DBRS Rates Hipocat 14 Fondo de Titulización de Activos

DBRS, Inc. (DBRS) has today assigned a final rating of A (high) (sf) to the Series A notes issued by Hipocat 14 Fondo de Titulización de Activos (Hipocat 14 F.T.A.). The DBRS rating is a second rating on an existing transaction issued in March 2008. The Notes are backed by variable rate, second drawdowns of fully amortizing credit lines mainly originated in the provinces of Barcelona, Gerona, and Tarragona. At the close of the transaction in March 2008, the collateral balance stood at €956 million. As of the last Interest Payment Date (March 2011) the collateral balance was €496 million. The originator and servicer of this transaction is Caixa d’Estalvis de Catalunya, which, after the merger that took place on the 1st of July 2010 with Caixa Tarragona and Caixa Manresa, became Caixa d’Estalvis de Catalunya, Tarragona y Manresa (“CatalunyaCaixa”).

Hipocat 14 F.T.A. issued four classes of mortgage-backed floating rate notes (Series A, Series B, Series C, and Series D). DBRS rates Series A notes only. As of the last Interest Payment Date, the size of the rated A Note was €465.838 million. The class A has 8.17% credit enhancement which consists of 6.35% subordination and 1.82% from the Reserve Fund (€9 million) which was originally funded by the issuance of the Class C notes.

The ratings are based upon DBRS review of the following analytical considerations:
•Transaction capital structure and form and sufficiency of available credit enhancement.
•Relevant credit enhancement is in the form of excess spread, a funded reserve fund and subordination.
•The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to terms in which they have invested.
•The transaction parties’ capabilities with respect to originations, underwriting, servicing, and financial strength.
•The credit quality of the collateral and ability of the Servicers to perform collection activities on the collateral.
•A review of the legal structure and opinions.

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, an analysis of loan default data from the Bank of Spain, 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.

Note:
All figures are in Euro unless otherwise noted.

The applicable methodologies are Master European Residential Mortgage-Backed Securities Rating Methodology, Legal Criteria for European Structured Finance Transactions, and Unified Interest Rate Model which can be found on our website under Methodologies, with adjustments made for the Spain mortgages.

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, Bank of Spain, Consejo General del Poder Judicial and Finsolutia. DBRS conducted an operational review on the origination and servicing practices of CatalunyaCaixa. CatalunyaCaixa provided loan-level data and historical performance of mortgage portfolio dating back to 2002. 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 located below.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 17 June 2011