Eurohypo, the mortgage subsidiary of Deutsche Bank, last week closed a synthetic securitization of residential mortgages. Called Eurohypo 2000-1, the E500 million ($471 million) transaction is split into both floating rate and fixed rate Euro denominated tranches. Deutsche acted as arranger for the deal and brought in Barclays Capital, Hypovereinsbank and Lehman Brothers as co-managers for the class-A notes.

Due to the synthetic structure used, the credit linked notes assume the economic risks of the underlying portfolio - worth just over E500 million - directly from Eurohypo's balance sheet, rather than the assets being transferred into a special purpose vehicle. The underlying portfolio contains over 17,000 first and second tier mortgages originated by Eurohypo to German borrowers, with a loan to value ratio of about 70%.

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