OREANDA-NEWS. Fitch Ratings has affirmed GC FTPYME Sabadell 4 FTA's notes, as follows:

Class A(G) notes (ISIN ES0341169011): affirmed at 'A+sf'; Outlook Stable
Class B notes (ISIN ES0341169029): affirmed at 'BBsf'; Outlook Stable
Class C notes (ISIN ES0341169037): affirmed at 'CCCsf'; Recovery Estimate 65%

The transaction is a securitisation of EUR750m static pool of loans at closing granted by Banco de Sabadell to small and medium-sized Spanish enterprises (SMEs).

KEY RATING DRIVERS

The notes are capped at 'A+sf' due to payment interruptions resulting from exposure to Banco de Sabadell which acts as servicer of the loans. (See 'Fitch Downgrades FTPYME TDA CAM 2 FTA & GC FTPYME Sabadell 4 FTA's Senior Notes', dated 19 March 2014, on www.fitchratings.com for further details). The outstanding balance of this class is currently EUR15.8m, with 70.7% credit enhancement provided by the subordination of the junior notes.

The affirmation of the mezzanine tranche reflects the stabilisation of transaction performance. Current defaults have increased slightly to EUR16.6m in March 2015 from EUR15.5m in March 2014. Over the same period, 90+ day delinquencies have decreased to 4.3% from 7.3%. The reserve fund continues to be fully depleted since March 2014 while the principal deficiency ledger has declined to EUR2,350 from EUR124,078.

The class C notes have been affirmed at 'CCCsf', reflecting their vulnerability to further defaults. It is currently under-collateralised by a small margin.

Despite the swap being collateralised Fitch has not given credit to the transaction's swap because Banco de Sabadell, the swap provider, is not rated by us and, in our view, may be difficult to replace. Under the swap terms and conditions, the fund pays interest received on the loans and receives the weighted average coupon on the notes plus 50 bps.

The portfolio continues to be significantly exposed to the Spanish real estate and building and materials sector that currently represent 54.6% of the total. Fitch has accounted for this in its analysis by stressing the probability of default (PD) associated with loans in this sector.

RATING SENSITIVITIES

Stressing the default probability and recoveries by 10% each would have no rating impact on the class A(G) notes but would result in a downgrade of the class B and C notes by up to three notches.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

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.

SOURCES OF INFORMATION

The information below was used in the analysis.
-Loan-by-loan data provided by GestiCaixa SGFT, SA as at 11 May 2015
-Transaction reporting provided by GestiCaixa SGFT as at 31 March 2015