Nov 20 - Fitch Ratings has assigned F.T.A., Santander Consumer Spain Auto
2012-1's asset-backed fixed-rate notes, due on November 2025, the following
EUR425m class A: 'A-sf'; Outlook Stable
This is the ninth consumer securitisation originated in Spain by Santander
Consumer, E.F.C., S.A. a wholly-owned and fully integrated subsidiary of
Santander Consumer Finance (SCF; 'BBB+'/Negative/'F2') whose ultimate parent is
Banco Santander (Santander; 'BBB+'/Negative/'F2').
The rating addresses the payment of interest and the ultimate payment of
principal on the class A, in accordance with the terms and conditions of the
The notes will be collateralised by a static pool of auto loan receivables, so
the composition of the pool will not change due to the acquisition of new
assets. Nevertheless, all the principal amounts received from the loans, up to a
total amount of 20% of the outstanding balance of the loans, are retained in a
principal reinvestment account. The arranger has established this account in
order to increase the average life of the notes, given the definition of the
principal available funds as the difference of the outstanding balance of the
notes minus the sum of the outstanding balance of the non-defaulted collateral
and the outstanding amounts of the principal reinvestment account. Hence, the
amortisation of the notes will start once the principal amounts received are
higher than 20%.
The provisional portfolio consists of 55,441 loan contracts, with an outstanding
principal balance of EUR549.9m. It has a weighted average seasoning of eleven
months. The loans have been granted by Santander Consumer to individuals (95.6%)
and SMEs (4.4%) to buy new (70.7%) and used cars (29.3%). The portfolio is
highly granular in terms of the regional distribution within Spain and debtor
Santander Consumer provided loan-by-loan information on the collateral, vintages
for auto loan receivables on defaults and recoveries and dynamic delinquency
data for new and used cars covering nine years of history. Fitch has analysed
the portfolio's credit risk and formed a base case default and recovery
expectation for used and new cars auto loan receivables. Fitch's base case loss
rate equals 4.8% and 8.5% for new and used cars, respectively.
Initial credit enhancement for the class A notes, equivalent to 25.0% of the
original collateral balance, is provided by the subordination of unrated loan B
(15.0%), plus a reserve fund of 10.0% which will be funded through a
subordinated loan. The transaction will also benefit from the liquidity provided
by the reserve fund and commingling and liquidity reserve since closing.
The issuer is a special purpose vehicle regulated by Spanish Securitisation Law
19/1992 and Royal Decree 926/1998. The fund will be legally represented and
managed by Santander de Titulizacion, S.G.F.T, S.A., a limited liability company
incorporated under Spanish law, whose activities are limited to the management
of securitisation funds.
Counterparty triggers 'BBB'/'F2' have been defined within the documentation to
mitigate any potential counterparty risk that could arise on the SPV bank and
principal account bank providers (SCF). While Fitch acknowledges this definition
is marginally outside the 'BBB+'/'F2' triggers defined within the agency's
counterparty criteria, Fitch believes the transaction triggers are sufficiently
robust to support the current class A notes' rating of 'A-sf'.
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.
The information used to assess the ratings was provided by J.P. Morgan
Securities PLC and Santander Consumer, ECF, S.A.
Applicable criteria, 'EMEA Consumer ABS Rating Criteria', dated 12 July 2012,
'Global Structured Finance Rating Criteria', dated 06 Jun 2012, 'Counterparty
Criteria for Structured Finance Transactions', dated 30 May 2012, 'Criteria for
Servicing Continuity Risk in Structured Finance', dated 10 August 2012,
'Criteria for Rating Caps in Global Structured Finance Transactions ', dated 2
August 2012 are available at www.fitchratings.com.
Applicable Criteria and Related Research:
Criteria for Servicing Continuity Risk in Structured Finance
Criteria for Rating Caps in Global Structured Finance Transactions
EMEA Consumer ABS Rating Criteria
Global Structured Finance Rating Criteria
Counterparty Criteria for Structured Finance Transactions