DBRS Assigns ‘A’ (low) Rating to Santander Totta Covered Bonds Programme Series 10

DBRS Ratings Limited (DBRS) has today assigned a rating of ‘A’ (low) to the Series X (Tranche 1) Covered Bonds issued under the Santander Totta S.A. (Totta, or the Issuer) €12,500,000,000 Covered Bonds Programme. The Series X (Tranche 1) is a €750 million floating rate security maturing in July 2016. DBRS confirms the ‘A’ (low) rating on all other outstanding series.

The rating action follows a full review of the programme and reflects the following analytical considerations:
•The senior unsecured debt rating of Totta of BBB (high) with Negative Trend confirmed on 23 August 2012.
•DBRS Legal and Structuring Framework (LSF) assessment of “Adequate”.
•The credit quality of the cover pool and the substantial support of the cover pool in case of the default of Totta.
•The issuer’s capabilities with respect to origination of the cover pool assets and servicing of the cover pool.

The nominal over-collateralisation after Series 10 issuance will be 22%, which is above the current issuer over-collateralisation commitment of 15%.

According to DBRS “Rating European Covered Bonds” methodology, the rating of the Covered Bonds, although linked to that of the Issuer, can be one notch above the Issuer’s rating in instances where DBRS LSF matrices are not applicable or their application would result in the covered bonds being rated at the same level as the Issuer. Currently, the application of the “Adequate” LSF matrix would result in a covered bond rating at the same rating level as the Issuer.

A downgrade of the Issuer would lead to a downgrade of the covered bonds by an equal number of notches.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Rating European Covered Bonds
• Global Methodology for Rating Banks & Banking Organisations
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Master European Structured Finance Surveillance Methodology
• Operational Risk Assessment for European Structured Finance Servicers
• Derivative Criteria for European Structured Finance Transactions
• Unified Interest Rate Model Methodology for European Securitisations

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 related to the cover pool provided by Totta. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The most recent rating action on this transaction took place on 16 April 2013, when DBRS assigned ratings to Series 9.

For additional information on this rating, please see the related linking document. The individual linking document for this transaction is located at http://www.dbrs.com/research/256145/linking-document-santander-totta-covered-bond-programme.pdf

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 24 February 2012 2012
Rating Committee Chair: Claire Mezzanotte
Previous Rating Date: 16 April 2013

Lead Analyst: Vito Natale
Rating Committee Chair: Claire Mezzanotte

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