Moody's assigns provisional ratings to notes to be issued by Santander Consumo 10, Fondo de Titulizacion ABS

Moody's Investors Service has assigned provisional ratings to notes issued by Santander Consumo 10, Fondo de Titulización ABS, a securitization vehicle backed by a portfolio of Spanish unsecured consumer loans. The transaction, which follows a similar structure to prior Santander Consumo issuances, includes EUR 1,500 million in ABS notes, with ratings reflecting the credit quality of the underlying collateral, structural features, and economic conditions. Moody's assigned definitive ratings to the 2021 Santander Consumo 4 issuance, including Aa2 (sf) for EUR 1,262.8 million Class A Notes and lower ratings for subordinate tranches, based on factors such as loan seasoning, geographic concentration, and subordination levels.

The Santander Consumo 10 portfolio is expected to mirror prior programs, with loans originated by Banco Santander S.A. (A2/P-1 Bank Deposits) and managed by Santander de Titulización S.G.F.T., S.A. Key credit strengths include a reserve fund, excess spread, and historical performance of Santander's consumer loan book, while weaknesses include interest deferral triggers and geographic concentration in regions like Madrid and Andalucía. Moody's also considers the economic environment, noting ongoing uncertainties from the coronavirus outbreak and its impact on Spain's recovery.

The ratings for Santander Consumo 10 will depend on similar parameters, including expected defaults, recoveries, and credit enhancement levels. Factors that could influence future ratings include pool performance, Santander's creditworthiness, and broader economic conditions. Investors are advised to monitor these dynamics, as well as the structural protections embedded in the transaction.

Moody's analysis of Santander Consumo 4 (2021) provides a framework for evaluating similar transactions.