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Deals - Europe: ABN Becomes King of the Castle

Dutch mortgage lender Bouwfonds Hypotheken, a subsidiary of ABN Amro, last week launched an MBS deal that was underwritten and managed by its parent company. Called Castle 1, the E200 million ($188 million) deal is backed by of a pool of around 5,700 loans with an average loan-to-value ratio of 67%. The mortgages were sold by Bouwfonds through brokers and insurance companies. Stater was brought in as servicer.

The deal employs a simple pass through structure. Credit enhancement of 5.5% for the senior A notes comes from subordination on the two junior tranches, excess spread and a reserve fund that will amount to 0.6% of the notes at closing. The B notes are protected by subordination on the C notes, which in turn are protected by the fund and excess spread.

The E189 million A tranche - rated AAA by Fitch and Standard & Poor's - carry 4.1-year average lives and priced at 26 basis points over three-month Euribor. Both the E8 million B notes and the E3 million C tranche have 6.1-year average lives. The B notes - rated AA by both agencies - priced at 45 basis points over Euribor and the spread on the A-rated C tranches was 75 over.

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