OREANDA-NEWS. Fitch Ratings has downgraded TDA Nostra Empresas 1 and 2 FTA's junior and mezzanine notes and affirmed the remaining notes as follows:

TDA SA Nostra Empresas 1 (TDA Empresas 1)
EUR6.2m Series A (ISIN: ES0377969003): affirmed at 'Asf', Outlook Stable
EUR12.0m Series B (ISIN: ES0377969011): affirmed at 'Asf'; Outlook Negative
EUR6.7m Series C (ISIN:ES0377969029): downgraded to 'BBsf' from 'BB+sf'; Outlook Stable
EUR6.6m Series D (ISIN: ES0377969037): downgraded to 'BBsf' from 'BB+sf'; Outlook Stable
EUR3.0m Series E (ISIN: ES0377969045): downgraded to 'BBsf' from 'BB+sf'; Outlook Stable

TDA SA Nostra Empresas 2 (TDA Empresas 2)
EUR12.0m Series A (ISIN: ES0377957008): affirmed at 'Asf'; Outlook Stable
EUR33.7m Series B (ISIN: ES0377957016): affirmed at 'Asf'; Outlook Stable
EUR31.9m Series C (ISIN: ES0377957032): downgraded to 'BBsf' from 'BB+sf'; Outlook Stable
EUR9.7m Series D (ISIN: ES0377957024): downgraded to 'BBsf' from 'BB+sf'; Outlook Stable

KEY RATING DRIVERS
The downgrade of TDA Empresas 1's class C, D and E notes and TDA Empresas 2's class C and D notes reflect the downgrade of Banco Mare Nostrum (BMN; BB/Stable/B) in May 2015. BMN is servicer and the reserve fund account bank for both transactions and is an ineligible counterparty in accordance with Fitch's criteria. The notes' credit enhancement is partially or fully provided by the reserve fund held at BMN. This material exposure has been addressed by capping the notes' ratings at BMN's rating.

The affirmation of the class A and B notes in both transactions reflect the overall stable performance of the transaction over the past year. Credit enhancement has increased as a result of amortisation over the past year and the notes' ratings could be maintained even if the reserve fund is not being considered. TDA Empresas 1 and 2's class A notes have amortised by EUR7.7m and EUR14.4m, respectively, since the last review. Both transactions are currently amortising sequentially but could switch to pro rata amortisation should the reserve funds be replenished. Both reserve funds are currently marginally underfunded.

The rating of the class A and B notes are capped at 'Asf' to address liquidity risks caused by potential servicer disruption events.

Delinquencies and defaults remain at overall low levels. Current defaults represent 0.03% and 2.5% of the outstanding balance of TDA Empresas 1 and 2, respectively. Delinquencies over 90 days are 1.05% and 0.91%, respectively.

The Negative Outlook on TDA Empresas 1's class B notes has been maintained to reflect the transaction's increased risks due to obligor concentration. The top obligor currently makes up 6.9% of the outstanding balance and the top 10 obligors 49%. Concentration is significantly lower for TDA Empresas 2 with the largest obligor accounting for 3.2% and the 10 largest obligors for 12.8%.

RATING SENSITIVITIES
The analysis included a stress test to analyse the ratings' sensitivity to a change in the underlying assumptions. The first stress simulated a 25% increase of the default probability and did not imply any impact on the ratings. The second stress test addressed a 25% reduction of recovery rates on the collateral and did not indicate any impact on the ratings.

TDA Empresas 1's class C, D and E notes and TDA Empresas 2's class C and D notes would be subject to rating action should BMN's rating change.

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.
- Loan-by-loan data provided by TDA as at May 2015
- Transaction reporting provided by TDA as at May 2015