Fondo de Titulizacion Hipotecaria Hipocat 11

The fifteenth Eur-securitisation from originator Caixa Catalunya ( 11 RMBS, 4 mult-originator
SME deals) who this time return to the market which the underlaying collateral being 13,100
first-lien flexible mortgages granted to purchase a primary residence in Spain. The trans-
action consists of the securitisation of the first drawdown of a mortgage product that is
structured like a line of credit and which is currently Caixa Catalunya’s star product. “Crédito
Total”, offers several advantages to the debtor such as: Potential 100% LTV financing on the
first drawdown; the possibility of withdrawing additional funds as the loan has been amort-
ised below the credit limit; the possibility of enjoying grace periods on both the interest and
the principal (subject to Caixa Catalunya’s approval).

No second-lien products are included in the pool,100% of the portfolio is paid via direct debit,
and 100% of the portfolio is paid on a monthly basis. The average loan size is Eur155,718,
seasoning of 17mnths, with a weighted-average current LTV of 82.9%. AS is the norm,
geographical diversity is very low due to the regional franchise.....Catalonia (70.16%)
dominating the pool; with Madrid (12.59%)the only other region in double figures.

The deal priced keenly, with the AAAs matching the prints of the recent deals for AyT Kutxa,
BBVA RMBS 1 and TDA CAM 8, that being in spite of Hipo's more leveraged pool. In the middle
of the structure, Hipocat-11 priced 4bps through BBVA and 1bp through TDA CAM at the single
-A level. The junior notes priced 4bps tighter than BBVA.


Compare/contrast: Ayt Kutxa Hipotecario-II, BBVA RMBS 1, TDA CAM 8