OREANDA-NEWS. Fitch Ratings has affirmed Foncaixa Leasing 2 F.T.A.'s notes, as follows:

EUR345.8m Class A (ISIN ES0315661001): affirmed at 'A-sf', Outlook Stable
EUR172.5m Class B (ISIN ES0315661019): not rated

The transaction is a static EUR1.5bn portfolio of credit rights associated with leasing contracts originated by CaixaBank S.A. (BBB/Positive) in Spain. A large share of the portfolio was previously securitised by in Foncaixa Leasing 1, F.T.A, and has been refinanced in this transaction.

KEY RATING DRIVERS
The affirmation of the class A notes reflects increasing credit enhancement, which counterbalanced the transaction's volatile delinquencies ratio and increased obligor concentration risk. The pool factor - defined as the current portfolio balance as a share of the initial portfolio balance - had reduced to 44.3% as of December 2015 from 58.7% a year ago. Credit enhancement for the senior notes increased to 68.1% at end-January 2015 from 50.3% a year ago.

Fitch has determined the average annual probability of default of the portfolio at 4.27%, based on the average delinquencies over the past 12 months. The transaction saw 14.7 million delinquent assets default in October 2015, hence reducing delinquencies between 90d+ and 365d to 0.56% from 3.06% a month ago. However, the same bucket of delinquencies increased to 3.17% at end-December 2015 from 0.66% end-November 2015. The volatile performance of the delinquencies reflects the portfolio's increased concentration with the top obligor exposure up at 7.1% from 6.1% and the top 10 obligors up at 28.8% from 22.9% during the same period. Defaults currently total EUR13.9m and EUR14.4m recoveries were received in December 2015.

The rating is capped at 'A-sf' due to counterparty risk. CaixaBank continues to assume the key counterparty roles in the transaction (account bank and paying agent). Counterparty triggers of 'BBB'/'F2' have been defined within the documentation to mitigate counterparty risk that could arise from the account bank provider.

Fitch has continued to apply its unsecured recovery assumptions for the entire portfolio. This is because the SPV may not be able to enforce its contractual right over the liquidation value of the underlying real estate of some lease contracts, if CaixaBank defaults on its obligations. Under Spanish law, this right may become an unsecured claim against the insolvency estate of CaixaBank.

RATING SENSITIVITIES
Fitch tested two sensitivities by decreasing the recovery rate base case by 25% and increasing the default base case by 25% and found no impact on the rating.

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.

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 of 30 November 2015
-Transaction reporting provided by CaixaBank as of 31 December 2015

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Foncaixa Leasing 2, FTA - Appendix, dated 13 May 2013 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 21 January 2016 available on the Fitch website.