Fitch Upgrades Foncaixa Consumo 1, FTA's Class B Notes; Affirms Class A

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

EUR1.06bn Class A (ISIN ES0337504007): affirmed at 'Asf'; Outlook Stable
EUR462m Class B (ISIN ES0337504015): upgraded to 'BBB-sf' from 'BB+sf'; Outlook Stable

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

KEY RATING DRIVERS

The upgrade of the class B notes reflects the transaction's stable performance and the build-up of credit enhancement to 10% from 5% since closing in November 2011 as a result of deleveraging. The class B notes are protected by the reserve fund, which is fully funded at EUR154m. A second protection is provided by a 1% excess spread guaranteed by the swap.

Credit enhancement of the class A notes has also increased to 40% from 20% since closing due to the amortisation of the notes. The notes are capped at 'Asf' due to the counterparty exposure to Caixabank SA acting as the issuer account bank, swap counterparty, servicer and paying agent. Counterparty triggers of 'BBB'/'F2' provide sufficient comfort to support the current rating 'Asf' of the class A notes, although these triggers are marginally outside the 'BBB+'/'F2' definition as per the agency's counterparty criteria.

As expected by the amortisation profile of the loans, the concentration of real estate secured loans has increased to 93% as of 30 June 2015 from 70% at closing. Lengthy recovery periods are expected due to the high proportion of real estate secured loans in the portfolio. Defaults are in line with Fitch base case expectations. As of 30 June 2015 cumulative defaults were 2.3% while base case lifetime defaults remain at 5.7%.

The portfolio remains granular with the top 20% obligors representing 0.77% of the outstanding portfolio as of 30 June 2015.

RATING SENSITIVITIES

Expected impact on the note rating of increased defaults and reduced recoveries:
Class A: current Rating 'Asf'
Increase base case defaults by 25%: 'Asf', reduce base case recoveries by 25%: 'Asf'

Class B: current Rating 'BBB-sf'
Increase base case defaults by 25%: 'BBB-sf', reduce base case recoveries by 25%: 'BBB-sf'

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.

Prior to the transaction's closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Prior to the transaction's closing, Fitch conducted a review of a small targeted sample of 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 provided by GestiCaixa SGFT, SA as at 30 June 2015
-Transaction reporting provided by GestiCaixa SGFT as at 30 June 2015.