The scenarios that we have considered under moderate stress conditions did not result in our ratings deteriorating below the maximum projected deterioration associated with each relevant rating level.

We understand that the issuers and trustee are in discussions to potentially replace counterparties in the transaction. We will incorporate these developments in our analysis when we receive confirmation of any changes.

RELATED CRITERIA AND RESEARCH

— Ratings Lowered To ‘CCC (sf)’ On Class E Notes In Seven E-MAC NL Dutch RMBS Transactions, July 12, 2012

— Counterparty Risk Framework Methodology And Assumptions, May 31, 2012

— European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012

— Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011

— Methodology: Credit Stability Criteria, May 3, 2010

— Update To the Cash Flow Criteria For European RMBS Transactions, Jan. 6, 2009

— European Legal Criteria For Structured Finance Transactions, Aug. 28, 2008

— Dutch RMBS Market Overview And Criteria, Dec. 16, 2005

— Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003

RATINGS LIST

Class Rating

To From

E-MAC NL 2005-III B.V.

EUR645.276 Million Mortgage-Backed Floating-Rate Notes

Ratings Affirmed

A A (sf)

B A (sf)

D BBB (sf)

E CCC (sf)

Rating Raised

C A (sf) A- (sf)

[…]