Dutch life insurer DBV Levensverzekeringsmaatschappij recently made its first entry into the European market with a EURO349.5 million ($288.8 million) mortgage-backed securities deal.

Called Holland Homes MBS 2000-1, the transaction securitizes a portfolio of first and second tier residential mortgage loans originated by DBV. Fortis Bank was brought in to arrange the deal and also acted as lead manager alongside Morgan Stanley Dean Witter.

The underlying portfolio consists of almost 3,200 loans with a total outstanding balance of EURO357.2 million. The weighted average loan-to-value of the pool is 74.1%, which has an average seasoning of 17 months.

Credit enhancement of 6.45% for the senior notes will come from subordination on the junior and mezzanine pieces as well as an initial cash reserve of 1.35%, which could grow to 2% from available excess spread.

Both Fitch and Moody's Investors Service gave a triple-A rating to the EURO334 million senior tranche. It has an average life of 8.7 years and carries a spread of 31 basis points over one month Libor. The EURO11 million mezzanine piece, rated A by Fitch and A2 by Moody's, pays a fixed coupon of 7% with 18.7-year average lives. The EURO4.5 million junior notes, also with 18.7 year average lives, pay a fixed coupon of 8% and were rated BBB by Fitch and Baa2 by Moody's.

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