OREANDA-NEWS. Fitch Ratings has upgraded IM Cajamar Empresas 5, FTA's class B notes and affirmed the class A1 and A2 notes, as follows:

EUR27.9m class A1: affirmed at 'A+sf'; Outlook Stable
EUR148.3m class A2: affirmed at 'A+sf'; Outlook Stable
EUR135.0m class B: upgraded to 'BBsf' from 'Bsf'; Outlook Stable

IM Cajamar Empresas 5 is a granular cash flow securitisation of a static portfolio of secured and unsecured loans granted to Spanish small- and medium-sized enterprises by Cajamar Caja Rural and Caja Rural del Mediteraneo (both now part of Cajamar Caja Rural, Sociedad Cooperative).

KEY RATING DRIVERS
Delinquencies Higher but Still Moderate
Arrears have risen slightly over the last 12 months but remain at moderate levels. The share of loans more than 90 days past due currently stands at 2.2%, up from 0.9% 12 months ago. Fitch has determined an annual average transaction benchmark probability of default of 3.6%.

Continued Deleveraging
The pari-passu class A1 and A2 notes received EUR114.8m of principal proceeds over the last 12 months. The deleveraging of the transaction has led to a significant increase in credit enhancement for all rated notes, which is reflected in the upgrade of the class B notes.

Counterparty Risk Rating Cap
The class A1 and A2 notes' rating is capped at 'A+sf' due to the treasury account bank rating triggers in the transaction documentation. These triggers are set at a minimum rating requirement of 'BBB+'/'F2' for the account bank Banco Santander (A-/Stable/F2).

Reserve Fund Release
The transaction features a non-amortising EUR114.8m reserve fund used exclusively to cover any interest shortfalls on the most senior class of notes during the life of the transaction. Any remaining balance can be used to amortise the notes on the last payment date. Fitch expects the last payment date to occur when the balance of the reserve fund, together with the available proceeds from the portfolio, is sufficient to repay the class B notes.

RATING SENSITIVITIES
A 25% increase in the obligor default probability would lead to a downgrade of up to two notches for the notes.

A 25% reduction in expected recovery rates would to a downgrade of up to one notch for the notes.

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.

Prior to the transaction 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 closing, Fitch conducted a review of a small targeted sample of Cajamar'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 provided by InterMoney Titulizacion SGFT SA as at 31 January 2016
- Transaction reporting provided by InterMoney Titulizacion SGFT SA as at 31 January 2016