DBRS Confirms Rating to FTA Santander Financiacion 5

DBRS Ratings Limited (“DBRS”) has reviewed FTA Santander Financiacion 5 (“the Issuer”) and confirms the rating to the following classes of Notes:

• Class A confirmed at AAA (sf)
• Class B confirmed at BBB (sf)
• Class C confirmed at C (sf)

FTA Santander Financiacion 5 is a securitization of a portfolio of mixed use unsecured consumer loans (New Auto, Financing, Other Purposes) originated and serviced by Banco Santander SA. Class A and Class B were issued to finance the purchase of the portfolio at closing. Class C proceeds funded the cash reserve account.

Confirmation of the ratings for the Notes is based upon the following analytical considerations:

• Performance of the receivables is within DBRS expectations, in terms of defaults, as of the 18 December 2013 reporting date.
• Incorporation of a sovereign related stress component to address the impact of macroeconomic variables on collateral performance.
• Updated portfolio defaults, recoveries and expected losses for the remaining pool.
• Current available credit enhancement to the Class A and Class B Notes to cover the expected losses at the AAA (sf) rating and BBB (sf) level, respectively.

The current level of delinquencies and defaults are at reasonable levels. As of 18 December 2013, delinquencies more than 90 days were at 4.61%. The cumulative default ratio was 3.48%.

Credit enhancement for the Class A Notes is provided by the subordination of the Class B Notes and the Reserve Fund. The current credit enhancement as a percentage of the performing receivables for the Class A Notes is 79.95%. Credit enhancement for Class B is solely from the reserve fund and is currently equal to 53.64%. The credit enhancement for each Class of Notes has increased since initial rating analysis due to the deleveraging of the deal.

The Class C Notes are in the first loss position and are highly likely to default.

Banco Santander SA is the Account Bank and the Swap Counterparty for the transaction. The DBRS public rating of Banco Santander SA complies with the DBRS Legal Criteria for European Structured Finance Transactions given the rating of the highest rated Class of Notes.

Notes:
All figures are in Euro unless otherwise noted.

The principal methodology applicable is the Master European Structured Finance Surveillance Methodology. Other methodologies and criteria referenced in this transaction are listed at the end of this press release.

This can be found on www.dbrs.com at:
http://www.dbrs.com/about/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” on: http://www.dbrs.com/industries/bucket/id/10036/name/commentaries/.

The sources of information used for this rating include investor reports provided by Santander de Titulization, S.G.F.T. S.A. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance.

The last rating action on this transaction took place on 10 December 2012, when DBRS confirmed rating of AAA (sf), BBB (sf), C (sf) to the Class A Notes, Class B Notes and Class C Notes, respectively

Information regarding DBRS ratings, including definitions, policies and methodologies are available on www.dbrs.com.

To assess the impact of the changing the transaction parameters on the rating, DBRS considered the following stress scenarios, as compared to the parameters used to determine the rating (the “Base Case”):

• DBRS expected a Base Case Probability of Default (PD) and Loss Given Default (LGD) for the portfolio based on a review of historical data. Adverse changes to asset performance may cause stresses to Base Case assumptions and therefore have a negative effect on credit ratings.

• The Base Case PD and LGD of the portfolio for the Issuer are 10.49% and 50%, respectively.

• The Risk Sensitivity below illustrates the ratings Class A Notes and Class B Notes if the PD and LGD increase by a certain percentage over the Base Case assumptions. For example, if the LGD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), all else being equal. If the PD increases by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), all else being equal. Furthermore, if both the PD and LGD increase by 50%, the rating of the Class A Notes would be expected to remain at AAA (sf), all else being equal.

Class A Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of AAA (sf).
• 50% increase in LGD, expected rating of AAA (sf).
• 25% increase in PD, expected rating of AAA (sf).
• 25% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
• 25% increase in PD and 50% increase in LGD, expected rating of AAA (sf).
• 50% increase in PD, expected rating of AAA (sf).
• 50% increase in PD and 25% increase in LGD, expected rating of AAA (sf).
• 50% increase in PD and 50% increase in LGD, expected rating of AAA (sf).

Class B Notes Risk Sensitivity:

• 25% increase in LGD, expected rating of BBB (sf).
• 50% increase in LGD, expected rating of BBB (sf).
• 25% increase in PD, expected rating of BBB (sf).
• 25% increase in PD and 25% increase in LGD, expected rating of BBB (sf).
• 25% increase in PD and 50% increase in LGD, expected rating of BBB (sf).
• 50% increase in PD, expected rating of BBB (sf).
• 50% increase in PD and 25% increase in LGD, expected rating of BBB (sf).
• 50% increase in PD and 50% increase in LGD, expected rating of BB (high) (sf).

For further information on DBRS 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: Gareth Levington
Initial Rating Date: 29 June 2011
Initial Rating Committee Chair: Claire Mezzanotte

Last Rating Date: 10 December 2012

Lead Surveillance Analyst: Dylan Cissou
Rating Committee Chair: Chuck Weilamann

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960

The rating methodologies and criteria used in the analysis of this transaction can be found at http://www.dbrs.com/about/methodologies and are as follows:

• Legal Criteria for European Structured Finance Transactions.
• Master European Structured Finance Surveillance Methodology.
• Operational Risk Assessment for European Structured Finance Servicers.
• Unified Interest Rate Model for European Securitisations.
• Rating European Consumer and Commercial Asset-Backed Securitisations.
• Derivative Criteria for European Structured Finance Transactions.