DBRS Assigns Ratings to F.T.A. SANTANDER EMPRESAS 8

DBRS Ratings Limited (“DBRS”) has assigned the ratings of AAA (sf) to the €5,014.90 million Series A Notes and B (sf) to the €1,435.10 million Series B Notes issued by F.T.A. SANTANDER EMPRESAS 8 (the “Issuer”). The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Banco Santander, S.A. (“Banco Santander”) to Spanish enterprises and small-and medium-sized enterprises (“SMEs”). The transaction has a portfolio notional amount of €6,450 million. As of 21 December 2010, the transaction included 31,129 loans with a weighted average seasoning of 2.0 years and a weighted average time to maturity of 4.2 years.

These ratings are based upon DBRS’ review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
--- Credit enhancement is in the form of subordination and a reserve funded through a subordinated loan. A current credit enhancement level of 42.25% is sufficient to support a AAA (sf) rating of the Series A Notes and a current credit enhancement level of 20.00% is sufficient to support a B (sf) rating of the Series B Notes.
--- Funded at the beginning of the transaction through the issuance of a subordinated loan granted by Banco Santander, the cash reserve, initially at 20% of the aggregate balance of the Series A Notes and the Series B Notes or €1,290.0 million, is available to pay shortfalls in the senior expenses and interest throughout the life of the notes, and interest and principal at maturity on the Series A and Series B Notes.
--- The cash reserve cannot be reduced, except for required payments to cover interest and principal shortfalls, unless:
--- The transaction is at least two years old;
--- The cash reserve is at least 40% of the then outstanding aggregate balance of the Series A and Series B Notes; and
--- The cash reserve balance is greater than € 645.0 million, that is 10% of the initial aggregate balance of the Series A and Series B Notes.
--- In addition, the Reserve Fund will not be eligible for further pay downs, the above notwithstanding, if:
--- The balance of the Reserve Fund was not at the minimum required level the previous period; or,
--- The outstanding balance of the non-failed assets which are more than 90 days in arrears is greater than 1% of the then outstanding balance of the total non-failed assets.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the provisional ratings of the Series A Notes addresses the timely payments of interest, as defined in the transaction documents, and the timely payments of principal on each Payment Date during the transaction and, in any case, at their Legal Final Maturities on 16 April 2052. The provisional ratings of the Series B Notes addresses the ultimate payment of interest, as defined in the transaction documents, and the ultimate payment of principal on each Payment Date during the transaction and, in any case, at their Legal Final Maturities on 16 April 2052. Interest and principal payments on the notes will be made quarterly, generally on the 16th day of January, April, July and October, with the first payment date on 18 April 2011.

• The transaction parties’ financial strength and capabilities to perform their respective duties, and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The applicable public methodologies are Master European Granular Corporate Securitisations (SME CLOs) and Legal Criteria for European Structured Finance Transactions.

DBRS determined key inputs used in our analysis based on historical performance data provided for the originator and servicer as well as analysis of the current economic environment. Further information on DBRS’ analysis of this transaction will be available in a rating report on http://www.dbrs.com, or by contacting us at info@dbrs.com.

The sources of information used for these ratings include parties involved in the rating, including but not limited to F.T.A. SANTANDER EMPRESAS 8 and Santander de Titulizaæion, S.G.F.T. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

For additional information on DBRS European SME CLOs, please see European Disclosure Requirements, located at http://www.dbrs.com/research/235269.

Note:
All figures are in Euro unless otherwise noted.