Fitch Upgrades FTA, Santander Empresas 2
EUR18.1m Class B (ISIN ES0338058029): affirmed at 'AA+sf''; Outlook Stable
EUR62.3m Class C (ISIN ES0338058037): upgraded to 'AA+sf' from 'AAsf'; Outlook Stable
EUR59.5m Class D (ISIN ES0338058045): upgraded to 'BB+sf' from 'BBsf'; Outlook Stable
EUR29m Class E (ISIN ES0338058052): affirmed at 'Bsf'; Outlook revised to Stable from Negative
EUR53.7m Class F (ISIN ES0338058060): affirmed at 'Csf'; RE (Recovery Estimate) 0%
F.T.A. Santander Empresas 2 is a granular cash flow securitisation of a static portfolio of secured and unsecured loans granted to Spanish small- and medium-sized enterprises by Banco Santander S.A. (BBB+/Negative/F2).
KEY RATING DRIVERS
The upgrade of the class C and D notes reflects increases in credit enhancement of the notes as a result of continuing amortisation of the underlying portfolio. Over the last 12 months, the class B notes have amortised by EUR60m, causing credit enhancement to increase for the class B notes to 109% from 80%, the class C notes to 73% from 54% and the class D notes to 38% from 28%.
The ratings of class B and C notes are capped at the Country Ceiling for the Kingdom of Spain of 'AA+'.
The revision of the Outlook on the class E notes reflects the stable performance of the transaction throughout the past year. Overall, delinquencies are low and remain stable. Ninety plus day delinquencies are currently just below 1.5% of the outstanding balance, compared with around 1% a year ago. Cumulative defaults increased to EUR51m from EUR49m, representing 1.74% of the initial balance.
The transaction is exposed to high obligor concentration, with the largest obligor exposure having increased over the last 12 months to 11.64% from 8.7% of the outstanding balance. However, the top 10 obligor exposure has decreased marginally to 38% from 41%. Nevertheless, overall high concentration may increase performance volatility.
RATING SENSITIVITIES
Fitch incorporated several stress tests to analyse the ratings' sensitivity to a change in the underlying scenarios. The first test simulated an increase of the default probability by 25%, whereas the second test reduced recovery assumptions by 25%. Neither test indicated that negative rating migration would be triggered should either scenario materialise.
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