DBRS Assigns Final Ratings to F.T.A. SANTANDER EMPRESAS 11

DBRS Ratings Limited (“DBRS”) has assigned final ratings to the Notes issued by F.T.A. SANTANDER EMPRESAS 11 (“the Issuer”), as follows:

• EUR 2,120 million Series A Notes: AA (sf)
• EUR 530 million Series B Notes: B (sf)
• EUR 742 million Series C Notes: C (sf)

The transaction is a cash flow securitisation collateralised by a portfolio of bank loans and credit lines originated by Banco Santander, S.A. to Spanish corporates and small-and medium-sized enterprises (“SMEs”). As of 13 March 2012, the transaction’s final portfolio included 8,608 loans granted to 8,041 borrowers with a notional amount of EUR 2,650 million.

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 in the form of subordination, through the Reserve Fund and excess spread. The current credit enhancement level of 48% is sufficient to support the AA (sf) rating for the Series A Notes, and the current credit enhancement level of 28% 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 28% of the aggregate balance of the Series A and Series B Notes, or EUR 742 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 can amortise after the first two years if certain conditions – relating to the performance of the portfolio and deleveraging of the transaction – are met.

• The portfolio is composed of mainly unsecured credit lines and term loans. The credit lines represent 67.3% of the final portfolio’s outstanding balance. The total exposure to the credit lines could increase by a further EUR 729 million if the borrowers draw on the credit lines to their maximum limits. This could potentially result in an increase of the portfolio to a maximum of EUR 3,379 million and result in a dilution of the credit enhancement available to support the Series A and Series B. This risk 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 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 February 2045. The 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 February 2045. 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 May 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’s 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.
-- Under the transaction documents the payments on the Series C notes can be deferred during the life of the transaction. Therefore, the default most likely would occur at the maturity of the transaction.

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 principal methodology is Master European Granular Corporate Securitisations (SME CLOs), which can be found on www.dbrs.com.

The sources of information used for this rating include F.T.A. SANTANDER EMPRESAS 11, Santander de Titulización, 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: Carlos Silva
Rating Committee Chair: Jerry van Koolbergen
Final Rating Date: 13 March 2012

Notes:
All figures are in Euro unless otherwise noted.