OREANDA-NEWS. August 31, 2015.  Fitch Ratings has upgraded Pangaea ABS 2007-1 B.V.'s class A, B, and C notes and affirmed the others, as follows:

Class A: upgraded to 'BBsf' from 'B-sf'; Outlook Stable
Class B: upgraded to 'Bsf' from 'CCCsf'; Outlook Stable
Class C: upgraded to 'CCCsf' from 'CCsf'
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 upgrade of the class A, B, and C notes reflects a significant increase in their available credit enhancement. The transaction collected EUR54.2m of principal proceeds from the portfolio in the last 12 months. The proceeds came mainly from redemptions of CMBS and corporate CDO assets, which tend to have a shorter weighted average life. Fitch expects the pace of deleveraging to slow down in the coming years as the portfolio becomes dominated by longer-dated RMBS assets.

The credit quality of the performing portfolio has deteriorated slightly since the last review. The weighted average rating factor, a measure of credit quality, stands at 37.4 compared with 35.7 in July 2014. Fitch considers 32.6% of the performing portfolio to be rated 'CCCsf' or below, up from 30.9% in July 2014. Over the last 12 months, two portfolio assets have defaulted.

Fitch expects all proceeds available after interest payments on the class A, B, and C notes to 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.

RATING SENSITIVITIES
A 25% increase in the obligor default probability would lead to a downgrade of up to one notch for the rated notes. A 25% decrease in expected recovery would not lead to a downgrade of the rated notes.

DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed 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 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 Recognized Statistical Rating Organizations 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.
- Transaction reporting provided by the trustee as at 31 July 2015