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


  • 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;
Secondary Contact:Emanuele Tamburrano, London + 44 20 7176 3825;
Research Contributor:Sukhmani Kohli, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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