September 26, 2012 / 3:01 PM / 5 years ago

TEXT-Fitch affirms Euromax V and Dureve

Sept 26 - Fitch Ratings has affirmed Euromax V ABS PLC (Euromax V) and
Dureve Limited Series 2010-1 (Dureve), as follows:

Euromax V
Class X (XS0274619724): affirmed at 'Asf'; Outlook Stable
Class A1 (XS0274615656): affirmed at 'CCCsf'
Class A2 (XS0274616381): affirmed at 'CCCsf'
Class A3 (XS0274616977): affirmed at 'CCsf'
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'

Dureve
Class Senior A-1 (XS0570761600): affirmed at 'Asf'; Outlook Stable
Class Senior A-2 (XS0570762087): affirmed at 'BBB-sf'; Outlook Stable
Class Mezzanine B (XS0570763564): affirmed at 'BB+sf'; Outlook Stable
Class Subordinated C-1 (XS0570763994): affirmed at 'BB-sf'; Outlook Stable

The affirmation of Euromax V's classes A1 to B2 at 'CCCsf' and below reflects
the notes' level of credit enhancement relative to the portfolio's credit
quality.

The portfolio has experienced negative credit migration since the last review in
October 2011. The share of investment grade assets has declined to 24% from 28%
over the past year. In addition, three more assets have been classified as
defaulted over the same period. Currently, there are five defaulted CMBS assets
in the pool totalling EUR19.8m.

The outstanding pool is concentrated at industry level and has considerable
exposure to 'CCCsf' and below rated assets. CMBS makes up 52% of the portfolio
while assets rated 'CCCsf' and below account for 34% of the pool.

All the OC tests are being breached and there has been at least one OC test
failure since October 2008. Due to coverage test breach excess spread has been
used to repay the senior notes.

The class D1 and D2 combination notes' ratings reflect the ratings of their
respective component classes, total distributions to date (which count towards
reducing the rated balances) and future distributions expected on each of the
component classes. The rated balances of the class D1 and D2 notes currently
stand at EUR4.3m and EUR6.5m, respectively. 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.

The 'Asf' rating on the Class X notes reflects the structural features of this
class. The proceeds from its issue were used to pay senior fees. The class is
expected to mature before its legal maturity date in February 2013 as the class
benefited from the diversion of principal proceeds as a result of the coverage
test breach.

Dureve is a re-securitisation of the class A1 of Euromax V ABS PLC .Class Senior
A-1 has paid down to 18% of its original balance, leading to increased credit
enhancement for all the rated notes since close. However, the notes have been
affirmed due to the weak credit characteristics of the underlying portfolio.

Additional information is available on www.fitchratings.com. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

Source of information: The information used to assess these ratings was sourced
from periodic investor reports and the trustee.

Applicable criteria, 'Global Structured Finance Rating Criteria', dated 6 June
2012, 'Global Rating Criteria for Structured Finance CDOs', dated 6 October 2011
and 'Counterparty Criteria for Structured Finance Transactions', dated 30 May
2012; are available at www.fitchratings.com.

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Global Rating Criteria for Structured Finance CDOs
Counterparty Criteria for Structured Finance Transactions

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