OREANDA-NEWS. October 13, 2015. Fitch Ratings has affirmed FTA Santander Consumer Spain Auto 2011-1as follows:

EUR71.5m class B notes (ISIN ES0364543019) affirmed at 'AA+sf', Outlook Stable
EUR63.6m class C notes (ISIN ES0364543027) affirmed at 'Asf', Outlook revised to Positive from Stable

The transaction is a securitisation of auto loans originated in Spain by Santander Consumer EFC SA (Santander Consumer), a wholly-owned and fully integrated subsidiary of Santander Consumer Finance (SCF, A-/Stable/F2) whose ultimate parent is Banco Santander S.A. (A-/Stable/F2).

As per the transaction documents, Santander Consumer should have funded a liquidity reserve for series 2011-1 upon its downgrade below 'A'/'F1'. Fitch has analysed the impact of this breach and concluded that it has no rating impact, as the transaction benefits from a fully funded reserve fund sized at EUR117m, which is deemed sufficient to cover for potential temporary interest payment shortfalls in a servicer substitution event.

KEY RATING DRIVERS
Sovereign Cap
The class B notes' rating is the highest achievable rating for Spanish structured finance transactions, as it is six notches above the Kingdom of Spain's Issuer Default Rating (BBB+/Stable/F2).

Credit Enhancement Build-up
The credit enhancement for the class B and C notes has increased as the transaction has gradually deleveraged, and currently stands at 134% and 87%, respectively. This supports the highest achievable rating for Spanish SF transactions of 'AA+sf' for both classes. However, the class C maximum achievable rating is lower due to counterparty exposure.

Rating Capped by Counterparty Exposure
The class C notes' rating is constrained by the rating of the account bank, Santander UK (A/Positive/F1). This is because its entire credit enhancement comes from the reserve fund deposited at that entity and therefore, the notes would not withstand a sudden default of the account bank.

Robust Performance
Cumulative defaults over initial collateral balance amount to 1.6%, while 30d+ delinquencies over outstanding collateral balance amount to 3.4%. Fitch believes that the strong performance is representative of overall performance as a very large portion of the assets have already amortised since the portfolio factor is 19%. The lifetime default and recovery base cases of the deal have been revised to 2.1% and 27%, respectively. This also reflects a better than expected roll rate from 90d+ delinquencies into default.

RATING SENSITIVITIES

Fitch believes the class B and C notes' ratings are able to absorb large variations to our base case credit assumptions. This is because the class B notes' rating is capped by the sovereign ceiling while the class C notes' rating is capped by counterparty exposure to the account bank.

In testing the notes' sensitivities Fitch has found that an increase of defaults and a reduction of recoveries by 25% each had no impact on the notes' ratings.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information, which indicated no adverse findings material to the rating analysis.

Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the European Data Warehouse as of August 2015
- Transaction reporting provided by Santander de Titulizacion as of August 2015
- Servicer's procedures review as of end-September 2014

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see FTA, Santander Consumer Spain Auto 2011-1 - Appendix, dated January 2012 at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 12 June 2015 available on the Fitch website.