TEXT-Fitch affirms FTA Santander 2011-1

Thu Dec 6, 2012 11:27am EST

Dec 6 - Fitch Ratings has affirmed FTA Santander Consumer Spain Autos
2011-1, as follows:

EUR518.1m class A notes: affirmed at 'AA-sf'; Outlook Negative
EUR71.6m class B notes: affirmed at 'AA-sf'; Outlook Negative
EUR63.6m class C notes: affirmed at 'Asf'; Outlook Stable

The affirmation of the class A, B, and C notes, reflect the availability of
significant credit enhancement and the low level of delinquencies in the
transaction.

Fitch notes that the ratings and Negative Outlook on the class A and B notes are
constrained by the cap applied by Fitch to transactions originated in Spain, and
the rating of the Spanish sovereign ('BBB'/Negative). The Negative Outlook on
the class A and B reflects the Spanish sovereign's outlook.

Credit enhancement for the class A, B, and C is 38.65%, 27.69% and 17.96%
respectively. Default and losses have yet to occur as these have not yet been
provisioned for with a default definition of 12 months. Loans in arrears are in
line with other Spanish auto ABS transactions with the 30 days plus
delinquencies to date at about 1.40% while the 90-180 days delinquency ratio is
0.50%.

Following the downgrade of Banco Santander in June 2012 the role of
account bank has been transferred to Santander UK and the swap collateralised
(although is currently zero due to the current mark to market being
substantially in favour of the counterparty). However, according to the
documentation following the downgrade, an additional liquidity reserve covering
senior costs, swap payments and class A interest was due to be created. To date,
the documentation aspect appears to have been disregarded. In Fitch's analysis
this amount has been deducted from the reserve fund amount, which remains at its
original level (EUR117.3m) and has not yet been drawn to cover any losses. The
agency believes that the general reserve can also act as a source of liquidity -
given its current size in relation to the outstanding notes - as it would only
be depleted with a very substantial increase in defaults.

The reserve fund will not amortise until end of 2014. The transaction benefits
from excess spread at around 200bps. As of August 2012 the pool factor was
82.18%.

FTA Santander 2011-1 is a securitisation of auto loans originated in Spain by
Santander Consumer Finance.

Additional information is available at www.fitchratings.com.

The ratings above were solicited by, or on behalf of, the issuer, and therefore,
Fitch has been compensated for the provision of the ratings.

Sources of information: quarterly investor reports provided by the issuer, and
additional data provided by the originator.


Applicable criteria, 'Global Structured Finance Rating Criteria', dated 06 June
2012', 'EMEA Consumer ABS Rating Criteria', dated 14 July 2011, 'Counterparty
Criteria for Structured Finance Transactions', dated 30 May 2012 and 'Criteria
for Rating Caps in Global Structured Finance Transactions', dated 9 August 2011
are available on www.fitchratings.com.

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
EMEA Consumer ABS Rating Criteria
Counterparty Criteria for Structured Finance Transactions
Criteria for Rating Caps in Global Structured Finance Transactions
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