OREANDA-NEWS. Fitch Ratings has upgraded Foncaixa Consumo 1, FTA's class B notes and affirmed the class A notes, as follows:

Class A (ISIN ES0337504007): affirmed at 'A+sf'; Outlook Stable

Class B (ISIN ES0337504015): upgraded to 'BBBsf' from 'BBB-sf'; Outlook Positive

The transaction is a securitisation of unsecured loans and real estate-secured consumer loans originated by Caixabank SA (BBB/Positive/F2).

KEY RATING DRIVERS

Solid Performance

Fitch has reduced its lifetime default base case to 5.4% from 5.7% following the transaction's healthy performance. Cumulative defaults accounted for 2.9% of the initial portfolio balance as of end-June 2016, when the outstanding asset balance represented 41% of the initial balance. Cumulative recoveries currently stand at 34% of the defaulted balance, which is lower than the 50% base case, given that some of the defaults are recent and also due to the time taken to realise recoveries.

Fitch also used the Spanish RMBS Surveillance Model to cross-check the results from applying the methodology for consumer deals. This is because 96% of the outstanding portfolio is secured by real estate assets.

Increased Protection

Class A and B credit enhancement (CE) has built up as a consequence of asset amortisation to, currently 48% and 12%, respectively, versus 20% and 5% at closing in November 2011. Class A CE is provided by the subordination of the class B notes plus a fully funded EUR154m reserve fund while CE for the class B notes is provided only by the reserve fund.

Direct Support Counterparty Cap

The class A notes are capped at 'A+sf' by the transaction's exposure to the account bank, CaixaBank, which is also the servicer. In line with Fitch's counterparty criteria, this level is the maximum achievable for a transaction with a direct support counterparty with a rating trigger of 'BBB'. Furthermore, the absence of features to mitigate payment interruption risk prevents an upgrade of the class A notes.

Excessive Exposure Counterparty Cap

Class B CE is entirely provided by the reserve fund deposited in CaixaBank. Therefore, the notes would not withstand a sudden default resulting in a loss of all amounts held within CaixaBank. This, in accordance with Fitch's counterparty criteria, results in a counterparty cap to the rating of the account bank.

RATING SENSITIVITIES

Fitch expects the class A and class B notes to be able to absorb large variations to our base case credit assumptions. This is because the ratings are capped by counterparty exposures. As a result Fitch does not expect an impact on the rating of the notes from deterioration in the default rate and the recovery rate by 25% each.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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 affected the rating 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.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis.

Prior to the transaction closing, Fitch conducted a review of a small targeted sample of CaixaBank's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio

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 from the European DataWarehouse as of May 2016

-Historical performance data provided by GestiCaixa up to June 2016

-An operational review of CaixaBank underwriting and servicing procedures in April 2016