Rural Hipotecario IX

The second Spanish rmbs transaction to be issued in a week, Rural Hipotecario makes its
annual pilrimage to the securitisation market for its tenth transaction (a mixed CMBS/RMBS
was launched As Rural Hipotecario Global I in Nov 2005), securitising a pool of first-lien
mortgages from 26 regional savings banks, of which 5 are new originators in the Spanish
market (Caja Rural de Canarias, Caja Rural de Casinos, Caixa Rural de Callosa D'En Sarria,
Caixa Rural Galega, Caja Rural San Agustin .. Alamo).

The 18,805 loans have been granted to finance the purchase, building and renovation of
residential homes located in Spain and all the properties have already been constructed. All
of the loans are paid by monthly direct debit, with an average size of Eur99,474. Seasoning
is an impressive 1.68yrs, with a current WA LTV of 66.06%. The top 20 debtors represent
just 0.48% of the portfolio.

However, of some concern may be that 13.39% of the portfolio consists of loans over 80%
LTV, and 15.81% of the portfolio corresponds to second-home properties. Also, over 50%
of the portfolio is concentrated in just two areas, Valencia (33%) and Andalucia (22%).

The deal priced on the back of the Eur5bln BBVA-2 deal which saw pricing of the A1/A2
tranches at +6/+14bps. Rural IX's A1 tranche priced 1bp tighter than BBVA, due largely to
a shorter average life of 0.56yrs vs. 0.97yrs. The Rural A2 tranche priced in line with the
BBVA equivalent. Good demand was seen all the way down the structure with the A1
tranche 1.8x covered, A2 - 2.3x, A3 - pre-placed, B - 1.9x, C - 2.4x, D - 2.9x , with the E
tranche retained.


Compare/contrast: previous Rural Hipotecario deals, BBVA-2