OREANDA-NEWS. Fitch Ratings has upgraded AyT FTPYME II, F.T.A's Class F3 notes, and affirmed all others as follows:

EUR2.3m Class F2 (ISIN ES0312363015): affirmed at 'AA+sf'; Outlook Stable
EUR9m Class T2 (ISIN ES0312363023): affirmed at 'AA+sf'; Outlook Stable
EUR34m Class F3 (ISIN ES0312363031): upgraded to 'BBB+sf' from 'BB+sf'; Outlook revised to Positive from Stable

The transaction is a static securitisation of a EUR500m initial portfolio of Spanish SME loans originated and serviced by six savings banks now consolidated into Bankia S.A. (BBB-/Negative/F3), CaixaBank S.A. (BBB/Positive/F2), Banco Mare Nostrum S.A. (BB+/Negative/B), Kutxabank S.A. (BBB/Postive/F3) and Banco Bilbao Vizcaya Argentaria (A-/Stable/F2).

KEY RATING DRIVERS
The upgrade and revision in Outlook for the Class F3 notes predominantly reflects increased credit enhancement across the transaction over the last 12 months following deleveraging. The transaction has paid down EUR11.6m to the Class F2 and T2 notes (which are pari passu ranking), increasing their credit enhancement to 102.4% from 80.4%. The credit enhancement for the Class F3 notes increased to 27.3% from 20.6%. The class F2 and T2 notes' ratings are capped at the highest achievable rating for Spanish structured finance transactions of 'AA+sf'.

While delinquencies across the portfolio and recoveries have been somewhat volatile over the last few years, both have seen improvements over the last 12 months. Greater than 90 day delinquencies have fallen to 1.6% from 4.41% of the outstanding portfolio, while greater than 180 day delinquencies have fallen to only 0.32% from 3.37%. The weighted average recovery rate for the portfolio has increased to 57.6% from 37.6%.

Current defaults over the period have fallen in absolute terms to EUR3.29m from EUR3.61m, while the reserve fund has been topped up and is now at its target level of EUR12.3m.

RATING SENSITIVITIES
The transaction can withstand stresses of up to 1.25x on the default rate or up to 0.75x on the unsecured recovery rate without rating impact.

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, 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.