DBRS Rates Santander Totta Covered Bond Programme

DBRS, Inc. (DBRS) has today assigned a rating of A (high) to the following outstanding tranches of the Santander Totta Covered Bond Programme:
-€1,000,000,000 Series II, Tranche 1 maturing 21 October 2014
-€1,000,000,000 Series III, Tranche 1 maturing 15 April 2013
-€750,000,000 Series IV, Tranche 1 maturing 12 January 2014
-€600,000,000 Series IV, Tranche 2 maturing 12 January 2014
-€225,000,000 Series IV, Tranche 4 maturing 12 January 2014
-€175,000,000 Series IV, Tranche 5 maturing 30 March 2014
-€1,250,000,000 Series V, Tranche 1 maturing 23 May 2014
All covered bonds issued under the Programme rank pari passu with each other and are rated A (high).

The rating is based on the following factors:
1)The Covered Bonds are senior unsecured direct deposit obligations of Santander Totta.
2)Portuguese Covered Bond Laws which in case of issuer insolvency give the holders of the Covered Bonds recourse to the cover pool in priority to other creditors.
3)DBRS Legal and Structuring Framework assessment of “Adequate”.
4)DBRS Cover Pool Credit Assessment of BBB (low).
5)Issuer Commitment Overcollateralisation level of 30%.
6)Santander Totta’s capabilities with respect to origination of cover pool assets and servicing of the cover pool.
7)The credit quality of the collateral and structural features of the Programme (Extendable Maturity and collateral eligibility criteria).

DBRS credit analysis of the cover pool is performed on a loan-level basis and includes a probability of default and loss given default assessment, an originator- and servicer-specific historical performance review, a Portuguese housing market and property price trend evaluation, and finally a cash flow simulation based on various stresses to prepayments, timing of defaults and recoveries and interest rates.

DBRS made appropriate adjustments to our model parameters based on the analysis of market value declines in Portugal and the historical performance data provided by the originator and servicer.

Note:
All figures are in Euros unless otherwise noted.

The applicable methodologies are Rating European Covered Bonds, Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda, Legal Criteria for European Structured Finance Transactions, Operational Risk Assessment for European RMBS Servicers, Swap Criteria for European Structured Finance Transactions and Unified Interest Rate Model for European Securitisations.

This is the first DBRS rating on this financial instrument.

For additional information on this rating, please refer to the linking document.

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

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 24 February 2012