DBRS Confirms and Places the Ratings on the Notes of MBSCAT 1, FTA Under Review with Developing Implications

DBRS Ratings Limited (“DBRS”) has today confirmed the ‘A’ (sf) rating on the MBSCAT 1, FTA Class A Notes. The rating of the Notes is also placed Under Review with Developing Implications. The Notes are confirmed and removed from Under Review with Negative Implications after a review of the current portfolio of mortgage receivables and current transaction structure following the January 2, 2013 action when the Notes continued to be Under Review with Negative Implications. The review of the current portfolio incorporates a sovereign related stress component to address the impact of macroeconomic variables on collateral performance.

The Under Review with Developing Implications reflects that DBRS has been informed that the Treasury Account has been moved from Banco Santander SA to the Bank of Spain. DBRS will undertake a review to determine the impact of this modification and will publish updated rating action that may either result in an upgrade, confirmation or downgrade.

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
• 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 tape provided by CatalunyaCaixa as of 12 December 2012, and quarterly investor reports. 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 see the linking document.

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

Lead Analyst: Keith Gorman
Rating Committee Chair: Erin Stafford
Initial Rating Date: 11 February 2011
Most Recent Rating Update: 2 January 2013