DBRS Assigns Provisional Ratings to F.T.A. SANTANDER EMPRESAS 9

DBRS Ratings Limited (“DBRS”) has today assigned the provisional ratings of AAA (sf) to the €4,226.50 million Series A Notes and B (sf) to the €1,123.50 million Series B Notes issued by F.T.A. SANTANDER EMPRESAS 9 (the “Issuer”). The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco Santander, S.A. to Spanish enterprises and small-and medium-sized enterprises (“SMEs”). The transaction has a portfolio notional amount of €5,350 million. As of 18 March 2011, the transaction included 29,306 loans with a weighted average time to maturity of 2.7 years.

The above ratings are provisional. Final ratings will be issued upon receipt of executed versions of the governing transaction documents. To the extent that the documents and information provided by F.T.A SANTANDER EMPRESAS 9, Santander de Titulización, S.G.F.T., S.A. and Banco Santander, S.A. to DBRS as of this date differ from the executed versions of the governing transaction documents, DBRS may assign lower final ratings to the Notes, or may avoid assigning final ratings to the Notes altogether.

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. The current credit enhancement level of 41.00% is sufficient to support AAA (sf) rating for the Series A Notes and the current credit enhancement level of 20.00% is sufficient to support B (sf) rating for 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 set at 20%, which is equivalent to €1,070.00 million of the aggregate balance of the Series A Notes and the Series B Notes, is available to pay shortfalls in the expenses senior to the replenishment of the Reserve Fund in the Priority of Payments, and interest and principal throughout the life of the Series A and Series B Notes.
-- The Reserve Fund cannot be reduced, except for required payments to cover interest and principal shortfalls, unless:
---- The transaction is at least two years old;
---- The Reserve Fund is at least 40% of the outstanding aggregate balance of the Series A and Series B Notes; and,
---- The Reserve Fund balance is greater than 10% of the initial aggregate balance of the Series A and Series B Notes (€535.00 million).
-- 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 at 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 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 approved terms. For this transaction, the provisional rating 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 March 2048. The provisional rating 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 March 2048. Interest and principal payments on the notes will be made quarterly, generally on the 16th day of March, June, September and December, with the first payment date on 16 June 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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on our website under Methodologies.

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 9, Santander de Titulizaæion, S.G.F.T., S.A. and Banco Santander, S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

These are the first DBRS ratings on these financial instruments.

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

Lead Analyst: Simon Ross
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 29 March 2011

Note:
All figures are in Euro unless otherwise noted.