Madrid RMBS II FTA

A bit little London buses .... you never see them or they all come at once, and after their
inaugural stand-alone RMBS transaction of last month, Caja Madrid's second RMBS follows
straight on from the Madrid RMBS I.

The collateral is of a very similar nature, of 11.152 loans wfor the purposes of purchasing,
refurbishing & refinancing residential property. Seasoning is just shy of 20mnths, with an
initial LTV of 96.49%(high compared to most Spanish RMBS deals ), and an average loan size
of Eur186,000. The non-geographical diversify expected from a regional Spanish bank is clearly
visible, with Madrid accounting for 67% of the loans, and Catalonia for 12%.

The A1 and A2 notes were 1x and 2x covered and easily hit guidance of 8a and 15a respectively.
There was very little difference in the average cost of funding across the AAA notes for Madrid
RMBS II and Madrid RMBS I (13.88bps vs 13.44bps) for similar weighted average lives (4.05yrs vs
4.12yrs). The class A1 and A2 notes were publicly offered and placed with the main buyers coming
from Spain, UK and France.


Compare/contrast: Madrid RMBS I, IM Caja Laboral I, Valencia Hipotecario 3 Ftda