ssh_exchange_identification fails

[Renaud Guerin]

I'm running OpenSSH 1.2.2. with OpenSSL 0.9.4 on Linux 2.2.14 (Mandrake
7.0)
They were recompiled from source RPMS with gcc 2.95.2

When I try to connect to localhost, I get 
SSH Version OpenSSH-1.2.2, protocol version 1.5.
Compiled with SSL.
debug: Reading configuration data /etc/ssh/ssh_config
debug: Applying options for *
debug: ssh_connect: getuid 0 geteuid 0 anon 0
debug: Connecting to localhost [127.0.0.1] port 22.
debug: Allocated local port 662.
debug: Connection established.
ssh_exchange_identification: read: No such file or directory
debug: Calling cleanup 0x80572e8(0x0)

When I try to connect to my remote host, I get
ssh_exchange_identification: read: Success

If this is a FAQ, could you please point me to an URL with the answer ?
Thanks a lot.

(please cc me any answer, I'm not subscribed to this list)