DBRS Rates Nostrum Mortgage No. 2

DBRS, Inc. (“DBRS”) has assigned the following rating to the Class A Notes issued by Nostrum Mortgages No. 2:

-- €3,702,596,288.81 Class A rated AA (sf)

The receivables securitised in the transaction consist of obligations arising under mortgage loans to individuals secured by residential properties in Portugal. The mortgages were originated and are serviced by Caixa Geral de Depósitos, S.A. (“CGD”).

The ratings are based upon review by DRBS of the following analytical considerations:
• The transactions’ capital structure and the form and sufficiency of available credit enhancement.
• Relevant credit enhancement in the form of subordination, a reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS projected expected cumulative net loss (CNL) assumptions under various stress scenarios for the Series A notes issued by Nostrum Mortgages No. 2.
• CGD’s capabilities with respect to originations, underwriting, servicing and financial strength.
• Banco Santander, S.A. issuer rating with regards to Accounts Bank and swap counterparty.
• The credit quality of the collateral and ability of the servicer to perform collection activities on the collateral.
• The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.
• The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and the consistency with the DBRS Legal Criteria for European Structured Finance Transactions.

The rating is assigned following the signing of the Amendment and Assignment Agreement to the Accounts Agreement where Banco Santander, S.A. replaced CGD as Accounts Bank; and, the signing of the Novation Agreement where Banco Santander, S.A. replaced CGD as swap counterparty. Both were signed on 4 May 2012.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Legal Criteria for European Structured Finance Transactions
• Operational Risk Assessment for European RMBS Servicers
• Swap Criteria for European Structured Finance Transactions
• Unified Interest Rate Model for European Securitisations

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 performance data relating to the receivables provided by CGD. DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

This rating was disclosed to CGD and amended following that disclosure before being assigned.

This is the first DBRS rating on this financial instrument.

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

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

Lead Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte
Initial Rating Date: 4 May 2012