The class A notes have amortised to EUR 849.1m (83.8% of the class A initial balance), based on the latest transaction reporting dated 17 October 2017. This has increased credit enhancement for class A, to 29.1% from 25% at closing. Credit enhancement for class B also increased over the same period, to 5.6% from 5%. The ‘90 days past due’ delinquencies are 1.6% of the current asset balance. The transaction also benefits from Spain’s positive macroeconomic momentum. However, the intrinsic weakness of obligors in the pool and the long loan maturities generate future uncertainties.

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 Banco 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 14 December 2015 and has a legal maturity date of 17 October 2065.

Scope continuously monitors all rated notes from FT RMBS SANTANDER 5. Ratings and research are available free of charge at www.scoperatings.com.