DBRS Confirms the Ratings on FTA, Santander Hipotecario 7

DBRS Ratings Limited (DBRS) has confirmed the Series A, Series B and Series C notes issued by Fondo de Titulizacion de Activos, Santander Hipotecario 7 at AAA (sf), BBB (high) (sf) and C (sf) respectively. DBRS has also removed the Under Review with Negative Implications from the Series A and Series B notes. The action follows the notes remaining Under Review with Negative Implications on 2 January 2013 owing to observed rise in late stage arrears.

The collateral supporting the transaction is performing slightly outside of DBRS initial expectations at the transaction closing in July 2011. As a result, the 2 year PD was increased in the loan level default analysis when analysing the updated pool of mortgage receivables which resulted in increased portfolio default assumptions for each rating scenario. Given the existing level of credit enhancement, DBRS has confirmed all of the notes.

Banco Santander, S.A. is the Treasury Account Bank for the fund as well as the swap counterparty. Banco Santander, S.A. meets the minimum institution rating for the highest security to be rated AAA (sf) in accordance with the DBRS Legal Criteria for European Structured Finance Transactions. Banco Santander, S.A. is also an eligible swap counterparty per the Swap Criteria for European Structured Finance Transactions.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda
• Legal Criteria for European Structured Finance Transactions
• Swap Criteria For European Structured Finance Transactions
• Operational Risk Assessment for European Structured Finance 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 this rating include an updated loan level data tape as of 31 December 2012, investor remittance reports and performance data relating to the receivables provided by Banco Santander. DBRS considers the information available to it for the purposes of this rating action was of satisfactory quality.

For additional information on this rating, please refer to the linking document.

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

Initial Lead Analyst: Lain Gutiérrez
Initial Rating Date: 28 July 2011
Rating Committee Chair: Claire Mezzanotte

Lead Analyst: Sylvia Nya
Most Recent Rating Date: 2 January 2013
Rating Committee Chair: Mary Jane Potthoff