DBRS Confirms Totta Consumer No. 1

DBRS Ratings Limited (DBRS) has today confirmed the Class A notes issued by Totta Consumer No. 1 at AA (high) (sf). This rating was also removed from Under Review with Negative Implications (see “DBRS Places Totta Consumer No. 1 Under Review with Negative Implications”, published on February 1, 2012).

The rating action reflects the following analytical considerations:

•Incorporation of a sovereign related stress component in our stress scenario due to the recent downgrade by DBRS of the Republic of Portugal’s sovereign from BBB Negative Trend to BBB (low) Negative Trend.
•Increased uncertainty surrounding the impact of macroeconomic variables on collateral performance due to austerity measures taken by the Republic of Portugal.
•Heightened concern with respect to the stress certain transaction parties may come under to perform transaction obligations (servicers and collection account banks domiciled in Portugal).

The principal methodologies applicable are:
• European Consumer and Commercial Asset-Backed Securitisations
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European ABS and SME CLO Servicers
• Unified Interest Rate Model Methodology for European Securitisations
• Master European Structured Finance Surveillance Methodology

These can be found on dbrs.com under Methodologies. For a more detailed discussion of sovereign risk impact on Structured Finance ratings, please refer to DBRS commentary “The Effect of Sovereign Risk on Securitisations in the Euro Area”.

The sources of information used for these ratings include performance data relating to the receivables provided by Santander de Titulización, S.G.F.T., S.A., the financial advisor for Totta Consumer No. 1, S.A. DBRS considers the information available to it for the purposes of providing these ratings was of satisfactory quality.

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

For additional information on DBRS European ABS ratings, please refer to the linking document.

Lead Analyst: Bruno Franco
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 27 June 2011

The back-up responsibilities for this transaction have been transferred to Paolo Conti.