OREANDA-NEWS. Fitch Ratings has affirmed all classes of Euromax VI ABS Limited, as follows:

EUR84.6m Class A (XS0294719082): affirmed at 'CCCsf'
EUR37m Class B (XS0294720171): affirmed at 'CCsf'
EUR16m Class C (XS0294720338): affirmed at 'Csf'
EUR16m Class D (XS0294720841): affirmed at 'Csf'
EUR3m Class E (XS0294721146): affirmed at 'Csf'
EUR8m Class G (XS0294722201): affirmed at 'CCsf'
EUR24m Class H (XS0294722896): affirmed at 'Csf'

Euromax VI is a securitisation of mainly European structured finance securities with a total note issuance of EUR430m invested in a portfolio of EUR425m. The current portfolio including defaulted assets is EUR169m. In addition the transaction has accumulated EUR1m of principal proceeds.

KEY RATING DRIVERS
The affirmation of the notes' reflects the transactions stable performance over the last 12 months. Since then, class A notes have amortised by EUR13.5m, leading to increases in credit enhancement on the class A and B notes. The class A notes are now 25% of their initial balance. Credit enhancement, excluding defaulted assets, but including assets rated 'CC' and 'C', is now 46.3% and 22.4% for the class A and B notes, respectively, up from 43% and 21.6%.

For the remaining notes, credit enhancement has decreased due to deferral of interest since 2009 and additional defaults over the last 12 months. As such credit enhancement on the class C notes decreased to 11.2% from 12.3%, the class D notes to -0.9% from 3%, and the class E notes to -3.5% from 1.3%.

The portfolio has now amortised to below 40% of its initial balance, increasing its concentration with regard to industry and country distribution. The majority of the portfolio consists of RMBS and CMBS assets, which make up 63% and 28%, compared with 58% and 33%, respectively, a year ago. A third of the assets are of German origin, followed by 22.5% of Dutch assets, 14.3% Spanish assets and 12.7% of British origin. European peripheral exposure adds another 30% and is represented by Spanish, Italian, Portuguese and Greek assets.

Defaulted assets represent 9.11% of the performing balance, compared with 5.5% a year ago. All defaults are CMBS assets, which, with the exception of one asset, are of German origin. There have been two new defaults over the past year; both German CMBS. There are no recovery expectations on any of the defaulted assets.

The performing balance includes 'CC'- and 'C'-rated assets, which represent a 35% share. The 'CCC' and below bucket is now just below 40% of the performing balance and just under 30% of the performing balance is backed by investment-grade assets.

The overcollateralisation (OC) tests have failed since 2009. The interest coverage (IC) test is passing with high buffers and has not failed throughout the transaction's life. The portfolio's weighted average life test is failing with a reported value of eight years, up from 7.7 years a year ago and compared with a trigger of six years.

RATING SENSITIVITIES

In its stress tests Fitch found that increasing the default probability or reducing the recovery rate by 25% each would not affect the notes' ratings.

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.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

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 Citi as at 18 May 2015.
-Transaction reporting provided by Citi as at 18 May 2015.