OREANDA-NEWS. Fitch Ratings has affirmed TDA Nostra Empresas 1 and 2 FTA 's notes, as follows:

TDA Empresas 1

EUR9.9m Series B (ISIN:ES0377969011): affirmed at 'Asf'; Outlook revised to Stable from Negative

EUR6.7m Series C (ISIN:ES0377969029): affirmed at 'BBsf'; Outlook revised to Positive from Stable

EUR6.6m Series D (ISIN: ES0377969037): affirmed at 'BBsf'; Outlook Stable

EUR3.0m Series E (ISIN: ES0377969045): affirmed at 'BBsf'; Outlook Stable

TDA Empresas 2

EUR31.3m Series B (ISIN: ES0377957016): affirmed at 'Asf'; Outlook Stable

EUR31.9m Series C (ISIN: ES0377957032): affirmed at 'BBsf'; Outlook Stable

EUR9.7m Series D (ISIN: ES0377957024): affirmed at 'BBsf'; Outlook Stable

TDA Empresas 1 and 2 are securitisations of two static pools of secured and unsecured loans originated by Caja de Ahorros y Monte de Piedad de Las Baleares and granted to small and medium-sized enterprises. Structure is pass through, sequential, or pro-rata under certain circumstances.

KEY RATING DRIVERS

The affirmations of the class B notes reflect the overall stable performance of the transactions over the past year. Credit enhancement (CE) has increased as a result of sequential amortisation over the past year and the class A notes have been paid in full since our last review, making the class B notes the most senior notes in both transactions. This has led to the revision of the Outlook on the class B notes in TDA Empresas 1 to Stable as the increased CE outweighs the high concentration.

The affirmations of TDA Empresas 1's class D and E notes and TDA Empresas 2's class C and D notes reflect the affirmation of Banco Mare Nostrum (BMN; BB/Stable/B) in May 2016. BMN is servicer and reserve fund account bank for both transactions. The notes' CE is partially or fully provided by the reserve fund held by BMN. This material exposure has been addressed by capping the notes' ratings at BMN's rating.

The revision of the Outlook on TDA Empresas 1's class C notes to Positive reflects the increased CE. While the tranche benefits from ample CE even if the reserve fund were to be lost following the default of the originator, the rating is constrained by the portfolio's high obligor concentration. The top obligor exposure has increased to 7.9% from 6.9% and the top 10 obligors' exposure has increased to 51.4% from 49.1%. In its analysis, Fitch included a sensitivity scenario where the top three obligors default with no recovery.

Both transactions' performance have been stable, with delinquencies and defaults remaining at overall low levels. Current defaults have remained at 0.03% of the outstanding balance for TDA Empresas 1 and increased to 2.7% from 2.5% for TDA Empresas 2. Delinquencies over 90 days are 0.53% and 1.27%, respectively. The recoveries are close to 100% for TDA Empresas 1 and 82.5% for TDA Empresas 2. TDA Empresas 2's portfolio remains granular with the top one obligor at 3.1% and the top 10 representing 12.9% of the current outstanding balance.

RATING SENSITIVITIES

Fitch tested two sensitivities with decreasing recovery rate base case by 25% and increasing default base case by 25%, both cases would not have an impact on the ratings.

The ratings of TDA Empresas 1's class 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.

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 30 April 2016

- Transaction reporting provided by TDA as at 31 May 2016