DBRS Downgrades Santander Totta Covered Bond Programme

DBRS, Inc. (DBRS) has today downgraded the ratings of the outstanding tranches of the Santander Totta Covered Bond Programme following the downgrade of Banco Santander SA (the Group) by DBRS on May 4, 2012. DBRS has downgraded Santander’s Senior Unsecured Long-Term Debt & Deposit rating to A (high) from AA (low). DBRS has downgraded the Covered Bonds from A (high) to A. The Covered Bonds are direct, unconditional, unsubordinated and secured obligations of Banco Santander Totta, S.A. (BST), a wholly owned subsidiary of the Group. DBRS does not currently have a public rating on BST.

DBRS credit analysis 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 principal methodologies applicable are:
• Rating European Covered Bonds
• Master European Residential Mortgage-Backed Securities Rating Methodology
• 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 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 this rating include data relating to the cover pool provided by BST. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

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.

The rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 9 May 2012