OREANDA-NEWS. Fitch Ratings has affirmed AyT Colaterales Global Empresas, F.T.A., Serie Caja Granada I's senior notes and upgraded the mezzanine and junior notes, as follows:

EUR16.2m Class B (ISIN ES0312214135): affirmed at 'AA+sf'; Outlook Stable
EUR10.5m Class C (ISIN ES0312214143): upgraded to 'AA+sf' from 'A+sf'; Outlook Stable
EUR10.5m Class D (ISIN ES0312214150): upgraded to 'Asf' from 'BBBsf'; Outlook Stable

The transaction is a static cash flow SME CLO originated by Caja General de Ahorros de Granada (Caja Granada), now part of Banco Mare Nostrum S.A. (BB+/Negative/B). At closing, the issuer used the note proceeds to purchase a EUR175m portfolio of secured and unsecured loans granted to Spanish small and medium enterprises and self-employed individuals.

KEY RATING DRIVERS
The upgrades reflect the transaction's stable performance, as well as significant increases in credit enhancement as a result of amortisation. In March 2015, the class A notes were paid in full and the class B notes commenced amortisation. Total amortisation over the past year is EUR13.4m. This has resulted in an increase in credit enhancement to 100% from 75% for the class B notes and to 74% from 55% for the class C notes since the last review.

The class D notes' rating is constrained by Barclays Bank plc's rating (A/Stable/F1) due to it holding the sizable reserve fund, which provides the only credit enhancement for the class D notes. The reserve fund is currently underfunded at an outstanding amount of EUR16.3m, compared with a required amount of EUR17.9m and makes up 40% of the notes' credit enhancement.

Overall, the transaction's performance has been stable and in line with expectations. Delinquencies over 90 days decreased over the past year and now represent around 1.5% of the outstanding portfolio. Defaults increased marginally over the past year and now represent around 7.7% of the outstanding portfolio, compared with 5.9% at the last review. There has been a healthy inflow of recoveries with a weighted average recovery rate of 73.6%.

Obligor concentration has increased over the past year, as would be expected for an amortising portfolio. The largest obligor currently accounts for 2.4% of the outstanding portfolio and the ten largest obligors contribute 13.4%.

RATING SENSITIVITIES
Fitch incorporated several stress tests to analyse the ratings' sensitivity to a change in the underlying scenarios. The first test simulated an increase of the default probability by 25%, whereas the second test reduced the recovery assumptions by 25%. Neither test indicated that negative rating migration would be triggered should either scenario materialise.

DATA ADEQUACY
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.

Overall and together with the assumptions referred to above, 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.