OREANDA-NEWS. Fitch Ratings has upgraded Avoca CLO V plc's notes as follows:

Class B (ISIN XS0256536888): upgraded to 'AAAsf' from 'AAsf'; Outlook Stable
Class C1 (ISIN XS0256537423): upgraded to 'AAsf' from 'Asf'; Outlook Stable
Class C2 (ISIN XS0256538157): upgraded to 'AAsf' from 'Asf'; Outlook Stable
Class D (ISIN XS0256538405): upgraded to 'BBBsf' from 'BBsf'; Outlook Stable
Class E (ISIN XS0256539122): affirmed at 'Bsf'; Outlook Negative
Class F (ISIN XS0256539635): affirmed at 'CCCsf'; Recovery Estimate 0%

Avoca CLO V plc. is a managed cash arbitrage securitisation of secured leveraged loans, primarily domiciled in Europe.

KEY RATING DRIVERS
The upgrade of the class B, C and D notes is driven by a significant increase in credit enhancement over the past year. The class A1A, A1B and A2 notes have all paid in full and the class B notes have amortised to 82.3% of their outstanding balance. This has cause credit enhancement to rise to 76.6% for the class B notes, 49.5% for the class C notes and 31% for the class D notes, from 25%, 16.5% and 10.7% respectively during the same period.

The Negative Outlook on the class E notes reflects a concentrated portfolio. The 10 largest obligors account for 72.1% of the transaction and 21 assets remain in the portfolio (down from 36 last year). This means a single obligor default can significantly reduce credit enhancement, particularly for the junior notes were credit enhancement levels are lower.

The class F notes' over-collateralisation test is failing with a -2.2% cushion under its trigger level (102.4%). This has worsened from last year when the test was failing with a -1.5% cushion. The test diverts excess spread to pay down the senior notes until the test is cured.

There are no defaulted assets in the portfolio and the proportion of 'CCC' assets has increased to 9.63% from 3% over the last 12 months. The weighted average life of the transaction has increased slightly to 4.3 years from 4.2 years but has been kept fairly flat by the extension of some of the assets' maturities. Weighted average spread has reduced to 3.4% from 3.6% and has been decreasing since January 2014. The weighted average recovery rate of the portfolio has also decreased to 65% from 68.2% during the same period. Cost of funding has increased to 2.1% from 1.2%, driven by the amortisation and the high coupon (4.81%) on the C2 notes. Nevertheless, the deterioration in the portfolio is mitigated by the increase in credit enhancement.

RATING SENSITIVITIES
Increasing the default rate by 1.25x to all assets in the portfolio would result in a downgrade of one notch to the class E notes. Reducing the recovery rate by 0.75x to all assets in the portfolio would result in a downgrade of the class E notes by one rating category.

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 Deutsche Bank as at 30 October 2015
-Transaction reporting provided by Deutsche Bank as at 30 October 2015