DBRS Assigns Final Ratings to Empresas Banesto 6, F.T.A.

DBRS Ratings Limited (“DBRS”) has today assigned final ratings to the Notes issued by Empresas Banesto 6, F.T.A. (the “Issuer”), as follows:

• EUR 935 million Series A Notes: AAA (sf)
• EUR 165 million Series B Notes: BBB(low) (sf)
• EUR 264 million Series C Notes: C (sf)

The transaction is a cash flow securitisation collateralized primarily by a portfolio of bank loans originated by Banco Espanol de Crédito, S.A. (“Banesto”) to large corporations and small and medium enterprises (“SMEs”) domiciled in Spain. As of 24 October 2011, the final portfolio included 4,970 loans with a weighted average maturity of 3.2 years and a notional amount of EUR 1,100 million.

The portfolio is well diversified in terms of region and industry concentration. The top three regions are Catalonia, Madrid and Valencia, representing 26.2%, 23.1% and 9.3% of the portfolio balance, respectively. The top three industries by NACE code are Manufacturing, Wholesale and Retail Trade, and Transportation representing 31.7%, 18.5% and 7.8% of the portfolio balance, respectively.

The portfolio exhibits high obligor concentration with the largest obligor representing 5.3% of the portfolio notional. The top ten and top twenty obligors represent 29.5% and 41% of the portfolio balance, respectively. DBRS has stressed the probability of default of the largest obligors in its analysis to address the obligor concentration risk.

These ratings are based upon DBRS’s review of the following analytical considerations:
• Transaction structure, the form and sufficiency of available credit enhancement.
-- Credit enhancement is provided in the form of subordination, through the Reserve Fund and excess spread. The current credit enhancement of 39% and 24% is sufficient to support the AAA (sf) and BBB (low) (sf) ratings on the Series A Notes and the Series B Notes, respectively.
-- The Series C Notes has been issued for the purpose of funding the cash Reserve Fund. The Reserve Fund has been initially set at 24% of the aggregate balance of the Series A and Series B Notes, or EUR 264 million. The Reserve Fund is available to cover shortfalls in the senior expenses, interest and principal throughout the life of the 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 48% of the outstanding aggregate balance of the Series A and Series B Notes and in any case not less than EUR 132 million.
-- In addition, the Reserve Fund will not be allowed to amortise if:
---- the balance of the Reserve Fund is not at the minimum required level as of the previous period; or,
---- the outstanding balance of assets in arrears for more than 90 days is less than 1% of the total outstanding balance of the performing assets.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the approved terms. For this transaction, the final rating of the Series A Notes addresses the timely payment of interest and the payment of principal on or before the Legal Final Maturity Date on 17 September 2033, as defined in the transaction documents. The final ratings of the Series B and Series C Notes address the ultimate payment of interest and the payment of principal on or before the Legal Final Maturity Date on 17 September 2033, as defined in the transaction documents. The payments of interest and principal on the Notes will be made quarterly, generally on the 17th day of March, June, September and December. The first payment date is scheduled for 19 December 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’s 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 Empresas Banesto 6, F.T.A., Santander de Titulización S.G.F.T., S.A. and Banesto. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This is the first DBRS rating on this financial instrument.

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

Ratings assigned by DBRS Ratings Limited are subject to EU regulations only.

Lead Analyst: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Final Rating Date: 24 October 2011

Note:
All figures are in Euro unless otherwise noted.