OREANDA-NEWS. Fitch Ratings has taken the following rating actions on the E-MAC DE series:

E-MAC DE 2005-I B.V.:
Class A (ISIN XS0221900243): upgraded to 'AAAsf' from 'AAsf'; Stable Outlook
Class B (ISIN XS0221901050): upgraded to 'Asf' from 'BBBsf'; Stable Outlook
Class C (ISIN XS0221902538): affirmed at 'Bsf'; Stable Outlook
Class D (ISIN XS0221903429): affirmed at 'CCCsf'; Recovery Estimate (RE) revised to 95% from 70%
Class E (ISIN XS0221904237): affirmed at 'CCsf'; RE of 0%
Class F (ISIN XS0221922056): paid in full

E-MAC DE 2006-I B.V.:
Class A (ISIN XS0257589860): affirmed at 'A+sf'; Outlook revised to Positive from Stable
Class B (ISIN XS0257590876): affirmed at 'BBsf'; Stable Outlook
Class C (ISIN XS0257591338): affirmed at 'CCCsf' RE revised to 90% from 30%
Class D (ISIN XS0257592062): affirmed at 'CCsf'; RE of 0%
Class E (ISIN XS0257592575): affirmed at 'CCsf'; RE 0%
Class F (ISIN XS0257704717): paid in full

E-MAC DE 2006-II B.V.:
Class A1 (ISIN XS0276932539): paid in full
Class A2 (ISIN XS0276933347): affirmed at 'A+sf'; Outlook revised to Positive from Stable
Class B (ISIN XS0276933859): affirmed at 'BBB-sf'; Stable Outlook
Class C (ISIN XS0276934667): affirmed at 'Bsf'; Stable Outlook
Class D (ISIN XS0276935045): affirmed at 'CCCsf'; RE revised to 65% from 50%
Class E (ISIN XS0276936019): affirmed at 'CCsf'; RE 0%
Class F (ISIN XS0276936951): paid in full

The transactions are true-sale securitisations of German residential mortgage loans originated by GMAC-RFC Bank GmbH, which was renamed Paratus AMC GmbH in 2011 and subsequently renamed to Adaxio DE GmbH in 2015.

KEY RATING DRIVERS
E-MAC DE 2005-1 has seen significant principal repayments in the past year. This is due to 59% of the outstanding loans having had interest rate resets in 2015. This enables borrowers to refinance their loans without any penalty with other banks at more attractive mortgage rates. As a result, credit enhancement (CE) has increased significantly for the class A notes to 54.2% from 23.8% and for the class B notes to 29.2% from 14.3%. As a result, the class A and B notes can withstand greater losses, which has led to their upgrade.

The current rating of the swap counterparty (Deutsche Bank, A-/Stable/F1) is not eligible to support a 'AAAsf' note rating, following its downgrade on 8 December 2015. However, Fitch has received a confirmation from servicer CMIS Investments B.V. that remedial actions in line with its criteria will be implemented and will monitor their progress.

Fitch expects high principal repayments for E-MAC DE 2006-1 and 2006-2 deals, as large portions of their portfolios are due for interest rate reset in the coming year. Consequently, CE on the senior notes will increase, resulting in the revision of Outlook to Positive for the class A notes.

Fitch believes the credit support levels available to the other notes of the E-MAC DE series notes are sufficient to withstand the respective rating stresses and has therefore affirmed their ratings with Stable Outlooks.

However, underlying loan losses exceeding the available excess spread have increased principal deficiency ledger (PDL) levels for the junior notes. As of end-August 2015, in the 2005-1 deal, the PDL of the class E notes was debited at 15% of the notes' balance. In the 2006-1 deal, the class E notes' PDL was fully debited; the class D PDL was debited at 63% of the notes' balance. In the 2006-2 deal, the class E PDL was fully debited and the class D PDL stood at 2% of the notes' balance. Furthermore, the reserve funds for all three deals were fully depleted.

RATING SENSITIVITIES
Prepayment rates lower than expected by Fitch may negatively influence the credit protection of the notes. A corresponding increase in new defaults and associated pressure on excess spread levels could result in negative rating action on the junior notes.

Fitch assigns REs to all notes rated 'CCCsf' or below. REs are forward-looking, taking into account Fitch's expectations for principal repayments on a distressed structured finance security.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by CMIS as of May 2015
- Transaction reporting provided by CMIS as of August 2015