RPT-Fitch: No Rating Impact on E-MAC DE 2006-II B.V. Following Swap Changes

Thu Feb 20, 2014 7:23am EST

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Feb 20 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings says there is no rating impact on E-MAC DE 2006-II B.V. following the execution of the updated credit support annex (CSA) and ISDA schedule.

Royal Bank of Scotland plc (A/Stable/F1), acting as lead manager and swap counterparty for E-MAC DE 2006-II B.V., notified Fitch that the CSA and ISDA schedule have been updated - predominantly to reflect the agency's latest counterparty criteria.

The updates to the CSA and ISDA schedule for the transaction reflect the latest collateral posting requirements outlined in Fitch's counterparty criteria for structured finance transactions. Therefore, in Fitch's view, should the Royal Bank of Scotland's Long Term Issuer Default Rating (IDR) and Short-Term IDR fall below 'A' and 'F1', respectively, the collateral amount posted will be sufficient to mitigate against the increased counterparty risk.

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