DBRS Downgrades MBSCAT 2, Fondo de Titulización de Activos

DBRS Ratings Limited (“DBRS”) has downgraded the rating to the Series A Bonds (“Notes”) issued by MBSCAT 2, Fondo de Titulización de Activos from AAA (sf) to ‘A’ (high) (sf) and removed the Notes from Under Review with Negative Implications.

The Notes were previously placed Under Review with Negative Implications following an earlier notification by CatalunyaCaixa of the intention to transfer the Treasury Account for the transaction. The Treasury Account is currently held with Instituto de Crédito Oficial (“ICO”). The DBRS public rating of ICO is A (low) which is below 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. CatalunyaCaixa has further indicated that they will not transfer the Treasury Account to another entity at this time. As a result the Notes are downgraded to A (high) (sf) which is consistent with the highest rating assigned to a rated security given the A (low) rating of the Treasury Account bank.

Notes:
All figures are in Euros unless otherwise noted.

The principal methodologies applicable are:
• Legal Criteria for European Structured Finance Transactions
• Master European Residential Mortgage-Backed Securities Rating Methodology
• Derivative 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 data from CatalunyaCaixa DBRS considers the information available to it for the purposes of providing this rating was of satisfactory quality.

DBRS does not audit the information it receives in connection with the rating process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances.

The most recent rating action on this transaction took place on 21 February 2013, when the Notes were placed Under Review with Negative Implications.

The individual linking document for this transaction is located at http://www.dbrs.com/research/260420/linking-document-mbscat-2-fondo-de-titulizaci-n-de-activos.pdf

For further information on DBRS’s historic default rates published by the European Securities and Markets Administration (“ESMA”) in a central repository see http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

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

Initial Lead Analyst: Keith Gorman
Initial Rating Date: 22 August 2011
Rating Committee Chair: Claire Mezzanotte

Lead Surveillance Analyst: Keith Gorman
Rating Committee Chair: Claire Mezzanotte

DBRS Ratings Limited
1 Minster Court, 10th Floor
Mincing Lane
London
EC3R 7AA
United Kingdom

Registered in England and Wales: No. 7139960