DBRS Assigns Rating to FTA, SANTANDER HIPOTECARIO 8

DBRS Inc., (DBRS) has assigned the following ratings to notes issued by FTA, SANTANDER HIPOTECARIO 8:

--€640 million Series A rated AAA (sf)
--€160 million Series B rated BBB (sf)
--€160 million Series C rated C (sf)

The receivables securitised in the transaction consist of obligations arising under mortgage loans to individuals secured by residential properties in Spain. The loans in the portfolio have a loan to value greater than 80%. The mortgages were originated by Banco Santander SA (“Santander”).

The ratings are based upon review by DBRS of the following analytical considerations:

•The transaction’s capital structure and the form and sufficiency of available credit enhancement.
•Relevant credit enhancement in the form of subordination, a reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumption under various stress scenarios for each Series of notes issued by FTA, SANTANDER HIPOTECARIO 8.
•Santander’s capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the Servicer to perform collection activities on the collateral.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
•The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

Note:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
•Master European Residential Mortgage-Backed Securities Rating Methodology
•Legal Criteria for European Structured Finance Transactions
•Swap Criteria For European Structured Finance Transactions
•Operational Risk Assessment for European RMBS Servicers
•Unified Interest Rate Model Methodology for European Securitisations
These can be found on our website under Methodologies.

The sources of information used for this rating include performance data relating to the receivables provided by Santander. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating concerns newly issued financial instruments.

This is the first DBRS rating on these financial instruments.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

For additional information on these ratings, please refer to the linking document.

Lead Analyst: Lain Gutierrez
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: December 15, 2011