Fitch Ratings downgraded 22 tranches of prime Dutch residential mortgage-backed securities this week, knocking the certificates from investment grade on weakening underlying collateral.
The majority of the downgrades are on transactions where the underlying collateral was originated by GMAC, a subsidiary of Residential Capital. Fitch, overall, upgraded two deals, affirmed 173 and downgraded 22 tranches of Dutch prime RMBS.
Most of the downgrades are tied to collateralized mortgages in several E-MAC transactions, which includes a series of deals originated by GMAC in the Netherlands. According to the Financial Times, GMAC stopped selling mortgages in the Dutch country in 2008 after the credit markets become too restricted to maintain funding. E-MAC also operated to a lesser degree in Germany.
Four years later, some of the GMAC originated mortgages are still experiencing troubles.
“These downgrades stemmed from a deterioration in performance, with some E-MAC transactions showing steep increases in arrears,” Fitch said. “The three months plus arrears in E-MAC 2008-1 is the highest seen in the Dutch prime RMBS sector, at 2.1% of the current collateral balance.”
Still, a number of deals remain stable, which lead to the affirmation of notes in the Storm Candide, Citadel, Orange Lion and Dutch MBS series of deals.
“These transactions all hold more favorable portfolio asset characteristics when compared to series such as E-MAC, which is the result of the more stringent underwriting criteria adopted at origination,” Fitch wrote.
Write to Kerri Panchuk.
