The results of a critical audit of Spain's banks by U.S. consultancy Oliver Wyman were due to be released Sept. 28. As of press time, the Spanish government has estimated that the system overall faces a capital shortfall of roughly €60 billion ($77 billion), well within the €100 billion pledged last June by European finance ministers to help the country heal its damaged financial sector.

Recommended changes based on the audit - how and which banks should be restructured, receive government aid, or be taken over by the Spanish Fund for Orderly Bank Restructuring (FROB) - are likely to reverberate among Spain's mortgage covered bonds.

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