The class A notes have amortised to EUR 2,064.3m (87.5% of the class A initial balance), based on the latest transaction reporting dated 15 September 2016. Credit enhancement for the class A has consequently increased to 27.8% from 25% at closing. The credit enhancement for class B has increased to 5.6% from 5% at closing. The ‘90 days past due’ delinquencies, at 1.69%, are currently below our expectations, reflecting the short-term positive outlook on the Spanish economy. However, the transaction is exposed to future uncertainties, because Scope considers the portfolio’s expected performance to be affected strongly by the intrinsic weakness of obligors in the pool, which has a long life.

FT RMBS SANTANDER 4 is a granular true-sale securitisation of a EUR 2,950m portfolio of non-conforming first-lien mortgage-secured loans. The loans were granted by Santander (A+/S-1/Stable Outlook) to Spanish individuals and resident foreigners to finance the purchase, construction or refurbishment of residential properties in Spain. The assets were originated by Santander, Banesto (a banking franchise now fully integrated in Santander) and their respective brokers. The transaction closed on 03 July 2015 and has the legal maturity on 15 September 2063.

Scope continuously monitors all rated notes from FT RMBS SANTANDER 4.

Ratings and research are freely available at www.scoperatings.com.