(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 the portfolio credit quality. The portfolio credit quality has remained stable since the last review, with reported assets rated 'CCC' or below representing 15.3% of the portfolio, down from 17.4% in November 2011. The transaction is mainly exposed to CMBS and RMBS assets, which account for 21.9% and 16.3% of the portfolio, respectively.
In August 2012 the issuer repurchased the class A1 notes with a par value of EUR20.0m at a discounted purchase price. The repurchased notes were subsequently cancelled. Following the repurchase, noteholders benefited from an increase in credit enhancement due to the relative increase of assets compared with liabilities in the structure.
The class D and E overcollateralisation (OC) tests have been breached since the last review. The class A, B, C, and D OC tests are currently passing, while the class E OC test remains in breach. The OC test cushions have improved on the senior 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 the cushion has increased.
The Negative Outlook on the class B notes reflects their sensitivity to an increase in the weighted average life of the underlying assets.
Panther CDO V B.V. is a managed cash arbitrage securitisation of a diverse pool of assets, including high-yield bonds, property B-notes, asset-backed securities, senior loans, second lien loans and mezzanine loans. The portfolio is managed by M&G Investment Management Limited. The reinvestment period is expected to last until October 2014.