OREANDA-NEWS. March 30, 2015. Fitch Ratings has upgraded IM Cajamar Empresas 5, FTA's class B notes and affirmed the class A notes, as follows:

EUR46.1m Class A1 (ISIN ES0347431001) affirmed at 'A+sf', Outlook Stable
EUR244.9m Class A2 (ISIN ES0347431019) affirmed at 'A+sf', Outlook Stable
EUR135m Class B (ISIN ES0347431027) upgraded to 'Bsf' from 'CCCsf', Outlook Positive

IM Cajamar Empresas 5 is a static cash flow SME CLO originated by Cajamar Caja Rural and Caja Rural del Mediteraneo. Cajamar and Ruralcaja merged in October 2012 to form Cajas Rurales Unidas (BB/Stable/B). The transaction is a granular securitisation of a EUR675m portfolio of secured and unsecured loans granted to Spanish small and medium-sized enterprises and self-employed individuals.

KEY RATING DRIVERS
The upgrade reflects the increase in credit enhancement (CE) over the past year due to the amortisation of the class A notes and the improved performance of the portfolio. CE for the class A1 and A2 notes, which rank pari passu, has risen to 58.6% from 44% at the last review. CE for the class B notes has increased to 27% from 20.2% at the last review and 17% at closing.

The transaction has a 12 months default definition and the defaulted assets increased to 4.63% from 0.64% at the last review, the delinquency over 90 days decreased to 0.86% from 3.36% and the delinquency over 180 days decreased to 0.36% from 2.52%. The largest industry is Agricultural Services which contributes 39.3% of the performing portfolio and the largest obligor accounts for 0.9%.

The class A notes' rating is capped at 'A+sf' due to the treasury account bank rating triggers embedded in the transaction documentation as the EUR114.75m reserve fund is held at the account bank to provide the liquidity support. These triggers are set at a minimum rating requirement of BBB+/F2 for the account bank Banco Santander (A-/Stable/F2).

The Positive Outlook on the class B notes reflects the significant drop in delinquencies combined with the rapid deleveraging, which if continued may lead to the rating being upgraded.

RATING SENSITIVITIES
Fitch modelled two stress scenarios. The first increased the assets' probability of default by 25% and the second decreased the recovery rate on the assets by 25%. Neither of the scenarios had an impact on the current ratings of the notes.