DBRS Leaves MBSCAT 2, Fondo de Titulización de Activos Under Review with Negative Implications

DBRS Ratings Limited (“DBRS”) leaves the rating of the Class A Notes of MBSCAT 2, Fondo de Titulización de Activos at AAA (sf) Under Review with Negative Implications. The rating remains Under Review with Negative Implications following notification to DBRS by CatalunyaCaixa (“Issuer”) of the intention to transfer the Treasury Account for the transaction. The Treasury Account is currently held with Instituto de Crédito Oficial (“ICO”). ICO does not meet the minimum institution rating necessary for the highest rated security to be rated AAA (sf) in accordance with the DBRS Legal Criteria for European Structured Finance Transactions. DBRS will monitor the expected transfer of the Treasury Account which may result in either a confirmation or downgrade.

DBRS also conducted a review of the current portfolio of mortgage receivables. Analysis of the mortgage receivables incorporates a sovereign related stress component to address the impact of macroeconomic variables on collateral performance.

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 20 December 2012. 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: Quincy Tang
Initial Rating Date: 24 August 2011
Most Recent Rating Update: 2 January 2013