EUROMAX VI ABS Ltd. Ratings Affirmed On All Classes Of CDO Notes
Overview
- Following our analysis of the transaction's performance and the application of our relevant criteria, we affirmed our ratings on the class B, C, D, and E notes in EUROMAX VI ABS.
- EUROMAX VI ABS is a cash flow mezzanine structured finance CDO with a portfolio that predominantly consists of mortgage-backed securities.
LONDON (S&P Global Ratings) Sept. 26, 2023--S&P Global Ratings today affirmed its 'BB (sf)', 'CCC- (sf)', 'CC (sf)', and 'CC (sf)' credit ratings on EUROMAX VI ABS Ltd.'s class B, C, D, and E notes, respectively.
Today's affirmations follow our analysis of the transaction's performance and the application of our relevant criteria (see "Related Criteria").
Our ratings address the timely payment of interest and ultimate principal on the class B notes and the ultimate payment of interest and principal on the class C, D, and E notes.
The portfolio continues to amortize and is now left with nine structured finance instrument, issued by five different issuers. The largest obligor accounts for approximately 34% of the performing pool.
As the portfolio is concentrated, we used our global CDOs of pooled structured finance assets criteria as a starting point for our analysis, especially for the credit and cash flow models (see "Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions," published on Feb. 21, 2012). The percentage of assets paying less frequently than quarterly has also increased in the pool.
Since our previous review, the class B notes have continued to amortize, with only 18.89% of their initial balance now outstanding (see "EUROMAX VI ABS Ltd. Cash Flow CDO Notes Class B Ratings Raised; Class D Lowered; Other Classes Affirmed," published on Oct. 31, 2022). This year, the notes have amortized by approximately €4 million, while the previous year the repayment was approximately €10 million. Considering the current portfolio, the outstanding portfolio of investment-grade rated assets is not enough to pay the remaining balance outstanding on the class B notes, which is a change from our previous review.
Considering the current macroeconomic environment, the concentrated nature of the portfolio, and the increased credit enhancement for the class B notes since our precious review, we continue to apply an analytical judgement to our cash flow results through a larger cushion to capture future downgrades of the portfolio and the increased concentration risk. Considering these factors, we have affirmed our rating on the class B notes.
The class C, D, and E notes have continued to defer their interest payments and pay-in-kind (PIK) and have more negative credit enhancement than at our previous review.
In our opinion, the full repayment of these notes depends significantly on the market value of the defaulted assets in the portfolio, in addition to the current credit enhancement they benefit from. This includes, for example, assuming whether defaulted assets are able to realize a higher recovery than anticipated under our analysis. Therefore, in our view, the class C, D, and E notes remain commensurate with their current ratings, taking into account all of the above factors, and we have therefore affirmed our ratings on these classes of notes.
EUROMAX VI ABS is a cash flow mezzanine structured finance collateralized debt obligation of a portfolio that predominantly consists of mortgage-backed securities. The transaction closed in April 2007, and Collineo Asset Management GmbH manages it.
Related Criteria
- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- Criteria | Structured Finance | CDOs: Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions, Feb. 21, 2012
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
Related Research
- Weekly European CLO Update, Sept. 18, 2023
- CLO Pulse Q1 2023: Sector Averages Of Reinvesting European CLO Assets, June 12, 2023
- Credit Conditions Europe Q2 2023: Costs Rising To Cure Inflation, March 28, 2023
- EUROMAX VI ABS Ltd. Cash Flow CDO Notes Class B Ratings Raised; Class D Lowered; Other Classes Affirmed, on Oct. 31, 2022
- European Leveraged Finance Q2 2022: It's Not The Fall That Kills You, Aug. 8, 2022
- 2017 EMEA Structured Credit Scenario And Sensitivity Analysis, July 6, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
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| Primary Credit Analyst: | Emanuele Tamburrano, London + 44 20 7176 3825; emanuele.tamburrano@spglobal.com |
| Research Contributor: | Tejas Parab, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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