OREANDA-NEWS. Fitch Ratings has upgraded GAT FTGENCAT 2006, FTA's Series C notes and affirmed the others as set out below:

EUR0.6m Series B (ISIN ES0341097022) affirmed at 'Asf'; Outlook Stable
EUR12.3m Series C (ISIN ES0341097030) upgraded to 'BBBsf'; Outlook Stable from 'BBsf'; Outlook Negative
EUR13.2m Series D (ISIN ES0341097048) affirmed at 'CCsf'; Recovery Estimate 50%
EUR9.5m Series E (ISIN ES0341097055) affirmed at 'Csf'; Recovery Estimate 0%

GAT FTGENCAT 2006, FTA is a cash flow securitisation of an initial static pool of EUR440m of 6,922 loans to Spanish small and medium enterprises originated and serviced by Catalunya Banc, S.A.

The affirmation of the Series B notes and upgrade of the Series C notes follows amortisation of the senior notes and improved portfolio performance in the 12-month period. The transaction has continued to amortise, aided in part by the guarantee on series A2(G) provided by the Autonomous Community of Catalonia (BB-/Negative/B). Fitch affirmed Classes D and E as they remain under-collateralised, although no principal deficiency is reported in the transaction documents.

KEY RATING DRIVERS
Continued Deleveraging
The Series A2 (G) notes have been repaid and the full amount drawn on the guarantee was paid as of the latest payment report, 15 March 2016. In addition, the series B notes received principal repayment of EUR4.5m and are now 11.7% outstanding with a notional value of EUR0.6m. Credit enhancement afforded to the Series C notes has increased to 47.54% from 21.96% at last review as a result of the liability amortisation. However, the concentration of the pool has increased, with the largest obligor representing 5.3% of the portfolio compared to 4.16% at last review. Similarly, the concentration of the top 10 obligors increased to 30.48% from 27.73%.

Improved Portfolio Performance
Current defaults fell by EUR5m in the 12 months to the latest payment report, to EUR12.3m. Cumulative defaults increased by EUR1.09m but recoveries improved, with EUR3.65m received in the period, taking total recoveries to EUR13.4m from EUR9.7m at last review. The weighted average recovery rate increased to 43.9% from 33.09% at previous review.

Delinquencies improved, with loans in arrears of 90 days or greater at 1.14% and loans in arrears of 180 days or greater at 0.98%, down from 2.95% and 1.8%, respectively.

Payment Interruption Risk Rating Cap
The transaction is serviced by Catalunya Banc, S.A., which is not rated by Fitch, and the reserve fund has been reduced to zero. The transaction is therefore exposed to payment interruption risk as a default by Catalunya Banc would mean there were no funds available to mitigate the loss of liquidity. The transaction ratings are therefore capped at 'Asf'.

Series D Recovery Estimate Improved
The credit enhancement on the Series D notes has increased to -6.23% from -14.88% since last review, so the recovery prospect of the notes has improved.

RATING SENSITIVITIES
Fitch tested the ratings' sensitivity to a 25% increase in the obligor default probability, a 25% reduction in expected recovery rates and a combined sensitivity of the two, and in all cases found that there would be no impact on the rated notes.

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 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 on 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 as of 8 March 2016 provided by Catalunya Banc S.A.
--Investor report as of 29 February 2016 provided by Catalunya Banc S.A.
--Payment report as of 15 March 2016 provided by Catalunya Banc S.A.