articles Ratings /ratings/en/research/articles/220919-euromax-v-abs-plc-class-a2-cash-flow-cdo-of-abs-notes-rating-raised-following-review-class-a3-and-a4-ratings-12499733 content esgSubNav
In This List
NEWS

EUROMAX V ABS PLC Class A2 Cash Flow CDO Of ABS Notes Rating Raised Following Review; Class A3 And A4 Ratings Affirmed

COMMENTS

Russia-Ukraine Military Conflict: Key Takeaways From Our Articles

COMMENTS

Weekly European CLO Update

NEWS

Japan Housing Finance Agency's Series T-1 To T-5 Structured Note 'AAA (sf)' Ratings Affirmed

NEWS

Japan Housing Finance Agency's Series 1 To 12 Structured Note 'AAA (sf)' Ratings Affirmed


EUROMAX V ABS PLC Class A2 Cash Flow CDO Of ABS Notes Rating Raised Following Review; Class A3 And A4 Ratings Affirmed

Overview

  • Following our performance review, we raised our rating on EUROMAX V ABS PLC's class A2 notes to 'BB- (sf)' from 'B+ (sf)'.
  • At the same time, we affirmed our ratings on the class A3 and A4 notes.
  • EUROMAX V ABS is a cash flow CDO of an ABS transaction that securitizes structured finance securities, mostly RMBS.

LONDON (S&P Global Ratings) Sept. 19, 2022--S&P Global Ratings today raised its credit rating to 'BB- (sf)' from 'B+ (sf)' on EUROMAX V ABS PLC's class A2 notes. At the same time, we affirmed our ratings on the class A3, and A4 notes.

Today's rating actions follow our assessment of the increased credit enhancement for the class A2 notes and the application of our relevant criteria (see "Related Criteria").

The class A2 notes have partially amortized and about 83% of their initial size remains outstanding, resulting in increased credit enhancement.

Assets rated in the 'CCC' category ('CCC+', 'CCC', and 'CCC-') have remained at the same level and defaulted assets ('CC', 'SD', and 'D') have decreased in notional terms since our previous review (see "Related Research"). Some of the underlying investment-grade assets in the portfolio have been upgraded, and so the portfolio's average credit quality has slightly improved as well.

The concentration risk in the portfolio is relatively high and has increased further since our previous review. We believe that the class A2 notes are vulnerable to event risk, mainly due to:

  • Almost 11% of the portfolio is rated in the 'CCC' category;
  • 52% of the total assets in the portfolio are defaulted;
  • All of the assets in the portfolio are exposed to one single industry (RMBS); and
  • More than 35% of the assets in the portfolio are domiciled in Italy, which is more than double the allowable limit under our sovereign risk criteria (see "Related Criteria").

With increased credit enhancement on the class A2 notes (about 41%), the cash flow analysis suggests a higher rating than that currently assigned to the class A2 notes. However, today's rating actions address the increased concentration risk in the portfolio. We therefore raised to 'BB- (SF)' from 'B+ (sf)' our rating on the class A2 notes.

In our opinion, the repayment of the class A3 notes largely depends on the amount that will be recovered on currently defaulted assets. Therefore, in applying our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," we have affirmed our 'CCC- (sf)' rating on the class A3 notes.

The class A4 notes have continued to defer their interest payment and have capitalized €0.26 million of interest since our previous review. As a result, we believe that a default of the class A4 notes in the full repayment of their initial principal and capitalized interest by their legal maturity has become a virtual certainty. Therefore, in applying our criteria, we affirmed our 'CC (sf)' rating on the class A4 notes.

The transaction's counterparty, operational and legal risks are adequately mitigated in line with our criteria (see "Related Criteria").

EUROMAX V ABS is a cash flow CDO of structured finance securities, mostly RMBS. The transaction closed in November 2006 and is managed by Collineo Asset Management GmbH. Our ratings on the class A2, and A3 notes address timely interest and ultimate principal, and our rating on the class A4 notes addresses ultimate payment of principal and interest.

Related Criteria

Related Research

Primary Credit Analyst:Shubham Verma, London (44) 20-7176-0858;
Shubham.Verma@spglobal.com
Secondary Contact:Emanuele Tamburrano, London + 44 20 7176 3825;
emanuele.tamburrano@spglobal.com
Research Contributor:Sukhmani Kohli, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.spglobal.com/ratings (free of charge), and www.ratingsdirect.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.spglobal.com/usratingsfees.


Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back