TEXT-S&P rates Catalunya Banc's Spanish mortgage covered bonds

June 21 - OVERVIEW
-- Today, we have assigned a 'BBB+/Watch Dev' rating to Catalunya Banc's
mortgage covered bonds.
-- Our ratings on Catalunya Banc's covered bonds incorporate the maximum
possible uplift under our covered bond criteria. Any rating action on
Catalunya Banc would directly affect the ratings assigned to the mortgage
covered bonds issued by the bank, all else being equal. Therefore, the rating
on the covered bonds is on CreditWatch developing, to reflect the CreditWatch
developing placement of the issuer rating.

MADRID (Standard & Poor's) June 21, 2012--Standard & Poor's Ratings Services
today assigned its 'BBB+' long-term credit rating to Catalunya Banc, S.A.'s
mortgage covered bonds ("cedulas hipotecarias"). The rating on the covered
bonds is on CreditWatch developing (see list below).

Catalunya Banc is the financial entity, created in October 2011, through
which Caixa d'Estalvis de Catalunya, Tarragona i Manresa (CatalunyaCaixa)
develops its banking activity. CatalunyaCaixa is the result of a merger
between three Catalonian savings banks--Caixa d'Estalvis de Catalunya (Caixa
Catalunya), CaixaCaixa d'Estalvis de Manresa (Caixa Manresa), and Caixa
d'Estalvis de Tarragona (Caixa Tarragona)--which took place in July 2010.

The covered bonds from Catalunya Banc are senior secured debt issued by
Catalunya Banc, CatalunyaCaixa and the three savings banks that formed
CatalunyaCaixa. According to our criteria, we view the covered bond ratings as
issue ratings that are linked to that on the issuer (see "Revised Methodology
And Assumptions For Assessing Asset-Liability Mismatch Risk In Covered Bonds,"
published on Dec. 16, 2009).

RATINGS ASSIGNED TO CATALUNYA BANC'S MORTGAGE COVERED BONDS

The mortgage covered bonds that we have rated today, which were issued by
either Catalunya Banc, CatalunyaCaixa, Caixa Catalunya, Caixa Manresa, or
Caixa Tarragona, are "cedulas hipotecarias". Some of these mortgage covered
bonds have been issued in several Spanish multicedulas transactions, and
others have been issued as individual covered bonds.

In assigning today's ratings, we have applied our 2009 covered bond criteria
(see "Revised Methodology And Assumptions For Assessing Asset-Liability
Mismatch Risk In Covered Bonds," published on Dec. 16, 2009).

Under our criteria for rating covered bonds, we evaluate the maximum potential
rating on a covered bond program as the bank's issuer credit rating (ICR) plus
the maximum number of notches of ratings uplift. The maximum number of notches
of uplift results from our assessment and classification of the program's
asset-liability mismatch (ALMM) risk and the program categorization.

When determining the program categorization, we consider primarily our view of
the jurisdiction of a program and its ability to access external financing or
monetize the cover pool. Finally, we assign the covered bonds to one of three
distinct categories. Under our criteria, to achieve the maximum potential
number of notches of uplift, the available credit enhancement needs to be
commensurate with the target credit enhancement.

Following our analysis, and given our view of the Spanish legal framework, we
have categorized Catalunya Banc's mortgage covered bonds in category "1" and
determined a "high" ALMM classification.

Based on our criteria and the application of our credit and cash flow stresses
from the latest information we received from the issuer, we have assessed that
the overcollateralization available to support Catalunya Banc's cedulas
hipotecarias can sustain the maximum uplift above the long-term ICR on
Catalunya Banc.

Therefore, we have assigned our 'BBB+' long-term rating to Catalunya Banc's
mortgage covered bond program and related series, which reflects this maximum
ratings uplift.

At the same time, we have placed on CreditWatch developing the assigned 'BBB+'
rating on these covered bonds. This reflects the fact that, all other things
remaining equal, any rating action on the issuer would automatically lead to a
corresponding rating action on the covered bonds issued by Catalunya Banc.

Our ratings on Catalunya Banc's mortgage covered bonds follow our analysis of
the issuer's asset and cash flow information as of March 31, 2012.

We have analyzed the credit risk in stressed scenarios using structured
finance techniques--i.e., foreclosure frequency and loss severity
assumptions--which we typically apply for Spanish mortgage assets (see
"Methodology And Assumptions: Update To The Criteria For Rating Spanish
Residential Mortgage-Backed Securities," published on Jan. 6, 2009).

As per our "Revised Methodology And Assumptions For Assessing Asset-Liability
Mismatch Risk In Covered Bonds," published on Dec. 16, 2009, we evaluate cash
flows generated by the cover pool, and the cash flow required to service
outstanding covered bonds under severe economic conditions. This evaluation
aims to determine whether the assets in the cover pool are sufficient to meet
the payments on the covered bonds in a timely manner.

Our cash flow analysis assesses the cover pool's performance by considering:
-- Credit risk (as described in the paragraphs below);
-- Interest rate and currency risk;
-- ALMM risk resulting from cash flow mismatches between assets and
liabilities in terms of maturity, and from market value mismatches if the
program has to liquidate assets;
-- Prepayment risk and servicing costs; and
-- An appropriate stress-testing of these risks, using our cash flow
model (Imake).

We assess the cover pool's credit risk as per our "Criteria for Rating Spanish
Residential Mortgage-Backed Securities," published on March 1, 2002,
"Methodology And Assumptions: Update To The Criteria For Rating Spanish
Residential Mortgage-Backed Securities," published on Jan. 6, 2009),
"Principles Of Credit Ratings," published on Feb. 16, 2011, and "Expanding
European Covered Bond Universe Puts Spotlight on Key Analytics," published on
July 16, 2004.

In our modeling, we use cash flow assumptions as per our general cash flow
criteria ("Cash Flow Criteria for European RMBS Transactions," published on
Nov. 20, 2003, and "Methodology And Assumptions: Update To The Cash Flow
Criteria For European RMBS Transactions," published on Jan. 6, 2009), because
we consider these to be appropriate to apply to covered bonds, due to the
similar cash flow risk nature of residential mortgage-backed securities (RMBS)
and covered bonds.

The ratings on the covered bonds reflect our expectation of timely payment of
interest and ultimate repayment of principal by the final maturity date of the
covered bonds.

As of March 31, 2012, the key characteristics of the combined residential
mortgage books of the three entities were:

Classification of ALMM mismatch High
Program categorization 1
Maximum potential rating BBB+
Current available credit enhancement (%) 223.57
Target credit enhancement commensurate with
the highest credit rating (%) 92.94
Note that we calculate the current credit enhancement as (assets /liabilities.
ALMM--Asset-liability mismatch.

LIABILITIES MATURITY PROFILE

Year Percentage of covered
bonds outstanding

2012 4.56
2013 21.23
2014 12.25
2015 22.79
2016 17.54
2017 14.34
2018 1.12
2019 1.50
2020 0.37
2022 2.17
2025 0.88
2031 1.10
2048 0.15
TOTAL 100.00

Catalunya Banc's covered bonds weighted-average life is 3.36 years, with the
highest maturity concentration taking place in 2015 (22.79% of the outstanding
notes).

MORTGAGE BOOK CHARACTERISTICS

Residential Mortgage Loan Book

Principal balance (EUR) 16,055,345,092
Total number of loans 200,878
Average loan size (EUR) 79,926
Weighted-average LTV ratio (%) 62.32
Weighted-average seasoning (months) 58
Weighted-average term to maturity (months) 293
Floating-rate loans (%) 99.15
Interest-only loans (%) 0.29
LTV--Loan-to-value.

Nonresidential Mortgage Loan Book

Principal balance (EUR) 14,685,091,928
Total number of loans 26,682
Average loan size (EUR) 550,374
Weighted-average LTV ratio (%) 55.82
Weighted-average seasoning (months) 45
Weighted-average term to maturity (months) 194
Floating-rate loans (%) 99.52
Interest-only loans (%) 3.68
LTV--Loan-to-value.

MORTGAGE LOAN BOOK GEOGRAPHIC DISTRIBUTION (%)

Andalucia 8.34
Aragon 0.64
Asturias 0.04
Balearic Islands 1.21
Basque Country 0.28
Canary Islands 1.07
Cantabria 0.13
Castilla-La Mancha 1.59
Castilla-Leon 0.79
Catalonia 64.24
Extremadura 0.84
Galicia 0.33
La Rioja 0.17
Madrid 9.61
Murcia 2.70
Navarra 0.38
Valencia 7.64
Others 0.00

Catalonia is the region with the highest concentration (64.24%) as the three
saving banks that made up Catalunya Banc were originally from Catalonia.

We assessed the likelihood that the borrowers would default on their mortgage
payments (the foreclosure frequency), and the amount of loss on the subsequent
sale of the property (the loss severity, expressed as a percentage of the
outstanding loan). We determined the total mortgage balance that we assume
will default, and the total amount of this defaulted balance that is not
recovered for the entire residential book, by calculating the weighted-average
foreclosure frequency (WAFF) and the weighted-average loss severity (WALS).

The product of the WAFF and WALS is the net loss that we assume may affect the
portfolio in a 'AAA' scenario. At the 'AAA' level, the WAFF and WALS results
were:

WAFF (%) 50.82
WALS (%) 48.78
Assumed net credit loss (WAFF x WALS) (%) 24.79

Our assessment indicated that this combination of factors, along with the
appraisal of other risk factors, is commensurate with a 'BBB+' rating on
Catalunya Banc's cedulas hipotecarias.

We have placed on CreditWatch developing the assigned 'BBB+' rating on these
covered bonds. This reflects the fact that, all other things remaining equal,
any rating action on the issuer would automatically lead to a corresponding
rating action on the covered bonds issued by Catalunya Banc.

RELATED CRITERIA AND RESEARCH

-- Assessing Asset-Liability Mismatch Risk In Covered Bonds: Revised
Methodology And Assumptions For Target Asset Spreads, April 24, 2012
-- European Structured Finance Scenario And Sensitivity Analysis: The
Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The
Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Principles Of Credit Ratings, Feb. 16, 2011
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology
And Assumptions, June 14, 2011
-- Methodology: Credit Stability Criteria, May 3, 2010
-- Revised Methodology And Assumptions For Assessing Asset-Liability
Mismatch Risk In Covered Bonds, Dec. 16, 2009
-- Use Of CreditWatch And Outlooks, Sept. 14, 2009
-- Methodology And Assumptions: Update To The Cash Flow Criteria For
European RMBS Transactions, Jan. 6, 2009
-- Methodology And Assumptions: Update To The Criteria For Rating Spanish
Residential Mortgage-Backed Securities, Jan. 6, 2009
-- European Legal Criteria For Structured Finance Transactions, Aug. 28,
2008
-- A Listing Of S&P's New Actions Aimed At Strengthening The Ratings
Process, Feb. 7, 2008
-- Revised Framework For Applying Counterparty And Supporting Party
Criteria, May 8, 2007
-- Expanding European Covered Bond Universe Puts Spotlight on Key
Analytics, July 16, 2004
-- Cash Flow Criteria for European RMBS Transactions, Nov. 20, 2003
-- Criteria for Rating Spanish Residential Mortgage-Backed Securities,
March 1, 2002

RATINGS LIST

Rating
Program/ To From
Country: Covered bond type

RATINGS ASSIGNED; ON CREDITWATCH DEVELOPING

Catalunya Banc, S.A. BBB+/Watch Dev

Spain: Mortgage Covered Bonds ("Cedulas Hipotecarias")