BANCAJA 9 Fondo De Titulización De Activos

BANCAJA 9 Fondo de Titulización de Activos

Brief report

Date: 03/31/2009 Currency: EUR

Issued securities: Residential Mortgages Backed Bonds Date of constitution 02/02/2006 Bonds issue VAT Reg. no. V84593961 Series Issue date Principal outstanding Interest type Interest Rate Redemption Rating ISIN Code Nº bonds (Bond Unit / Series Total / %Factor) Reference rate and margin Next coupon Fitch / Moody´s Management Company Final maturity (legal) Next Payment Date Europea de Titulización, S.G.F.T Current Original Current Original

Originator Series A1 02/07/2006 100,000.00 Floating 06/25/2007 AAA AAA ES0312888003 2,000 200,000,000.00 3-M Euribor+0.010% 06/25/2009 Quarterly "Pass-Through" Aaa Aaa Bancaja 25.Mar/Jun/Sep/Dec 25.Mar/Jun/Sep/Dec Servicer Bancaja Series A2 02/07/2006 66,605.24 100,000.00 Floating 1.6900% 09/25/2043 06/25/2009 AAA AAA ES0312888011 17,000 1,132,289,080.00 1,700,000,000.00 3-M Euribor+0.130% 06/25/2009 Quarterly "Pass-Through" Aaa Aaa Lead Managers 66.61% 25.Mar/Jun/Sep/Dec 287.660631 Gross 25.Mar/Jun/Sep/Dec Secuential / Bancaja 235.881717 Net Pro rata under Barclays Bank certain Calyon circumstances Series B 02/07/2006 100,000.00 100,000.00 Floating 1.8400% 09/25/2043 To be determined A+ A+ Bond Underwriters and Placement ES0312888029 520 52,000,000.00 52,000,000.00 3-M Euribor+0.280% 06/25/2009 Quarterly "Pass-Through" A3 Aa3 Agents 100.00% 25.Mar/Jun/Sep/Dec 470.222222 Gross 25.Mar/Jun/Sep/Dec Pro rata Bancaja 385.582222 Net deferred start / Barclays Bank Secuential Calyon Series C 02/07/2006 100,000.00 100,000.00 Floating 2.1200% 09/25/2043 To be determined BBB BBB+ Dexia Bank ES0312888037 250 25,000,000.00 25,000,000.00 3-M Euribor+0.560% 06/25/2009 Quarterly "Pass-Through" Ba2 Baa1 Fortis Bank 100.00% 25.Mar/Jun/Sep/Dec 541.777778 Gross 25.Mar/Jun/Sep/Dec Pro rata IXIS CIB 444.257778 Net deferred start / Banco Pastor Secuential Banco Sabadell Series D 02/07/2006 100,000.00 100,000.00 Floating 4.0600% 09/25/2043 To be determined BB- BB+ ES0312888045 230 23,000,000.00 23,000,000.00 3-M Euribor+2.500% 06/25/2009 Quarterly "Pass-Through" B3 Ba2 Bond Paying Agent 100.00% 25.Mar/Jun/Sep/Dec 1,037.555556 Gross 25.Mar/Jun/Sep/Dec Pro rata Bancaja 850.795556 Net deferred start / Secuential Market Series E 02/07/2006 100,000.00 100,000.00 Floating 5.5600% 09/25/2043 To be determined CCC- CCC- AIAF Mercado de Renta Fija ES0312888052 226 22,600,000.00 22,600,000.00 3-M Euribor+4.000% 06/25/2009 Quarterly Due to Cash C Caa3 100.00% 25.Mar/Jun/Sep/Dec 1,420.888889 Gross 25.Mar/Jun/Sep/Dec Reserve reduction Register of Book Securities 1,165.128889 Net Iberclear Total 1,254,889,080.00 2,022,600,000.00 Treasury Account Caja de Ahorros y Monte de Piedad de Madrid (Caja Madrid) Estimated average life (in years) and maturity according to different hypothesis of constant prepayment rates (CPR) Start-up Loan Bancaja % Monthly CPR (SMM) 0,69 0,87 1,06 1,25 1,44 1,64 1,84 2,05 Swap % Annual equivalent CPR 8,00 10,00 12,00 14,00 16,00 18,00 20,00 22,00 JPMorgan Chase Series A2 With Average life Years 7.13 6.16 5.39 4.77 4.28 3.88 3.53 3.21 optional Date 08/05/2016 05/23/2015 08/14/2014 12/31/2013 03/07/2013 07/02/2013 03/10/2012 09/06/2012 Assets Custodian redemption * Final Maturity Years 14.51 12.76 11.26 10.01 9.01 8.26 7.51 6.76 Bancaja Date 09/25/2023 12/25/2021 06/25/2020 03/25/2019 03/25/2018 06/25/2017 09/25/2016 12/25/2015 Without Average life Years 7.85 6.90 6.12 5.47 4.93 4.48 4.09 3.75 Fund Auditors optional Date 01/27/2017 02/14/2016 05/05/2015 11/09/2014 02/26/2014 09/13/2013 04/25/2013 12/24/2012 Ernst&Young redemption * Final Maturity Years 31.78 31.78 31.78 31.78 31.78 31.78 31.78 31.78 Date 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 Liquidity Facility A1 Series B With Average life Years 8.66 7.49 6.56 5.80 5.19 4.71 4.28 3.90 JPMorgan Chase SE optional Date 11/18/2017 09/16/2016 10/14/2015 10/01/2015 01/06/2014 09/12/2013 03/07/2013 02/13/2013 redemption * Final Maturity Years 14.51 12.76 11.26 10.01 9.01 8.26 7.51 6.76 Date 09/25/2023 12/25/2021 06/25/2020 03/25/2019 03/25/2018 06/25/2017 09/25/2016 12/25/2015 Without Average life Years 9.56 8.40 7.46 6.67 6.01 5.45 4.97 4.56 optional Date 10/14/2018 08/17/2017 07/09/2016 11/23/2015 03/25/2015 05/09/2014 12/03/2014 10/15/2013 redemption * Final Maturity Years 31.78 31.78 31.78 31.78 31.78 31.78 31.78 31.78 Date 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 Series C With Average life Years 8.66 7.49 6.56 5.80 5.19 4.71 4.28 3.90 optional Date 11/18/2017 09/16/2016 10/14/2015 10/01/2015 01/06/2014 09/12/2013 03/07/2013 02/13/2013 redemption * Final Maturity Years 14.51 12.76 11.26 10.01 9.01 8.26 7.51 6.76 Date 09/25/2023 12/25/2021 06/25/2020 03/25/2019 03/25/2018 06/25/2017 09/25/2016 12/25/2015 Without Average life Years 9.56 8.40 7.46 6.67 6.01 5.45 4.97 4.56 optional Date 10/14/2018 08/17/2017 07/09/2016 11/23/2015 03/25/2015 05/09/2014 12/03/2014 10/15/2013 redemption * Final Maturity Years 31.78 31.78 31.78 31.78 31.78 31.78 31.78 31.78 Date 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 Series D With Average life Years 8.66 7.49 6.56 5.80 5.19 4.71 4.28 3.90 optional Date 11/18/2017 09/16/2016 10/14/2015 10/01/2015 01/06/2014 09/12/2013 03/07/2013 02/13/2013 redemption * Final Maturity Years 14.51 12.76 11.26 10.01 9.01 8.26 7.51 6.76 Date 09/25/2023 12/25/2021 06/25/2020 03/25/2019 03/25/2018 06/25/2017 09/25/2016 12/25/2015 Without Average life Years 9.56 8.40 7.46 6.67 6.01 5.45 4.97 4.56 optional Date 10/14/2018 08/17/2017 07/09/2016 11/23/2015 03/25/2015 05/09/2014 12/03/2014 10/15/2013 redemption * Final Maturity Years 31.78 31.78 31.78 31.78 31.78 31.78 31.78 31.78 Date 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 Series E With Average life Years 9.94 8.73 7.73 6.93 6.31 5.86 5.42 5.00 optional Date 02/03/2019 12/12/2017 12/15/2016 02/27/2016 07/15/2015 01/30/2015 08/24/2014 03/24/2014 redemption * Final Maturity Years 14.51 12.76 11.26 10.01 9.01 8.26 7.51 6.76 Date 09/25/2023 12/25/2021 06/25/2020 03/25/2019 03/25/2018 06/25/2017 09/25/2016 12/25/2015 Without Average life Years 19.11 18.82 18.63 18.49 18.40 18.34 18.31 18.29 optional Date 04/29/2028 01/14/2028 04/11/2027 09/16/2027 08/14/2027 07/24/2027 10/07/2027 03/07/2027 redemption * Final Maturity Years 31.78 31.78 31.78 31.78 31.78 31.78 31.78 31.78 Date 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 12/25/2040 * Optional clean up call when the amount of the outstanding balance of the securitised assets is less than 10 per 100 of the initial outstanding balance. Hypothesis of delinquency and default assumptions of the securitised assets: 0%

Credit enhancement and financial operations

Credit enhancement (CE) Other finantial operations (current)

Current At issue date Assets Balance Interest % CE % CE Treasury Account 21,987,339.95 1.614% Class A 90.23% 1,132,289,080.00 9.61% 93.94% 1,900,000,000.00 6.13% Servicer ppal collect not yet credited 868,040.58 Series A1 0.00% 0.00 9.89% 200,000,000.00 Servicer ints collect not yet credited 242,237.18 Series A2 90.23% 1,132,289,080.00 84.05% 1,700,000,000.00 Series B 4.14% 52,000,000.00 5.39% 2.57% 52,000,000.00 3.53% Liabilities Available Balance Interest Series C 1.99% 25,000,000.00 3.36% 1.24% 25,000,000.00 2.28% Start-up Loan 1,751,928.62 3.560% Series D 1.83% 23,000,000.00 1.49% 1.14% 23,000,000.00 1.13% Liquidity Facility A1 0.00 0.00 Series E 1.80% 22,600,000.00 1.12% 22,600,000.00 Issue of Bonds 1,254,889,080.00 2,022,600,000.00

Reserve Fund 1.49% 18,419,768.01 1.13% 22,600,000.00

Europea de Titulización publishes this report to supplement the information laid down in the Offering Circular for the Bond Issue by this Securitisation Fund. Only the information communicated by Europea de Titulización, in pursuance of the provisions of the Offering Circular, shall be considered for third-party publicity and dissemination purposes. Additional information Europea de Titulización: C/ Lagasca, 120 - 28006 Madrid ( +34 91 411 84 67 Ò +34 91 411 84 68 : www.edt-sg.com * [email protected] Official register CNMV: C/ Miguel Angel, 11 - 28010 Madrid ( +34 91 585 15 00 : www.cnmv.com BANCAJA 9 Fondo de Titulización de Activos

Brief report

Date: 03/31/2009 Currency: EUR

Date of constitution 02/02/2006 Collateral: Residential mortgage loans

VAT Reg. no. V84593961 General LTV Distribution

Management Company Europea de Titulización, S.G.F.T Current At constitution date Current At constitution date % Pool % LTV % Pool % LTV Originator Count 11,093 15,759 Bancaja 0.01 - 10% 0.16 7.22 0.04 8.25 Principal 10.01 - 20% 0.78 15.77 0.27 16.15 Principal outstanding 1,240,785,196.07 2,000,095,452.91 Servicer 20.01 - 30% 2.25 25.66 1.10 25.87 Average loan 111,852.99 126,917.66 Bancaja 30.01 - 40% 4.25 35.49 2.48 35.63 Minimum 0.01 1.62 40.01 - 50% 7.63 45.42 4.95 45.64 Maximum 884,553.75 981,576.54 Lead Managers 50.01 - 60% 10.83 55.55 7.83 55.47 Bancaja Interest rate 60.01 - 70% 18.80 65.37 15.15 65.84 Barclays Bank Weighted average (wac) 5.61% 3.27% 70.01 - 80% 31.41 74.58 35.23 76.52 Calyon Minimum 2.64% 2.30% 80.01 - 90% 13.48 84.79 16.20 84.75 Maximum 7.38% 4.53% 90.01 - 100% 10.41 92.54 16.74 96.18 Bond Underwriters and Placement Final maturity Agents Weighted average (WALTV) 68.49 74.60 Weighted average (WARM) (months) 286 325 Bancaja Minimum 0.00 0.00 Minimum 04/01/2009 12/01/2006 Barclays Bank Maximum 95.83 99.99 Maximum 09/05/2040 09/05/2040 Calyon Dexia Bank Index (principal outstanding distribution) Fortis Bank 1-year EURIBOR/MIBOR 0.08% 0.09% IXIS CIB 1-year EURIBOR/MIBOR (Mortgage Market) 99.92% 99.91% Banco Pastor Banco Sabadell

Bond Paying Agent Bancaja Prepayments Geographic distribution

Market At Current Last 3 Last 6 Last 12 Historical AIAF Mercado de Renta Fija Current constitution month months months months date Register of Book Securities Andalucia 10.68% 10.63% Single month. mort. (SMM) 0.76% 1.17% 0.96% 0.82% 1.07% Iberclear Aragon 0.89% 0.85% Annual Percentage Rate (CPR) 8.73% 13.13% 10.96% 9.36% 12.07% Asturias 0.37% 0.35% Treasury Account Balearic Islands 4.97% 5.35% Caja de Ahorros y Monte de Piedad de Basque Country 1.07% 0.97% Madrid (Caja Madrid) Canary Islands 6.61% 6.29% Cantabria 0.06% 0.06% Start-up Loan Castilla-La Mancha 3.51% 3.87% Bancaja Castilla-Leon 2.91% 2.67% Catalonia 14.03% 14.12% Swap Extremadura 0.24% 0.26% JPMorgan Chase Galicia 1.59% 1.43% La Rioja 0.62% 0.61% Assets Custodian Madrid 11.95% 11.50% Bancaja Murcia 2.80% 2.62% Navarra 1.26% 1.16% Fund Auditors Valencia 36.42% 37.24% Ernst&Young

Liquidity Facility A1 JPMorgan Chase SE Current delinquency

Overdue debt % Total debt Aging Assets Outstanding debt Total debt / Appraisal Value Principal Interest Other Total % %

Delinquencies Up to 1 month 643 104,783.64 200,706.95 0.00 305,490.59 4.54 77,166,923.83 77,472,414.42 35.87 66.58 from > 1 to ≤ 2 months 269 89,930.57 259,219.35 0.00 349,149.92 5.19 33,108,424.64 33,457,574.56 15.49 69.68 from > 2 to ≤ 3 months 177 95,933.48 282,800.19 0.00 378,733.67 5.62 22,072,802.77 22,451,536.44 10.39 72.17 from > 3 to ≤ 6 months 198 149,356.75 527,971.58 0.00 677,328.33 10.06 22,617,093.61 23,294,421.94 10.78 74.87 from > 6 to < 12 months 232 358,250.72 1,247,399.85 0.00 1,605,650.57 23.85 28,383,601.53 29,989,252.10 13.88 77.44 from ≥ 12 to < 18 months 109 256,874.76 991,464.47 0.00 1,248,339.23 18.54 12,865,952.13 14,114,291.36 6.53 79.06 from ≥ 18 to < 24 months 65 172,228.57 797,203.42 0.00 969,431.99 14.40 7,033,813.90 8,003,245.89 3.71 74.39 from ≥ 2 years 52 250,983.03 948,589.97 0.00 1,199,573.00 17.81 6,008,068.72 7,207,641.72 3.34 70.92

Subtotal 1,745 1,478,341.52 5,255,355.78 0.00 6,733,697.30 100.00 209,256,681.13 215,990,378.43 100.00 71.03

Doubt debts (subjectives) 0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Subtotal 0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Total 1,745 1,478,341.52 5,255,355.78 0.00 6,733,697.30 209,256,681.13 215,990,378.43 71.03