TDA No 28

The originators for this particular TDA securitisation of residential mortgages are Caixa d’Estalvis
de Terrassa and Union de Crédito para la Financiación Mobiliaria e Inmobiliaria EFC, (Credifimo).
Both institutions have been seen in previous securitisations as eithier sole originators or in concert
with others ( Caixa Terrassa eg IM Terrassa MBS 1, TDA 27, TDA 18; Credifimo eg TDA 27, 25,
Ayt Hipotecario Mixto III FTA).

Caixa Terrassa (56% of the overall pool) is the 26th largest savings bank in Spain, and is based in
the town of Terrassa, near Barcelona. The bank's main focus is on retail banking for individuals and
SME loans. Credifimo (44% of the pool) was established in 1983 by BNP Spain and is a specialist
mortgage lender. Initially, it specialised in origination and servicing mortgages booked on BNP Spain’s
balance sheet, but in 1998 it was sold to Caja San Fernando de Sevilla y Jerez (21st-largest savings
bank).

The final portfolio will be selected from a provisional portfolio of 4,586 mortgage loans originated by
the sellers in the normal course of their business. All of the loans will be first- and second-ranking
mortgages secured by residential properties in Spain. Around 98.7% of the pool is linked to first
homes, with the remaining 1.3% to second homes. The average loan size is Eur112,000 and
Catalonia and Andalusia are the regions with the highest concentrations, accounting for 57.5% &
21% of the pool respectively (Madrid 15.3%). It is worth noting that at closing, loans up to 30 days in
arrears will account for 3.8% of the total pool. Average seasoning is 23mnths, with a current LTV
of 66.2%.

The negative press & sentiment surrounding the Spanish real estate market created a challenging
market environment for this deal. This resulted in the AAA notes came in at the high end price talk
of 20a, although the A/BBB notes managed to come in line with guidance of 42a/80a. The AA and
BB notes laboured to match guidance of 27a and 225a respectively. The +21bps print (on the AAA)
is 4bps wider than the class A2 notes in Bancaja 11, even though the underlying pool in Bancaja 11
was more leveraged (LTV: 75.84%), allbeit with a shorter average life (wal:4.48yrs).


Compare/contrast: Bancaja 11, IM Terrassa MBS 1, TDA 27,
Bancaja 11 IM Terrassa MBS 1 TDA No. 27