OREANDA-NEWS. Fitch Ratings has affirmed FTPYME Bancaja 2, F.T.A.'s class B and C notes and revised the Outlook on the senior notes as follows:

Class B (ISIN ES0339751036): affirmed at 'BBBsf'; Outlook Revised to Positive from Stable
Class C (ISIN ES0339751044): affirmed at 'CCCsf'; Recovery Estimate revised to 95% from 40%

FTPYME Bancaja 2, F.T.A., is a granular cash flow securitisation of a static portfolio of secured and unsecured loans granted to Spanish small- and medium-sized enterprises by Bancaja (now part of Bankia S.A rated BBB-/Negative/F3).

KEY RATING DRIVERS

Increased Credit Enhancement
The Outlook and Recovery Estimate revisions reflect the credit enhancement that has built up due to the deleveraging of the asset pool. Credit enhancement amounts to 40% and 9.7% for the class B and C notes respectively, up from 27.1% and 5.5% in April 2014.

Low Portfolio Factor
Ninety-six per cent of the pool has amortised, yielding a portfolio factor of only 3.9%. The reserve fund amounts to EUR1.4m and represents 9.7% of the outstanding balance of the notes and hence provides another source of credit enhancement to the notes.

Portfolio Performance
Current 90d+ delinquencies stand at 2.2% while cumulative defaults since closing in September 2003 amount to EUR9.5m, which represents less than 2% of the initial balance. On the other hand, cumulative recoveries are lower than expected as they stand at 47% of defaulted loans, even though the portfolio is mostly secured and has an average loan-to-value of 27%.

High Portfolio Concentration
The portfolio is highly concentrated as it is at the end of its life and it consists of only 306 non-defaulted loans. Loans to obligors representing more than 50 basis points each represent 55.9% of the non-defaulted portfolio while the top 10 obligors account for 22.5% of the performing portfolio.

RATING SENSITIVITIES
Applying a 1.25x default rate multiplier or a 0.75x recovery rate multiplier to all assets in the portfolio would not result in a downgrade of the notes.