RPT-Fitch affirms Consumo Bancaja 1 FTA

Fri Jan 10, 2014 7:41am EST

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Jan 10 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed Consumo Bancaja 1 FTA's class C and D notes as follows:

EUR6.2m class C notes: affirmed at 'CCsf'; Recovery Estimate 80%

EUR12.9m class D notes: affirmed at 'Csf'; Recovery Estimate 0%

KEY RATING DRIVERS

The affirmation reflects the lack of protection from losses for the class C notes and, for the class D notes, the full depletion of the reserve fund (RF) which they initially funded.

As of the last payment date in November 2013, the class C notes were undercollateralised, reporting a principal deficiency ledger (PDL) balance of EUR0.3m.

While defaults have been flattening out in recent periods (cumulative defaults were 4.9% as of November 2013) the transaction performance and ultimate repayment relies primarily on recoveries which have been stable over the past 18 months and to date accumulate to about 16%. Recoveries have also contributed to reducing the PDL balance to EUR0.3m from EUR2.6m in April 2011.

Overall delinquency levels have been stable with delinquencies above 30 days at 9.6% and above 90 days at 5.8% in November 2013.

The remaining asset pool is granular with an average outstanding loan balance of EUR2,300. About 64% of assets mature in 2014 and the weighted average remaining life is currently around 18 months.

Based on actual defaults and recoveries to date, Fitch's expectations of the transaction's lifetime defaults and recoveries are 5% and 15% respectively.

RATING SENSITIVITIES

At this stage, the default of the class C notes is in the balance and is primarily sensitive to recoveries from which they can benefit until the legal final maturity date (February 2018). Therefore any significant drop in recovery prospects could lead to a default.

The uncollateralised class D notes' rating of 'C' is very likely to default due to a full RF depletion.

The transaction is a securitisation of Spanish consumer loan receivables originated by Bankia S.A. (BBB-/Negative/F3).

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