The class A notes have amortised to EUR 940.9m (92.8% of the class A initial balance), based on the latest transaction reporting dated 17 October 2016. Credit enhancement for the class A has consequently increased to 27.1% from 25.5% at closing. The credit enhancement for class B has increased to 5.3% from 5% at closing. The ‘90 days past due’ delinquencies, at 1.18%, are currently below our expectations, reflecting the improving Spanish economy. The portfolio’s expected performance will however be affected by the intrinsic weakness of obligors in the pool. The long remaining life of the mortgages exposes the transaction to macroeconomic downside risk.

FT RMBS SANTANDER 5 is a granular true-sale securitisation of a EUR 1,275m 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 and Banif (a banking franchise now fully integrated in Santander) and their respective brokers. The transaction closed on 14 December 2015 and has the legal maturity on 17 October 2065.

Scope continuously monitors all rated notes from FT RMBS SANTANDER 5.

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