OREANDA-NEWS. Fitch Rating has upgraded FTPYME Bancaja 6 FTA's class B notes and affirmed the others, as follows:

Class A3 notes (ES0339735021): affirmed at 'Asf', Outlook Stable
Class B notes (ES0339735039): upgraded to 'Bsf', Outlook Stable
Class C notes (ES0339735047): affirmed at 'CCsf', Recovery Estimate revised to 40% from 0%
Class D notes (ES0339735054): affirmed at 'Csf', Recovery Estimate 0%

FTPYME Bancaja 6 is a cash flow securitisation of loans to small- and medium-sized Spanish enterprises (SMEs) granted by former Caja de Ahorros de Valencia, Castellon y Alicante, now Bankia S.A.

KEY RATING DRIVERS
The upgrade of the class B notes reflects the improvement in the transaction's performance. The weighted average recovery rate has improved by 7%, current defaults are falling on a notional basis and credit enhancement has improved by 8.4% due to amortisation and repayment of the principal deficiency ledger. Sensitivity analysis shows that the class B notes are now less affected by deterioration of the portfolio. However, the rating also takes into account that the note is deferring interest due to the cumulative default trigger of 5.75% being breached.

The class A3 notes' rating is capped at 'Asf' due to payment interruption risk. The reserve fund is depleted. While the servicer is currently posting collateral to mitigate commingling risk, the amount can be volatile and may not be sufficient to ensure timely payment of senior notes and transaction senior fees in a stress scenario should Bankia default.

The class C notes have been affirmed at 'CCsf' as the reserve fund is fully depleted and so the notes are first to absorb further losses. However, credit enhancement has increased due to an improvement in recoveries. Consequently, Fitch has increased the Recovery Estimate to 40% from 0%. Fitch assigns Recovery Estimates to all notes rated 'CCCsf' or below. Recovery Estimates are forward-looking, taking into account Fitch's expectations for principal repayments on a distressed structured finance security.

The class D notes have been affirmed at 'C' as a depleted reserve fund makes default inevitable.

Since the last review, delinquencies over 90 days have stabilised and represent 6% of the portfolio. The portfolio is relatively concentrated with the top 10 obligors representing 16.5% of the portfolio. Based on Fitch's industry classification, the real estate and building and material sectors represent 34% of the portfolio.

RATING SENSITIVITIES
The analysis incorporated two stress tests in order to test the ratings' sensitivity to a potential change of underlying assumptions. The first test addressed a reduction of the recovery rates by 25%, whereas the second analysed the rating impact of an increase in default rates by the same amount. Both tests indicated that no rating action would be triggered.

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
- Issuer and Servicer reports dated 31 March 2015 provided by Europea de Titulizacion
- European Data Warehouse pool cut dated 23 March 2015