OREANDA-NEWS. Fitch Ratings says European SME CLO performance remained stable in June 2016. Average 90-day delinquencies in Spain and Italy remained almost unchanged in comparison to May 2016, at 1.7% and 2.4%, respectively.

These statistics are in the July edition of Fitch's SME CLO Compare, which tracks the performance of all SME CLO transactions monitored by the agency, based on their investor reports. The report is updated on a monthly basis.

Throughout the month of June, Fitch reviewed five Spanish SME CLOs. Senior and/or mezzanine notes that are not subject to rating caps were upgraded, reflecting improved or stabilised portfolio performance, coupled with increased credit enhancement as a result of the portfolio's amortisation.

FTA, Pymes Banesto 2's class A2 and B notes were upgraded to 'Asf' from 'BBB-sf' and to 'BBsf' from 'Bsf' respectively, on 3 June 2016, as a result of improving performance and significant increases in credit enhancement. The senior notes amortised by EUR33.3m, resulting in credit enhancement on the class A2 and B increasing by 17% and 7.8%, respectively. The PDL balance was reduced for the first time since the reserve fund was depleted in 2012. The class C notes were affirmed at 'CCsf', RE 0%.

Foncaixa FTGENCAT 3 FTA saw all but the class E notes upgraded on 14 June 2016. The class A(G) notes' credit enhancement has increased substantially, to 36.3% from 30.1% over the past year, which has been reflected? together with the stabilised portfolio performance? in the note's upgrade, to 'AA+sf' from 'A+sf'. The transaction, as well as its sibling transaction, Foncaixa FTGENCAT 4 FTA, both benefit from an unusual swap. The ratings of FTGENCAT 3 class C and Foncaixa FTGENCAT 4's class A(G) notes are capped at the swap counterparty's rating of 'BBBsf'. The stabilised performance of the underlying portfolio however, led to the upgrade of the mezzanine class B and C notes, to 'BB+sf' from 'BBsf' and 'BB-sf' from 'Bsf', respectively.

On 20th of June Fitch upgraded BBVA 6 FTPYME, FTA's class B notes to 'BBsf' from 'B-sf', Outlook Stable, whilst affirming the class C notes at 'Csf', RE 0%. The upgrade reflected improving portfolio performance, as well as increased credit enhancement, resulting from portfolio amortisation; credit enhancement on the class B notes had increased to 22% from 12.5% at the previous review.

FTPYME BANCAJA 6's class B notes were upgraded to 'BBsf' from 'Bsf' as a result of the improved performance of the underlying portfolio. Over the past year, delinquencies over 90 days halved and recoveries increased marginally. However, portfolio concentrations remain high and the reserve fund remains depleted. All remaining notes were affirmed, with the class A notes being capped at its current rating of 'Asf', due to payment interruption risk.