OREANDA-NEWS. Fitch Ratings has affirmed Pangaea ABS 2007-1 B. V. as follows:

Class A: affirmed at 'BBsf''; Outlook Stable

Class B: affirmed at 'Bsf''; Outlook Stable

Class C: affirmed at 'CCCsf'

Class D: affirmed at 'Csf'

Class E: affirmed at 'Csf'

Class F: affirmed at 'Csf'

Class S1: affirmed at 'Csf'

The transaction is a managed cash securitisation of structured finance assets, primarily mortgage-backed securities. The portfolio is actively managed by Investec Principal Finance.

KEY RATING DRIVERS

The affirmation reflects an improvement in the credit quality of the performing portfolio being offset by an increase in defaulted assets. The weighted average rating factor, a measure of portfolio credit risk, has decreased to 27.7 from 37.4 over the past year. During the same period, defaulted obligations increase to EUR42.3m from EUR24.8m. In its analysis, the agency has assumed a 0% recovery rate for all defaulted assets.

The credit enhancement available to the class A notes has increased slightly, due to the deleveraging of the transaction. The outstanding amount of the class A notes has fallen by EUR33.9m over the past three payment dates through a combination of principal and interest proceeds. Credit enhancement has decreased for the others notes due to an increase in defaulted assets.

Fitch expects all proceeds available after interest payment on the class A, B, and C notes will continue to be applied towards repaying the class A notes. The reinvestment period ended in June 2013 and the transaction documents currently prevent the manager from reinvesting principal proceeds. All overcollateralisation tests have been breached since 2008, leading to a diversion of excess spread and deferral of interest on the class D, E, and F notes.

The class S-1 combination notes' ratings reflect the ratings of the class D component classes.

RATING SENSITIVITIES

A 25% increase in the obligor default probability or a 25% decrease in expected recovery would not lead to a downgrade of the rated notes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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 affected the rating 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 groups within Fitch 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 TMF Management (UK) Limited as of 31 May 2016

- Transaction reporting provided by TMF Management (UK) Limited as of 31 May 2016