The class A notes have amortised to EUR 1,851.4m (78.5% of the class A initial balance), based on the latest transaction reporting dated 15 September 2017. Credit enhancement for the class A has consequently increased to 29.8% from 25% at closing. The credit enhancement for class B has increased to 5.4% from 5% at closing. The ‘90 days past due’ delinquencies are 2.24% of the original balance at closing. The transaction benefits from the positive macro-economic momentum in Spain. However, the transaction is also exposed to future uncertainties because of the intrinsic weakness of obligors in the pool and long loan maturities.

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 (AA-/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 into Santander) and their respective brokers. The transaction closed on 3 July 2015 and has a legal maturity date of 15 September 2063.

Scope continuously monitors all rated notes from FT RMBS SANTANDER 4. Ratings and research are available free of charge at www.scoperatings.com.