Wires

TEXT-Fitch affirms Panther CDO V B.V.

Share

(The following statement was released by the rating agency)

Oct 12 - Fitch Ratings has affirmed Panther CDO V B.V.'s notes, as follows: EUR196.4m Class A1 (ISIN XS0308593671): affirmed at 'Asf'; Outlook Stable EUR29.8m Class A2 (ISIN XS0308594059): affirmed at 'BBsf'; Outlook Stable EUR24.5m Class B (ISIN XS0308594489): affirmed at 'Bsf'; Outlook Negative EUR17.5m Class C (ISIN XS0308594729): affirmed at 'CCCsf' EUR18.0m Class D (ISIN XS0308595296): affirmed at 'CCsf' EUR4.0m Class E (ISIN XS0308595536): affirmed at 'CCsf'

The affirmation reflects the notes' levels of credit enhancement relative to theportfolio credit quality. The portfolio credit quality has remained stable sincethe last review, with reported assets rated 'CCC' or below representing 15.3% ofthe portfolio, down from 17.4% in November 2011. The transaction is mainlyexposed to CMBS and RMBS assets, which account for 21.9% and 16.3% of theportfolio, respectively.

In August 2012 the issuer repurchased the class A1 notes with a par value ofEUR20.0m at a discounted purchase price. The repurchased notes were subsequentlycancelled. Following the repurchase, noteholders benefited from an increase incredit enhancement due to the relative increase of assets compared withliabilities in the structure.

The class D and E overcollateralisation (OC) tests have been breached since thelast review. The class A, B, C, and D OC tests are currently passing, while theclass E OC test remains in breach. The OC test cushions have improved on thesenior and mezzanine tests and remained largely stable on the junior OC tests.The interest coverage test has been in compliance since the last review and thecushion has increased.

The Negative Outlook on the class B notes reflects their sensitivity to anincrease in the weighted average life of the underlying assets.

Panther CDO V B.V. is a managed cash arbitrage securitisation of a diverse poolof assets, including high-yield bonds, property B-notes, asset-backedsecurities, senior loans, second lien loans and mezzanine loans. The portfoliois managed by M&G Investment Management Limited. The reinvestment period isexpected to last until October 2014.

((Bangalore Ratings Team, Hotline: +91 80 4135 5898satish.kb@thomsonreuters.com, Group id: BangaloreRatings@thomsonreuters.com,Reuters Messaging: satish.kb.thomsonreuters.com@reuters.net))