OREANDA-NEWS. June 23, 2015. Fitch Ratings has affirmed Foncaixa FTGENCAT 3 and 4 FTA as follows:

Foncaixa FTGENCAT 3 FTA:
Class A(G) notes (ISIN ES0337937017): affirmed at 'A+sf', Outlook revised to Stable from Negative
Class B notes (ISIN ES0337937025): affirmed at 'BBB+sf', Negative Outlook
Class C notes (ISIN ES0337937033): affirmed at 'BBsf', Negative Outlook
Class D notes (ISIN ES0337937041): affirmed at 'Bsf', Negative Outlook
Class E notes (ISIN ES0337937058): affirmed at 'CCsf', Recovery Estimate 0%

Foncaixa FTGENCAT 4 FTA:
Class A(G) notes (ISIN ES0338013016):affirmed at 'BBBsf', Negative Outlook
Class B notes (ISIN ES0338013024): affirmed at 'BBsf', Negative Outlook
Class C notes (ISIN ES0338013032): affirmed at 'Bsf', Negative Outlook
Class D notes (ISIN ES0338013040): affirmed at 'CCCsf', Recovery Estimate 0%
Class E notes (ISIN ES0338013057): affirmed at 'CCsf', Recovery Estimate 0%

Both transactions are a cash flow securitisation of a static pool of loans granted by Caja de Ahorros y Pensiones de Barcelona (la Caixa) to small and medium-sized Spanish enterprises.

KEY RATING DRIVERS
The affirmation of Foncaixa FTGENCAT 3 and Foncaixa FTGENCAT 4 reflects marginal overall improvement in credit enhancement (CE), which are offset by relatively high delinquency levels in the portfolio. The Outlook on Foncaixa 3 class A(G) notes has been revised to Stable to reflect a more pronounced increase in CE for this tranche. The CE on this tranche has now become more comparable to similar Spanish SME CLOs.

Delinquencies over 90 days and over 180 days remained at 3.9% and 2.3% in Foncaixa 3 compared with a year ago, where in Foncaixa 4 the over 90 days bucket increased to 4.9% from 3.8% and the over 180 days bucket increased to 3.1% from 2.1% respectively. Current defaults also increased for both deals, by EUR882,000 to EUR6.4m in Foncaixa 3 and EUR414,000 to EUR6.9m in Foncaixa 4. Observed recovery rates increased to 71.4% from 61.3% in Foncaixa 3 and to 60.1% from 54.3% in Foncaixa 4 over the same period. The reserve fund has been topped up, by EUR1.3m in Foncaixa 3 to the required level and by EUR620,000 in Foncaixa 4, which however, remains below the required level, by EUR180,000.

Both transactions feature an unusual swap whereby the issuer pays the swap counterparty interest received on the portfolio, but receives the weighted average spread of the class A to D notes plus a guaranteed spread of 50bp multiplied by the class A to D notes notional. Such swap provides credit support to the structure by making good the loss of interest arising from loans that default over the life of the deal. Although the swap can be collateralised if need be, Fitch considers this swap as fairly illiquid and has given no credit to the receipt of interest payments from defaulted assets for rating scenarios above the swap provider CaixaBank S.A's ratings of 'BBB'/Positive/'F2'.

The portfolios in both transactions remain granular in terms of obligor concentration. The top 10 obligors account for 4.9% in Foncaixa 3 and 5.1% in Foncaixa 4. Almost 100% of the loans are secured by collateral in both deals. The transactions consist about 60% of flexible loans which offer the borrowers the options of redrawing up to a maximum amount. The redraws will not be securitised in the pool but will rank on a pari passu basis with the securitised loans in the event of the obligor defaulting. Fitch assumed in its recovery analysis that all flexible loans would be redrawn to the maximum limit.

RATING SENSITIVITIES
Applying a 1.25x default rate multiplier or a 0.75x recovery rate multiplier to all assets in the portfolio would result in a downgrade of up to three notches for all of the notes in both transactions.

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 pools and the transactions. There were no findings that were material to this analysis.

Fitch did not undertake a review of the information provided about the underlying asset pools ahead of the transaction's initial closing. The subsequent performance of the transactions 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 European Data Warehouse as at 28 February 2015 (Foncaixa 3) and 30 April 2015 (Foncaixa 4)
-Transaction reporting provided by CaixaBank as at 30 April 2015 for Foncaixa 3 and Foncaixa 4
-Loan enforcement details provided by CaixaBank as at 28 February 2015 (Foncaixa 3) and 30 April 2015 (Foncaixa 4)