DBRS Rates Hipocat 19 Fondo de Titulización de Activos

DBRS Ratings Limited (DBRS) has today assigned a “AAA” rating to the notes issued by Hipocat 19 Fondo de Titulización de Activos (“Hipocat 19 F.T.A.”). The DBRS rating is a second rating on an existing transaction issued in September 2009. The rated notes, approximately €525.0 million at issuance, are backed by variable rate, first lien flexible mortgage loans mainly originated in the regions of Catalonia, Madrid, Andalucia and Comunidad Valenciana. The mortgages were originated and serviced by Caixa d’Estalvis de Catalunya (“Caixa Catalunya”).

The assets securitised are the first provisions of the flexible mortgages. The first provision can only be used for the purpose of acquiring a residential property.

The final ratings are based upon DBRS review of the following analytical considerations:
• Transaction structure, the form and sufficiency of credit enhancement.
-- Credit enhancement is in the form of subordination, a non amortising reserve fund funded through a subordinated loan and excess spread. A current credit enhancement level of 35.37% is sufficient to support a “AAA” rating of the Bonds.
-- The transaction benefits from a liquidity facility to cover from shortfalls from loans subject to a grace period. CECA (Confederación Española de Cajas de Ahorros) is currently the liquidity facility provider in the transaction.
-- Priority of payment is sequential with payment of Loan B subordinated to the Bonds.

• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the rating addresses the payment of timely interest on a quarterly basis and the payment of principal by the legal final maturity date. Interest and principal payments on the notes will be made quarterly, generally on the 20th day of each month, with the first payment date occurred in November 2009.

• The transaction parties’ financial strength and capabilities to perform their respective duties, and the quality of origination, underwriting and servicing practices.

• Soundness of the legal structure and presence of legal opinions which address the true sale of the assets to the trust and the non-consolidation of the special purpose vehicle, as well as the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

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 Spanish 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 Spain and the historical performance data provided by the originator and servicer.

The full report providing additional analytical details is available by clicking on the link below or by contacting us at info@dbrs.com.

Note:

All figures are in Euros unless otherwise noted.

The applicable methodologies are Master European RMBS Rating Methodology, which can be found on our website under Methodologies, with adjustments made for the Spanish mortgages and the originator- and servicer-specific historical performance data.

The sources of information used for this rating include working papers and data on the Spanish economy and housing market provided by: International Monetary Fund, World Bank, OECD, ECB, Ministerio de Vivienda, Spanish Central Bank, Consejo General del Poder Judicial and Finsolutia. DBRS conducted an operational review of the origination and servicing practices of Caixa Catalunya. Caixa Catalunya provided loan-level data and historical performance of mortgage portfolio dating back to March 2004.

For additional information on DBRS European RMBS ratings, please refer to the linking document located below.