OREANDA-NEWS. December 23, 2015. Fitch Ratings has affirmed FTA Santander Consumer Spain Auto 2014-1's notes with Stable Outlook as follows:

EUR703m class A notes: affirmed at 'Asf'; Outlook Stable
EUR27.4m class B notes: affirmed at 'BBBsf'; Outlook Stable
EUR15.2m class C notes: affirmed at 'BB+sf'; Outlook Stable
EUR14.4m class D notes: affirmed at 'BBsf'; Outlook Stable
EUR38m class E notes: affirmed at 'CCsf'; Recovery Estimate Revised to 50% from 75%

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

This affirmation takes into account the recent modification of transaction documents. Most relevant changes introduced are; (i) the increase of class E coupon to 11% from 5% and (ii) the change in the conditions of the clean-up call, according to which such clean-up call can now be implemented to repay in full only the class A to D notes, thereby excluding the repayment in full of the class E notes.

KEY RATING DRIVERS
Clean-up Call
The possibility of exercising the clean-up call without the full repayment of the class E notes implies a risk for noteholders. This means class E investors could experience a loss, for example, due to a momentary spike in delinquencies that partially depletes the reserve fund. Fitch considers that this risk is captured in the low rating of the notes (CCsf).

Additionally, the RE of the class E notes is highly dependent on whether or not the clean-up call is exercised and the period in which is exercised. This is because the deal may be exposed to a significant negative carry at the end of its life due to the high coupon of the junior notes and the increasing portion of cash assets, for which we are assuming no interest.

Collateral Performance
The rating affirmation is supported by the stable performance of the underlying collateral over the last 12 months. As of 31 October 2015, arrears over 90 days represented 0.3% of the total portfolio balance. Given the default definition of the transaction (365 days in arrears), the deal has not reported defaults or recoveries yet. Fitch has maintained its lifetime base case default and recovery assumptions at 5.4% and 32.9%, respectively, given the short time that has passed since closing in November 2014. Despite the transaction definition, Fitch assumed loans in arrears over 180 days as default in its base cases.

Fitch applied high multiples in line with its Global Consumer ABS Criteria to derive rating- dependent stresses to default levels. This reflects the increased risk resulting from the three- year revolving period and the relatively long 180d+ default definition used to derive the base cases. The base case default rate was multiplied by 3.5x for the 'Asf' rating scenario (corresponding to 5.8x for the 'AAAsf' rating scenario), marginally lower than the 3.6x applied at closing due to the reduction in the remaining revolving period.

Credit Enhancement (CE)
Excess spread provides the first layer of protection against losses, supported by minimum weighted average interest rates on the assets of 7%. Additional CE is available to the class A to C notes from asset overcollateralisation (7.5%, 3.9% and 1.9% as of closing for class A, B and C, respectively) and the cash reserve placed by Santander Consumer EFC SA, which also provides CE to the class D notes (5% as of closing). The transaction features an excess spread-trapping mechanism to provision for defaults.

Fitch does not expect full repayment of the class E notes as the only source of CE is excess spread, which in our view is not sufficient to cover late defaults and class E note interest.

Revolving Period
Since closing in November 2014, portfolio characteristics and concentration levels have remained stable. The negative migration of the portfolio characteristics during the remaining three-year revolving period is limited by the eligibility criteria, portfolio limits and early amortisation events. However, the risk of a potential migration to the worst case portfolio during the remaining revolving period has been captured in the analysis.

RATING SENSITIVITIES
Class A, B, C, and D notes sensitivities to default and recovery rates:
Increase default rate base case by 15%: 'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'
Increase default rate base case by 25%: 'BBB+sf'/'BB+sf'/'BBsf'/'BB-sf'
Reduce recovery rate base case by 25%: 'Asf'/'BBBsf'/'BB+sf'/'BBsf'

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.
-Transaction reporting provided by Santander de Titulizacion SGFT, S.A. as at 31 October 2015
-Transaction reporting provided by Santander de Titulizacion SGFT, S.A. as at 21 September 2015
-Transaction loan level data from the European Data Warehouse as of 30 September 2015

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 2014-1 - Appendix, dated 30 December 2014 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.