EUR 912.3 Million of securities rated
Milan, December 12, 2011 -- Moody's Investors Service has assigned the following definitive ratings
to the debt issued by FONDO DE TITULIZACIÓN DE ACTIVOS SANTANDER
CONSUMER SPAIN AUTO 2011-1:
....EUR659.8M Serie A Note, Assigned
Aaa (sf)
....EUR71.6M Serie B Note, Assigned
Aa3 (sf)
....EUR63.6M Serie C Note, Assigned
Baa2 (sf)
....EUR117.3M Serie D Note, Assigned
Ca (sf)
RATINGS RATIONALE
FTA SANTANDER CONSUMER SPAIN AUTO 2011-1 is a securitisation of
loans granted by Santander Consumer, E.F.C.,
S.A. ("Santander Consumer"; not rated)
to Spanish individuals. Santander Consumer is acting as Servicer
of the loans while Santander de Titulizacion S.G.F.T.,
S.A. is the Management Company ("Gestora").
As of November 2011, the provisional pool was composed of a portfolio
of 85,456 unsecured auto loans granted to 84,975 obligors
located in Spain, 97.4% of whom are private individuals.
98% of the assets were originated between 2010 and 2011.
The weighted average seasoning of the portfolio is 1.0 year and
its weighted average remaining term is 3.7 years. Around
78.5% of the portfolio are loans to purchase new vehicles,
and the remaining 21.5% are loans to purchase used vehicles.
Geographically, the pool is concentrated mostly in Andalucia (24.2%)
and Madrid (13.5%). The provisional portfolio,
as of its poolcut date, did not include any loans in arrears.
The rating is primarily based on, (i) an evaluation of the underlying
portfolio of loans; (ii) the historical performance information;
(iii) the swap agreement, under which the swap counterparty will
pay the weighted-average margin on the notes plus an excess spread
of 2.5% on a notional equal to the portfolio net of loans
in arrears for more than 90 days; (iv) the credit enhancement provided
by the excess spread and the reserve fund (that however can also be used
to cover portfolio defaults); (v) the liquidity support available
in the transaction, by way of principal to pay interest, and
the reserve fund; (vi) the provisions for the appointment of a back-up
servicer; and (vii) the legal and structural integrity of the transaction.
This deal benefits from several credit strengths, such as the granularity
of the portfolio and its short portfolio weighted average life of around
2.5 years, as well as the simplicity of the structure,
which does not include a revolving period and where notes are repaid sequentially.
Moody's, however, notes that the transaction features a number
of credit weaknesses, as there is some exposure to commingling risk
(although partially mitigated by the undertaking of Santander Consumer
Finance S.A. (SCF, A3/P-2) to fund a commingling
reserve if it is downgraded below Baa3) as well as the presence of an
unrated servicer, which is mitigated by the appointment of SCF as
the transaction back up servicer at closing. Moody's also took
into account the worse than expected performance of some of the previous
Santander transactions in the same sector. These characteristics,
amongst others, were considered in Moody's analysis and ratings.
In its quantitative assessment, Moody's assumed a mean default rate
of 10%, with a coefficient of variation of 40% and
a recovery rate of 30%. Moody's also tested other
set of assumptions under its Parameter Sensitivities analysis.
The results show that the model output for class A notes would be 2 notches
lower if the mean default rate assumption was to increase to 13%,
all other parameters being kept unchanged. Similarly, the
model output would be 1 notch lower if the recovery rate assumption was
to decrease to 20%, all other parameters being kept unchanged.
For more details, please refer to the full Parameter Sensitivity
analysis included in the New Issue Report of this transaction.
The main source of uncertainty in the analysis relates to the variability
of the assets historical performance
The V Score for this transaction is Low/Medium, which is in line
with the score assigned for the German/French Auto sector. V-Scores
are a relative assessment of the quality of available credit information
and of the degree of dependence on various assumptions used in determining
the rating. For more information, the V-Score has
been assigned accordingly to the report "V Scores and Parameter Sensitivities
in the Non-U.S. Vehicle ABS Sector" published in
January 2009.
The principal methodology used in this rating was Moody's Approach
to Rating European Auto ABS published in November 2002. Please
see the Credit Policy page on www.moodys.com for a copy
of this methodology.
Other Factors used in this rating are described in The Lognormal Method
Applied to ABS Analysis published in July 2000.
In rating this transaction, Moody's used ABSROM to model the cash
flows and determine the loss for each tranche. The cash flow model
evaluates all default scenarios that are then weighted considering the
probabilities of the lognormal distribution assumed for the portfolio
default rate. In each default scenario, the corresponding
loss for each class of notes is calculated given the incoming cash flows
from the assets and the outgoing payments to third parties and noteholders.
Therefore, the expected loss or EL for each tranche is the sum product
of (i) the probability of occurrence of each default scenario; and
(ii) the loss derived from the cash flow model in each default scenario
for each tranche. As such, Moody's analysis encompasses
the assessment of stressed scenarios.
As noted in Moody's comment 'Rising Severity of Euro Area Sovereign Crisis
Threatens Credit Standing of All EU Sovereigns' (28 November 2011),
the risk of sovereign defaults or the exit of countries from the Euro
area is rising. As a result, Moody's could lower the maximum
achievable rating for structured finance transactions in some countries,
which could result in rating downgrades.
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
The rating has been disclosed to the rated entity or its designated agent(s)
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the rating are the following:
parties involved in the ratings, public information, and confidential
and proprietary Moody's Investors Service information.
Moody's did not receive or take into account a third-party
assessment on the due diligence performed regarding the underlying assets
or financial instruments in this transaction.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF269639.
Moody's considers the quality of information available on the rated
entity, obligation or credit satisfactory for the purposes of issuing
a rating.
Moody's adopts all necessary measures so that the information it
uses in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not
an auditor and cannot in every instance independently verify or validate
information received in the rating process.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
two years preceding the credit rating action. Please see the special
report "Ancillary or other permissible services provided to entities
rated by MIS's EU credit rating agencies" on the ratings disclosure
page on our website www.moodys.com for further information.
Please see the ratings disclosure page on www.moodys.com
for general disclosure on potential conflicts of interests.
Please see the ratings disclosure page on www.moodys.com
for information on (A) MCO's major shareholders (above 5%) and
for (B) further information regarding certain affiliations that may exist
between directors of MCO and rated entities as well as (C) the names of
entities that hold ratings from MIS that have also publicly reported to
the SEC an ownership interest in MCO of more than 5%. A
member of the board of directors of this rated entity may also be a member
of the board of directors of a shareholder of Moody's Corporation;
however, Moody's has not independently verified this matter.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Paula Lichtensztein
Asst Vice President - Analyst
Structured Finance Group
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100
Alex Cataldo
Associate Managing Director
Structured Finance Group
Telephone:+39-02-9148-1100
Releasing Office:
Moody's Italia S.r.l
Corso di Porta Romana 68
Milan 20122
Italy
Telephone:+39-02-9148-1100
Moody's Investors Service assigns definitive ratings to the debt issued by FONDO DE TITULIZACI?N DE ACTIVOS SANTANDER CONSUMER SPAIN AUTO 2011-1
