JP Morgan this week launched a Eu1bn mortgage backed securitisation for Caja de Ahorros de Valencia, Castellón y Alicante (Bancaja) with joint leads Bancaja. The notes are secured on a pool of 15,998 mortgages with an average loan-to-value ratio of 69.9%. Some 30% of the loans have a loan-to-value ratio of over 80%, giving the bonds a 100% risk weighting for some investors. Average seasoning is 17.59 months, and the loans are heavily concentrated in Valencia, which contributes 54.6% of the pool.
April 17, 2003