Classes C, D and E under the Provide GEM RMBS structure were downgraded last week by both Fitch Ratings and Moody's Investor Service, echoing investor concerns over the deteriorating credit quality in German residential mortgage pools.

"This was the first performance-related downgrade of a European RMBS in recent history, and was a direct result of an increase in delinquencies over recent months," said one analyst at BNP Paribas.

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