OREANDA-NEWS. Fitch Ratings has affirmed all of Faxtor ABS 2005-1 B.V.'s classes as follows:

EUR25m Class A-1 floating-rate notes due 2070 (XS0235143970): affirmed at 'Asf'; Outlook Stable
EUR10m Class A-2E floating-rate notes due 2094 (XS0235144358): affirmed at 'BB+sf'; Outlook Stable
EUR10m Class A-2F fixed-rate notes due 2094 (XS0235144945): affirmed at 'BB+sf'; Outlook Stable
EUR20mClass A-3 fixed-rate notes due 2094 (XS0235146056): affirmed at 'BB-sf'; Outlook Stable
EUR17m Class A-4 floating-rate notes due 2094 (XS0235146569): affirmed at 'CCCsf'
EUR12m Class B floating-rate notes due 2094 (XS0235147617): affirmed at 'CCsf'

Faxtor ABS 2005-1 is a securitisation of European structured finance assets of mainly mezzanine quality.

KEY RATING DRIVERS
The affirmation reflects the portfolio's stable performance over the last 12 months. Amortisation of the portfolio has resulted in increased credit enhancement across the capital structure, which was offset by increases in portfolio concentration levels.

The class A-1 notes have amortised by EUR22m over the last 12 months, resulting in an increase in credit enhancement to 78.3% from 70.4%. Credit enhancement for the class A-2 notes increased to 61% from 55%; the class A-3 notes to 43.7% from 39.5%, and the A-4 notes to 29% from 26.3%.

The transaction is currently benefitting from a floating-for-fixed swap, which will expire in February 2016. With interest proceeds from the underlying portfolio sufficient to cover the notes' interest payments, remaining cash is available to pay down the class B notes' deferred interest of EUR563,457. Fitch expects the deferred interest to be fully paid over the next two payment dates and therefore prior to the swap expiry. Any remaining interest proceeds would then go towards the pay-down of the class A-1 notes principal although this is expected to be limited after the expiry of the swap.

The transaction includes two sterling assets, which remain unhedged since the cross-currency swap matured in July 2013. The assets are both non-senior RMBS assets and make up for 7.35% of the performing balance.

The portfolio currently comprises 52 performing assets from 40 issuers and five defaulted assets. There have not been any additional defaults over the last 12 months. In line with Fitch's expectations, the portfolio is becoming increasingly concentrated with amortisation. The UK is the largest country with 46% of assets, up from 41% a year ago. The second-largest country is the Netherlands with 16%, compared with 19%, followed by Germany at 15% versus 15.5%. RMBS remains the largest sector, representing 60% of the portfolio, followed by 20% CMBS assets and 15% corporate CDOs.

RATING SENSITIVITIES
Stressing the default rate by 25% for all assets in the portfolio would result in a downgrade of up to two rating categories for the rated notes. Reducing the recovery rate by 25% for all assets in the portfolio would have no impact on the class A-1 or A-2 notes, but could lead to a downgrade of up to one category on the remaining notes.

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 Recognized Statistical Rating Organizations 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 July 2015
-Transaction reporting provided by Deutsche Bank as at 30 July 2015