Bad debt problems at Spanish banks and cajas, the regional savings and loans institutions, have triggered at least one skipped interest payment on a mortgage-backed bond this week and prompted new warnings of imminent downgrades by credit rating agencies.

Caja Madrid, Spain’s fourth biggest financial institution, on Wednesday confirmed that a deterioration of the underlying mortgages had caused the automatic cancellation of more than €1m ($1.4m) in interest owed to junior holders of mortgage-backed securities issued in 2006 and 2007 by special purpose vehicles.