OREANDA-NEWS. Fitch Ratings has upgraded Panther CDO V B. V. notes, as follows:

EUR99mClass A1 (ISIN XS0308593671): upgraded to 'AAsf' from 'A+sf'; Outlook stable

EUR29.8mClass A2 (ISIN XS0308594059): upgraded to 'AAsf' from 'BBBsf'; Outlook stable

EUR24.5m Class B (ISIN XS0308594489): upgraded to 'Asf' from 'BBsf'; Outlook stable

EUR17.5m Class C (ISIN XS0308594729): upgraded to 'BBsf' from 'Bsf'; Outlook Stable

EUR18m Class D (ISIN XS0308595296): affirmed at 'CCCsf'

EUR4m Class E (ISIN XS0308595536): affirmed at 'CCCsf'

Panther CDO V B. V. is a managed cash arbitrage securitisation of a diverse pool of assets, including high-yield bonds, asset-backed securities, senior loans, second lien loans and mezzanine loans. The portfolio is managed by M&G Investment Management Limited.


The upgrades reflect increases in credit enhancement (CE) across the capital structure and broadly stable asset performance, which outweighs the loss incurred by the transaction over the last 12 months.

The class A1 notes have amortised by EUR48.2m over the past year. This resulted in CE increasing in all rated notes, ranging from an increase of 9% to 52.8% for the class A notes to an increase of 0.12% to 8.12% for the class E notes. As of the review date, there is EUR23.9m collected in the principal account, which we expect to be distributed on the October payment date, thus further increasing CE on the class A1 notes by 5.7%.

The portfolio is a combination of ABS assets and leveraged loans. The proportion of ABS assets has increased to 50.3% from 46.2% over the last 12 months and subsequently the leveraged loans exposure has decreased to 49.7% from 53.8%. Overall, the portfolio quality has slightly improved as Fitch calculates that the proportion of investment-grade assets has increased to 42.7% from 36.7% during the same period.

The portfolio performance migration is also illustrated by the proportion of upgrades (13.1% of the portfolio) versus downgrades (2.9%) over the same period period. The exposure to Europe's periphery (Italy, Spain, Poland and Portugal) has fallen marginally to 19.3% from 19.6%.

Two defaulted assets were sold with a total principal amount of EUR4.7m, resulting in a EUR3.8m realised loss. However, there are two new defaults over the year with a total principal amount of EUR4.9m. As a result, defaulted assets have increased to EUR13.2m from EUR13m. The 'CCC' or below rated assets are unchanged at 6.7%.

The portfolio remains diversified despite the top obligor exposure having increased to 4% from 2.9% and top 10 obligor exposures to 31.6% from 23.7%. The portfolio is distributed across 14 countries and 19 industries with the largest country and industry at 38% and 6.8%, respectively. Fixed-rate assets decreased to 2.3% from 6.9% after the transaction's macro interest rate swap expired on October 2015 payment date.


Fitch found that reducing the recovery rate or increasing the default rate by 25% each would not have any impact on the ratings of the notes.


No third party due diligence was provided or reviewed in relation to this rating action.


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 Recognised Statistical Rating Organisations 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.


The information below was used in the analysis.

-Investor report as of 29 July 2016 provided by The Bank of New York Mellon

-Loan-by-loan data as of 29 July 2016 provided by The Bank of New York Mellon