OREANDA-NEWS. July 07, 2015. Fitch Ratings has upgraded Euromax V ABS PLC as follows:

Class A1 (XS0274615656): upgraded to 'Bsf' from 'CCCsf', Stable Outlook
Class A2 (XS0274616381): upgraded to 'CCCsf' from 'CCsf'
Class A3 (XS0274616977): upgraded to 'CCsf' from 'Csf'
Class A4 (XS0274617439): affirmed at 'Csf'
Class B1 (XS0274617603): affirmed at 'Csf'
Class B2 (XS0274617942): affirmed at 'Csf'
Class D1 combination notes (XS0274619138): affirmed at 'Csf'
Class D2 combination notes (XS0274619211): affirmed at 'Csf'

Euromax V is a securitisation of mainly European SF securities with the total note issuance of EUR307.5m to be invested in a target portfolio of EUR300m. The underlying securities are primarily RMBS and CMBS, but also include ABS and corporate CDO assets.

KEY RATING DRIVERS
The upgrades reflect the improvement in credit enhancement (CE) and the stable asset performance since last review. The class A1 notes have been redeemed by EUR38.1m over the past year and as a result CE has increased to 44.3% from 29.1%. The affirmations of the subordinated tranches are due to the negative CE and increased portfolio concentration.

The portfolio quality has been stable since our last review. The weighted average rating factor increased slightly to 32.42 from 32.31 in Jun 2014 and approximately 33% of the portfolio is in the 'CCC' and below bucket. Assets with investment grade ratings have decreased slightly to 41.2% from 41.7% at the last review. The two largest sectors in current portfolio remain RMBS and CMBS. However, since the last review, CMBS have amortised faster than RMBS as CMBS's proportion decreased to 22.5% from 38.0% and RMBS's proportion increased to 55.9% from 44.0%. Exposure to countries with a Country Ceiling below 'AAA' makes up 22.3% of the portfolio, primarily composed of Italy and Portugal.

The weighted average spread has increased to 2.3% from 1.9% a year ago. All overcollateralisation tests are continuing to fail, which means excess spread is diverted to redeem the class A1 notes and interest on the class A4, B1 and B2 notes is deferred.

The class D1 and D2 combination notes' ratings reflect the ratings of their respective component classes. There have been no distributions to the class D1 and D2 notes since May 2009 due to the component classes deferring interest as a result of the OC test breach.

RATING SENSITIVITIES
Applying a 1.25x default rate multiplier or a 0.75x recovery rate multiplier to all assets in the portfolio would not have any impact on the senior notes but would result in a downgrade of up to three notches for the class A2 and A3 notes.

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 did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's 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 Deutsche Bank as at 10 June 2015
-Transaction reporting provided by Deutsche Bank as at 10 June 2015