OREANDA-NEWS. Fitch Ratings has downgraded CM Bancaja 1's floating rate notes and simultaneously withdrawn the ratings as follows:

EUR16,200,000 class E (ES0379349048): downgraded to'Dsf' from 'CCsf'; rating withdrawn

CM Bancaja 1 was originally a cash flow securitisation of a static pool of loans to Spanish SMEs granted by Caja de Ahorros de Valencia Castellon y Alicante (Bancaja, now part of Bankia S.A., BB+/Positive/B). The issuer is represented by Titulizacion de Activos SGFT, SA (TdA), a securitisation fund management company incorporated under the laws of Spain.

KEY RATING DRIVERS
Early Liquidation
This rating action follows the early liquidation of the fund by TdA on 22 December 2015, in accordance with the provisions of the fund's deed of incorporation. As per such provisions, the management company is entitled to liquidate early the fund on any given interest payment date (IPD) whenever the outstanding balance securitisation pool is below 10% of its initial balance and provided the early liquidation proceeds are sufficient to pay the class A, B, C and D notes in full, but not necessarily the class E notes.

Upon the early liquidation of the fund on 22 December 2015, the class E notes had an outstanding amount of EUR13,828,833.54, while the class A, B, C and D notes had been paid in full on previous IPDs. Principal paid on the class E notes from early liquidation proceeds amounted to EUR11,852,764.02, resulting in a realised loss on the class E notes of EUR1,976,070. This is reflected in the downgrade of the notes.

The realised loss of EUR1,976,070 represented 12.2% of the class E notes initial balance of EUR16,200,000. Thus 87.8% of the initial balance has been paid back, which compares with Fitch's initial recovery estimate of 0%.

Fitch will no longer provide ratings or analytical coverage of the transaction.

RATING SENSITIVITIES
Not applicable

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.
-Notification of expected early liquidation dated 1 December 2015 provided by Titulizacion de Activos, SGFT, S.A.
-Early liquidation payment report dated 17 December 2015 and provided by Titulizacion de Activos, SGFT, S.A.