OREANDA-NEWS. December 16, 2015. Fitch Ratings has upgraded two and affirmed 83 tranches of the RMAC RMBS series. A full list of rating actions is at the end of this rating action commentary.

The RMAC transactions are securitisations of UK non-conforming loans, originated by GMAC-RFC Limited.

KEY RATING DRIVERS
Strong Credit Enhancement (CE)
The high seasoning of the transactions has led to the portfolios deleveraging to between 3.8% (RMAC 2003-2) and 49.2% (RMAC 2007-1) of their initial pool balances.

The structures of the earlier deals (RMAC 2003-2, 2003-3, 2003-4, 2004-1 and 2004-2) in the series do not include reserve funds but are instead over-collateralised. The reserve funds for all other transactions have either amortised to floor level or are no longer allowed to amortise as a result of breach of the cumulative loss trigger (set at 1.25% of the initial portfolio balance for all transactions). As a result, CE across the series has continued to build up steadily. In particular, Fitch believes the build-up of CE on the mezzanine tranches of RMAC 2007-1 (B1a and B1c) can now sustain higher ratings stresses and has upgraded these tranches.

Solid Performance
The affirmations across the rest of the transactions reflect the strong performance of the underlying portfolios. The volume of loans in arrears by more than three months remains between 4.2% (RMAC 2004-NSP2) and 10.1% (RMAC 2007-NS1) of their respective portfolio balances. For the 2006 and 2007 deals, the levels remain comparable with the UK non-conforming average of 9.7% while the 2003-2005 deals remain far below this level.

Unhedged Interest Rate Risk
The portfolios of RMAC 2003-2, 2003-3, 2003-4 and 2004-1 comprise solely LIBOR-linked loans. All other RMAC portfolios contain varying proportions of BBR-linked loans, between 26% (RMAC 2004-3) and 84% (RMAC 2006-1). These transactions are not hedged against the basis risk between the LIBOR-linked notes and BBR-indexed mortgages. In its analysis, Fitch stressed the excess spread to account for this risk and found the CE available to the rated notes sufficient to withstand the stresses.

Interest Only Concentration
The transactions have material concentration of interest-only loans maturing within a three-year period during the lifetime of the transaction. As per its criteria, Fitch carried out a sensitivity analysis assuming a 50% default probability for these loans. No rating action was deemed necessary as a result of the interest-only loan concentration. Nevertheless, Fitch will keep monitoring this risk as the transactions continue to amortise.

Currency Swap Obligations
The affirmation of the currency swap ratings are based on Fitch's view that the swap payment obligations rank pro rata and equally with the referenced notes. Consequently, the credit profiles of the currency swap payment obligations are consistent with the long-term rating on the referenced notes.

RATING SENSITIVITIES
The transactions are backed by floating-interest-rate loans. In the current low interest rate environment, borrowers are benefiting from low borrowing costs. An increase in interest rates could lead to performance deterioration of the underlying assets and consequently downgrades of the notes if defaults and associated losses exceed those of Fitch's stresses.

Any change to the rating of the corresponding notes will likely lead to an equal change in the rating of the SPV's currency swap obligations. The rating sensitivity will primarily be driven by the rating analysis applicable to the corresponding note. The rating of the SPV's currency swap obligations will be withdrawn if the currency swap agreement is terminated due to non-performance by the swap counterparty or a non-credit related event.

Fitch published an exposure draft for UK residential mortgage assumptions on 22 September 2015 (https://www.fitchratings.com/creditdesk/reports/report_frame_render.cfm?rpt_id=871376).

The proposed criteria, if adopted, will lead to smaller loss expectations for all types of mortgage portfolios. As a result, Fitch expects all outstanding UK RMBS and covered bond ratings to either be affirmed or upgraded. If the current criteria are updated after considering market feedback, Fitch will review all existing UK RMBS ratings within six months of the new criteria publication.

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 pools and the transactions. 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 pools ahead of the transactions' initial closing. The subsequent performance of the transactions 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 Paratus AMC for all deals with a cut-off date of 31 August 2015
-Transaction reporting provided by Paratus AMC for all deals since close and until September 2015

MODELS
The models below were used in the analysis. Click on the link for a description of the model.

ResiEMEA.

EMEA RMBS Surveillance Model.

The rating actions are as follows:

RMAC 2003-NS2 Plc
Class A3 (ISIN XS0171105439): affirmed at 'AA+sf'; Outlook Stable

RMAC 2003-NS3 Plc
Class A3 (ISIN USG7603WAH19) affirmed at 'AA+sf'; Outlook Stable

RMAC 2003-NS4 Plc
Class A3 (ISIN XS0179780803) affirmed at 'AA-sf'; Outlook Stable

RMAC 2004-NS1 Plc
Class A3 (ISIN XS0185375325) affirmed at 'A+sf'; Outlook Stable

RMAC 2004-NS3 Plc
Class A2a (ISIN XS0200800943) affirmed at 'AAAsf'; Outlook Stable
Class A2c (ISIN XS0200802568) affirmed at 'AAAsf'; Outlook Stable
Class M1 (ISIN XS0200802725) affirmed at 'AAAsf'; Outlook Stable
Class M2 (ISIN XS0200803962) affirmed at 'AA-sf'; Outlook Stable
Class B (ISIN XS0200804770) affirmed at 'A-sf'; Outlook Stable

RMAC 2004-NSP2 Plc
Class A3 (ISIN XS0194465653) affirmed at 'A-sf'; Outlook Stable

RMAC 2004-NSP4 Plc
Class A2 (ISIN XS0206944240) affirmed at 'AAAsf'; Outlook Stable
Class M1 (ISIN XS0206944596) affirmed at 'AAAsf'; Outlook Stable
Class M2 (ISIN XS0206944836) affirmed at 'AA-sf'; Outlook Stable
Class B1 (ISIN XS0206945056) affirmed at 'A-sf'; Outlook Stable

RMAC 2005-NS1 Plc
Class A2a (ISIN XS0212187826) affirmed at 'AAAsf'; Outlook Stable
Class A2c (ISIN XS0212189103) affirmed at 'AAAsf'; Outlook Stable
Class M1 (ISIN XS0212190028) affirmed at 'AA+sf'; Outlook Stable
Class M2 (ISIN XS0212191851) affirmed at 'A-sf'; Outlook Stable
Class B1 (ISIN XS0212192669) affirmed at 'BBsf'; Outlook Stable

RMAC 2005-NS3 Plc
Class A2a (ISIN XS0230220443) affirmed at 'AAAsf'; Outlook Stable
Class A2c (ISIN XS0230220872) affirmed at 'AAAsf'; Outlook Stable
Class M1a (ISIN XS0230221250) affirmed at 'AA+sf'; Outlook Stable
Class M1c (ISIN XS0230221334) affirmed at 'AA+sf'; Outlook Stable
Class M2a (ISIN XS0230221763) affirmed at 'AA-sf'; Outlook Stable
Class M2c (ISIN XS0230222068) affirmed at 'AA-sf'; Outlook Stable
Class B1a (ISIN XS0230222225) affirmed at 'BBsf'; Outlook Stable
Class B1c (ISIN XS0230222498) affirmed at 'BBsf'; Outlook Stable

RMAC 2005-NS4 Plc
Class A3 (ISIN XS0235775854) affirmed at 'AAAsf'; Outlook Stable
Class M1 (ISIN XS0235781159) affirmed at 'AA+sf'; Outlook Stable
Class M2 (ISIN XS0235778106) affirmed at 'AA-sf'; Outlook Stable
Class B1 (ISIN XS0235782801) affirmed at 'BBsf'; Outlook Stable

RMAC 2005-NSP2 Plc
Class A2a (ISIN XS0220953235) affirmed at 'AAAsf'; Outlook Stable
Class A2b (ISIN XS0220954712) affirmed at 'AAAsf'; Outlook Stable
Class A2c (ISIN XS0220957061) affirmed at 'AAAsf'; Outlook Stable
Class M1a (ISIN XS0220957657) affirmed at 'AAAsf'; Outlook Stable
Class M1c (ISIN XS0220959356) affirmed at 'AAAsf'; Outlook Stable
Class M2a (ISIN XS0220958036) affirmed at 'AA-sf'; Outlook Stable
Class M2c (ISIN XS0220959604) affirmed at 'AA-sf'; Outlook Stable
Class B1a (ISIN XS0220958465) affirmed at 'BBBsf'; Outlook Stable
Class B1c (ISIN XS0220961097) affirmed at 'BBBsf'; Outlook Stable
Class B1c Cross Currency Swap affirmed at 'BBBsf'; Outlook Stable
Class A2b Currency Swap Obligation affirmed at 'AAAsf'; Outlook Stable
Class A2c Currency Swap Obligation affirmed at 'AAAsf'; Outlook Stable
Class M1c Currency Swap Obligation affirmed at 'AAAsf'; Outlook Stable
Class M2c Currency Swap Obligation affirmed at 'AA-sf'; Outlook Stable

RMAC Securities No 1 Plc (Series 2006-NS1)
Class A2a (ISIN XS0248588047) affirmed at 'AAAsf'; Outlook Stable
Class A2c (ISIN XS0248595091) affirmed at 'AAAsf'; Outlook Stable
Class M1a (ISIN XS0248589524) affirmed at 'AA+sf'; Outlook Stable
Class M1c (ISIN XS0248596735) affirmed at 'AA+sf'; Outlook Stable
Class M2a (ISIN XS0248590613) affirmed at 'Asf'; Outlook Stable
Class M2c (ISIN XS0248595687) affirmed at 'Asf'; Outlook Stable
Class B1c (ISIN XS0248597543) affirmed at 'BBsf'; Outlook Stable
Class B1 Currency Swap Obligation affirmed at 'BBsf'; Outlook Stable
Class M2c Currency Swap Obligation affirmed at 'Asf'; Outlook Stable
Class A2c Currency Swap Obligation affirmed at 'AAAsf'; Outlook Stable
Class M1c Currency Swap Obligation affirmed at 'AA+sf'; Outlook Stable

RMAC Securities No 1 Plc (Series 2006-NS2)
Class A2a (ISIN XS0257367960) affirmed at 'AAAsf'; Outlook Stable
Class A2c (ISIN XS0257369073) affirmed at 'AAAsf'; Outlook Stable
Class M1a (ISIN XS0257369156) affirmed at 'AA+sf'; Outlook Stable
Class M1c (ISIN XS0257370329) affirmed at 'AA+sf'; Outlook Stable
Class M2c (ISIN XS0257371137) affirmed at 'Asf'; Outlook Stable
Class B1a (ISIN XS0257371301) affirmed at 'BBsf'; Outlook Stable
Class B1c (ISIN XS0257372374) affirmed at 'BBsf'; Outlook Stable
Class B1c Currency Swap Obligation affirmed at 'BBsf'; Outlook Stable
Class M2c Currency Swap Obligation affirmed at 'Asf'; Outlook Stable
Class M1c Currency Swap Obligation affirmed at 'AA+sf'; Outlook Stable

RMAC Securities No 1 Plc (Series 2006-NS3)
Class A2a (ISIN XS0268014353) affirmed at 'AAAsf'; Outlook Stable
Class M1a (ISIN XS0268021721) affirmed at 'AAsf'; Outlook Stable
Class M1c (ISIN XS0268024071) affirmed at 'AAsf'; Outlook Stable
Class M2c (ISIN XS0268027769) affirmed at 'BBB+sf'; Outlook Stable

RMAC Securities No 1 Plc (Series 2006-NS4)
Class A3 (ISIN XS0277409446) affirmed at 'AAAsf'; Outlook Stable
Class M1a (ISIN XS0277411004) affirmed at 'AA-sf'; Outlook Stable
Class M1c (ISIN XS0277437223) affirmed at 'AA-sf'; Outlook Stable
Class M2a (ISIN XS0277457841) affirmed at 'A-sf'; Outlook Stable
Class M2c (ISIN XS0277445671) affirmed at 'A-sf'; Outlook Stable
Class B1a (ISIN XS0277450838) affirmed at 'Bsf'; Outlook Stable
Class B1c (ISIN XS0277453691) affirmed at 'Bsf'; Outlook Stable

RMAC Securities No 1 Plc (Series 2007-NS1)
Class A2a (ISIN XS0307493162) affirmed at 'AAsf'; Outlook Stable
Class A2b (ISIN XS0307489566) affirmed at 'AAsf'; Outlook Stable
Class A2c (ISIN XS0307505601) affirmed at 'AAsf'; Outlook Stable
Class M1a (ISIN XS0307496264) affirmed at 'BBB+sf'; Outlook Stable
Class M1c (ISIN XS0307506674) affirmed at 'BBB+sf'; Outlook Stable
Class M2c (ISIN XS0307511591) affirmed at 'BB+sf'; Outlook Stable
Class B1a (ISIN XS0307500479) upgraded to 'Bsf' from 'CCCsf' RE: 95%; Outlook Stable
Class B1c (ISIN XS0307512219) upgraded to 'Bsf' from 'CCCsf' RE 95%; Outlook Stable