DBRS Assigns Provisional Ratings to F.T.A. SANTANDER EMPRESAS 10

DBRS Ratings Limited (“DBRS”) has today assigned provisional ratings to the Notes issued by F.T.A. SANTANDER EMPRESAS 10 (“the Issuer”), as follows:

• EUR 3,760 million Series A Notes: AAA (sf)
• EUR 940 million Series B Notes: B (sf)
• EUR 940 million Series C Notes: C (sf)

The transaction is a cash flow securitisation collateralised primarily by a portfolio of bank loans originated by Banco Santander, S.A. to Spanish corporates and small-and medium-sized enterprises (“SMEs”). As of 18 October 2011, the transaction’s provisional pool included 28,642 loans totaling EUR 4,927 million. At closing, the Originator will select the final portfolio of EUR 4,700 million from the above mentioned provisional pool.

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 10, 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, through the reserve fund and excess spread. The current credit enhancement level of 40% is sufficient to support the AAA (sf) rating for the Series A Notes, and the current credit enhancement level of 20% is sufficient to support the B (sf) rating for the Series B Notes.
-- The Series C Notes have been issued for the purpose of funding the Cash Reserve Fund. The Reserve Fund has been initially set at 20% of the aggregate balance of the Series A and Series B Notes, or EUR 940 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 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 (EUR 470.00 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.

• As of 18 October 2011, credit lines represented 47.98% of the provisional pool’s outstanding balance. This exposure in the provisional pool to the credit lines could increase further by EUR 1.72 billion if the clients use the credit lines to their maximum limits. This exposure would be funded by a liquidity line provided by Banco Santander, S.A. if no other principal proceeds are available in the transaction. This risk is partly mitigated by the short weighted average life of the credit lines and was taken into consideration in the DBRS analysis.

• 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 2044. 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 2044. Interest and principal payments on the notes will be made quarterly, generally on the 16th day of February, May, August and November, with the first payment date on 16 February 2012.

• 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 rating of the Series C Notes is based upon DBRS’ review of the following considerations:
-- The Series C Notes are in the first loss position.
-- As such, the Series C Notes are highly likely to default.
-- Because the rating of the Series C Notes addresses the ultimate payment of interest and principal, the default most likely would occur at the maturity of the transaction.

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 this rating include F.T.A. SANTANDER EMPRESAS 10, 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.

For additional information on DBRS European SME CLO(s), 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: Mudasar Chaudhry
Rating Committee Chair: Jerry van Koolbergen
Initial Rating Date: 21 November 2011

Notes:
All figures are in Euro unless otherwise noted.