OREANDA-NEWS. Fitch Ratings has affirmed GAT FTGENCAT 2006, FTA's notes as follows:

EUR3.1m Series A2(G) (ISIN ES0341097014) affirmed at 'Asf'; Outlook Stable
EUR5.1m Series B (ISIN ES0341097022) affirmed at 'Asf'; Outlook Stable
EUR12.3m Series C (ISIN ES0341097030) affirmed at 'BBsf', Outlook Negative
EUR13.2m Series D (ISIN ES0341097048) affirmed at 'CCsf'; Recovery Estimate RE 0%
EUR9.5m Series E (ISIN ES0341097055) affirmed at 'Csf'; Recovery Estimate RE 0%

GAT FTGENCAT 2006, FTA is a cash flow securitisation of an initial static pool of EUR440m of 6,922 loans to Spanish small and medium enterprises (SMEs) originated and serviced by Catalunya Banc, S.A..

KEY RATING DRIVERS
The affirmation reflects the largely stable performance of the transaction in the past 12 months. The transaction has continued to amortise, aided in part by the guarantee on series A2(G) provided by the state of Catalonia (BBB-/Stable/F3). Series A2(G) has paid down to 1.3% of its original balance and now stands at EUR3.1m. This has led to an increase in credit enhancement for series A2(G), B and C but decrease for series D. Credit enhancement for the series A2(G) notes increased to 90.83% and 61.68% for the series B notes, from 68.35% and 44.24% a year ago

The transaction is serviced by Catalunya Banc, S.A. which is not rated and the reserve fund has been reduced to zero. The transaction is therefore exposed to payment interruption risk as a default by Catalunya Banc would mean there are no funds available to mitigate the loss of liquidity. Hence the notes' rating are capped at 'Asf'.

Series A2(G) is guaranteed by Catalonia and the current drawn amount from the guarantor has decreased to EUR4.7m currently from EUR5.7m a year ago. This guaranteed amount is used to cover the significant level of defaults contained in the portfolio and it is required to be reimbursed after series A2(G) has paid in full.

Current defaults are at EUR17.3m, down from EUR18m a year ago. Cumulative defaults have increased EUR2.7m to EUR29.4m, triggering an interest deferral mechanism which diverts interest from series D to principal. The interest deferral trigger on series B and C may be reached due to high obligor concentration. Recoveries remain at low level with EUR2.5m received over the past 12 months, taking total recoveries to EUR9.7m since closing in 2006.

Delinquencies have improved, with 90+ arrears at 2.95% and 180+ arrears at 1.8%, down from 6.5% and 3.5% respectively a year ago. But delinquencies can be volatile due to the high obligor concentration following the portfolio amortisation. Exposure to the top obligor increased over the last 12 months to 4.2% from 3.5% and the top 10 obligors make up 27.7% of the portfolio, up from 24%.

RATING SENSITIVITIES
Increasing the default probability (PD) and reducing the recovery rate by 25% each has had no impact on the ratings.