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

EUR108.2m class A1 (ISIN XS0276065124) affirmed at 'Asf'; Outlook Stable
EUR34m class A2 (ISIN XS0276066361) upgraded to 'BBBsf' from 'Bsf'; Outlook Stable
EUR28m class B (ISIN XS0276068730) upgraded to 'Bsf' from 'CCCsf'; Outlook Positive
EUR19.8m class C (ISIN XS0276070553) upgraded to 'CCCsf' from 'CCsf'

Panther CDO IV 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 upgrade of the class A2, B and C notes reflects an increase in credit enhancement over the last 12 months due to continuing deleveraging of the transaction following the end of the reinvestment period in March 2014 and slight improvement in the credit quality of the performing pool. The Positive Outlook on the class B notes reflects potential further upgrades if repayments continue as per last year.

The class A1 notes' rating is constrained by the transaction's structure, which triggers an event of default in the case of non-payment of interest on the class A2 notes.

Credit enhancement has increased on the class A1 to 48.5% from 39.1%, on the class A-2 notes to 32.4% from 25.7%, on the B notes to 19% from 13.8% and on the class C notes to 9.6% from 6.1% since September 2014. The class A1 notes have paid down by EUR26.3m as of the March 2015 payment date and EUR27.8m as of the September 2015 payment date. Fitch do not expect the transaction to be able to reinvest in the future given that the rating of the class A and B notes have been downgraded by one or more notch compared with their initial ratings and that the ratings of the class C, D and E notes have been downgraded by two or more notches compared with their initial ratings.

The Fitch weighted average rating factor has improved to 14.77 from 16.09 over the last 12 months. Defaults currently stand at EUR24.9m, down from EUR39.7m a year ago. This reflects mainly the resolution of one defaulted asset and the sale of two previously defaulted assets. There were no new defaults over the period.

Overcollateralisation has improved during the same period, as the class A notes' par value test is now passing with a buffer of 8.7% and the class B's OC test is passing for the first time since 2009 with a buffer of 12 bps. As a consequence, excess spread has been used to repay EUR2.3m of deferred interest on the class B notes. As of the September 2015 payment date report, the transaction has been paying timely interest on the class A1, A2, B and C notes. As per the interest priority of payment, deferred interest on the class C, D and E notes will only be paid if the the class C, D and E's par value tests are passing.

As of the September 2015 trustee report, fixed-rate securities represented approximatively EUR30.9m. The transaction has a macro interest rate swap in place where the issuer is paying a fixed rate in exchange of Euribor 6 months. Given the current low interest rate environment, the issuer is making a substantial payment to the hedge counterparty on each payment date. The notional amount of the macro swap is currently EUR11.4m for the period September 2015 to March 2016 and will decrease to EUR8.4m for the period March 2016 to September 2016. The swap will expire in September 2016. The transaction is also paying deferred placement fee until the payment date in March 2017. After maturity of the swap and full payment of the deferred placement fees, available excess spread should increase.

RMBS and CMBS assets represent 23% and 11% respectively of the portfolio. Fitch analysed the portfolio's maturity using two approaches; first assuming the asset's legal final maturity 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. For CMBS assets, Fitch assumes the legal maturity with a floor of three years. As a result, Fitch estimates a weighted average life for the performing portfolio of 8.4 years, relative to the legal final maturity estimate of 13.2 years.

RATING SENSITIVITIES
In its ratings sensitivity analysis Fitch found that an increase of the default probability by 25% would likely result in a downgrade of up to two notches on the class A1 notes. A decrease of recovery assumptions by 25% would not impact the current ratings.

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 11 September 2015
-Transaction reporting provided by Bank of New York Mellon as at 11 September 2015