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

EUR147.2m Class A1 (ISIN XS0308593671): upgraded to 'A+sf' from 'Asf'; Outlook Positive
EUR29.8m Class A2 (ISIN XS0308594059): upgraded to 'BBBsf' from 'BB+sf'; Outlook Positive
EUR24.5m Class B (ISIN XS0308594489): upgraded to 'BBsf' from 'Bsf'; Outlook Positive
EUR17.5m Class C (ISIN XS0308594729): upgraded to 'Bsf' from 'CCCsf'; Outlook Stable
EUR18m Class D (ISIN XS0308595296): upgraded to 'CCCsf' from 'CCsf'
EUR4m Class E (ISIN XS0308595536): upgraded to 'CCCsf' from 'CCsf'

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.

KEY RATING DRIVERS
The upgrades across the capital structure are driven principally by a significant increase in credit enhancement across all note tranches following a EUR34m pay down to the class A1 notes at the April 2015 interest payment date. In addition to this, the reinvestment period ended in October 2014. As conditions for further reinvestment are not currently being met, all principal receipts must be used to pay down debt, and the transaction is therefore static. The Positive Outlook on the three senior tranches reflects further upgrades if repayments continue as per the last year.

The portfolio is currently made up of ABS assets (46%), corporate bonds (17%) and leverage loans (37%). The proportion of ABS assets has fallen from 50% a year ago, benefiting the transaction as the majority of its non-senior exposure is attributable to this sector. Fitch calculates that the proportion of investment-grade assets have increased to 36.7% from 34.4% over the past one year. The positive performance of the portfolio is also illustrated by the proportion of upgrades (8.9% of the portfolio) vs. downgrades (2.7%) over the same period, while exposure to Europe's periphery (Italy, Spain and Portugal) has also fallen, to 19% from 25%.

Defaults currently stand at EUR13m, down marginally from EUR13.4m last year. This reflects the resolution of one defaulted asset, the rehabilitation of another back to performing, and one new default over the year. The notional value of this defaulted asset is EUR1.35m, and has been assigned only a nominal recovery amount.

Assets subject to a fixed rate of interest represent 7.1% of the portfolio while all liabilities are currently floating-rate. A macro interest rate swap is in place, which currently has a notional value of EUR8.5m. This swap expires at the forthcoming October 2015 interest payment date, which, given the current low interest rate environment, will benefit the transaction through an increase in available excess spread.

Fitch analysed the portfolio's maturity using two approaches; first assuming the asset's legal final maturity (corresponding to that assumed by the trustee) and second using a Fitch-adjusted maturity. Fitch assumed a weighted average maturity of 16 and 27 years from closing for amortising and non-amortising RMBS loans respectively. As a result, Fitch estimates a weighted average life for the entire portfolio of 8.9 years, relative to the legal final maturity estimate of 11.2 years.

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

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 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.

SOURCES OF INFORMATION
The information below was used in the analysis.
-Loan-by-loan data provided by Bank of New York Mellon as at 30 June 2015
-Transaction reporting provided by Bank of New York Mellon as at 30 June 2015