Madrid RMBS III FTA

The third issue in the Madrid RMBS series sees originator Caja Madrid return to the market with a
Eur3bln static pool of first-ranking residential mortgage loans, a transaction very similar to the earlier
two deals. Caja Madrid has significant experience as a mortgage lender, and although its core
activities are deposit-taking and mortgage and corporate lending, at the end of 2005, residential
mortgages formed 51.0% of its book.

The collateral consists of 17,733 mortgage loans, with all mortgages having been originated in the
normal course of business, and all are at a variable rate. None of the mortgage loans will be more
than 30 days in arrears at closing. The pool comprises of loans granted to individuals with little or no
equity. The original loan-to-value therefore ranges between 83.1% and 110%. The average loan size
is Eur185,428 and 56.2% of the loans in the portfolio are from Madrid (21.4% in Catalonia). All loans
are serviced monthly by direct debit, but no data was provided regarding the type of employment as
per the obligors. Average seasoning is 21mnths.


Compare/contrast: Madrid RMBS II, AyT Genova Hipotecaria X, TDA CAM 9,




Madrid RMBS II FTAAyT Genova Hipotecaria XTDA CAM 9