(Repeat for additional subscribers)
Jan 10 (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
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.
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).