DBRS Assigns Final Rating to MBSCAT 2, Fondo de Titulización de Activos

DBRS Inc. (“DBRS”) has today assigned the final rating of AAA (sf) to the Series A Bonds issued by MBSCAT 2. The Series A Bonds are backed by floating rate, first or second lien, fully amortising mortgage loans or mortgage lines of credit mainly originated in Catalunya, Valencia, and Madrid. The mortgage loans were originated by the predecessor institutions of Catalunya Banc, and will be serviced by Catalunya Banc.

The ratings are based upon review by DBRS 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 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 servicer to perform collection activities on the collateral.
•The transaction’s legal structure and opinions.

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, Operational Risk Assessment for European RMBS Servicers and Unified Interest Rate Model for European Securitisations which can be found on www.dbrs.com.

The sources of information used for this rating include parties involved in the rating, including but not limited to MBSCAT 2, Gestión de Activos Titulizados, S.G.F.T., S.A., Catalunya Banc, S.A. as well as data from Banco de Espana. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU

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

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 24 January 2012