MBS Bancaja 4 FTA

Coming almost 1yr after their last transaction (docs for all previous transactions also available on
EuroABS), Bancaja brings to market another combined residential (91% of pool, although 80.3% of
the pool are second homes) and commercial loan securitisation. Bancaja is the third-largest savings
bank in Spain by assets, with total assets of Eur71.9bln at the end of June 2006. The bank has a
strong presence in its home market,the Valencia region, where it held a 30% market share in deposits
and 23% in lending in 2005... which is reflected in the regional concentration seen in all the transact-
ions.

The collateral consists of 18,961 loans granted to individuals secured by a first-lien mortgage guar-
antee. All the loans been originated by Bancaja in its normal course of business, and comply with
the following criteria: all the loans have been formalised under public deed; all the mortgaged prop-
erties are fully developed; 100% of the principal of the loans has been drawn; obligors are comm-
itted to sign an insurance contract for the mortgaged property; the pool will not include loans granted
to real estate developers or lease contracts.

The deal features weighted-average seasoning of 1.21yrs, and a current LTV of 61.0%. Average
loan size is Eur113,000. Geographically, as expected, the Valencia region dominiates the pool (46.5%
of total), with the next regional concentration being Catalonia (10.3%).

The +15bps pricing level on the class A2 notes came in line with guidance (15a), being 1bp wider than
the recent Spanish pure RMBS deals such as BBVA RMBS 2 (wal:4.8yrs), Rural Hipotecario IX wal:
4.25yrs) and FTA Santander Hipotecario 3 (wal:5.07yrs). Given the presence of loans on second
homes coupled with a commercial loan component, this is perhaps not a surprising result. However the
class A2 notes were 1.5x subscribed with demand coming mainly from investors in the UK, Ireland,
Germany,France and Spain. With the recent concerns over the Spanish property market to the front of
investors minds, further down the capital structure the class B/C/D notes were hard pushed to match
their guidance of 19-20/30a/50-55bps.


Compare/contrast: MBS Bancaja 3, IM Terrassa MBS 1, BBVA RMBS 2