* Fund to skip 1.2 million euros bond payments
* Deferral due to rising defaults on mortgage-backed debt
* Tranches held by Caja Madrid, does not affect investors
* First deferral on Spanish residential real-estate debt
(Confirms previous El Mundo newspaper report, adds comments from spokesman, analysts)
MADRID, May 21 (Reuters) - A mortgage securitisation fund partly originated by Spain's second-largest savings bank Caja Madrid will miss some interest payments on bonds due to rising home-loan defaults, sources familiar with the matter said on Thursday.
The Madrid RMBS II and III bonds will skip 1.2 million euros ($1.65 million) in interest payments this week on three tranches of junior debt after defaults on underlying mortgages reached cut-off levels, the sources said.
The bonds are the first residential real-estate backed securities (RMBS) in Spain to breach interest deferral triggers as spiralling unemployment sends homeowners into arrears on mortgages, according to private sector analysts.
A spokesman for Caja Madrid, which was one of a group of banks involved in the fund, said the savings bank was actually holding the bonds itself and they had not placed them with investors.
"In the event the payment of interests is missed, this would only affect Caja Madrid because the junior tranche was not placed with any investors," a spokesman for Caja Madrid said.
Homeowners in Spain are defaulting on mortgages after unemployment rose to 17.4 percent in the first quarter, by far the highest rate in the European Union.
Moody's put 36 Spanish banks, including Caja Madrid, on review for possible downgrade on Tuesday, saying it expected further deterioration in their asset quality. The ratings company said on Wednesday that it would review public-sector and multi-user Spanish covered bond ratings for possible downgrades.
The default rate on mortgages contained in the higher-risk junior tranches of the three tranches of RMBS debt, whose trustee is Titulizacion de Activos SGFT, exceeded 8 percent, one source familiar with the matter said.
The Caja Madrid RMBS bonds define default as 6 months in arrears on payment, whereas those of other institutions define it as 12 months without payment, said debt analyst Rui Pereira at Fitch Ratings in Madrid.
"Can this happen in other transactions? Absolutely, if the economy continues to weaken and performance trends as it has been, its possible, but it's going to take some time," said Pereira, managing director and head of structured finance at Fitch.
The European Commission forecasts Spanish unemployment will rise to 20.5 percent next year and Spain will be the last member of the 27-member EU to exit recession, probably in 2011.
Caja Madrid's bad loans rose to 5.6 percent of total lending at end-March, up from 4.87 percent end-December.
The savings bank's chairman Miguel Blesa warned in February that against a background of soaring unemployment, "significant increases in bad loans" are likely.
The savings banks have also been more exposed than retail banks to Spain's property sector which is now in a deep slowdown after a decade-long boom. (Reporting by Andrew Hay and Judy Macinnes; additional reporting by Jesus Aguado; editing by Elaine Hardcastle)