Synthetic structures are moving in the promised direction and reached new grounds with the recent launch of the U.K. synthetic CMBS, Eurohypo 2001-1.

The deal, issued in five tranches of floating-rate notes, is expected to total GBP222 million. The transaction uses a synthetic, direct credit-linked structure in which the five tranches of FRN are issued under a super senior credit default swap. The underlying mortgage loans remain on the originator's balance sheet and transfers the risks through both the credit-linked notes and the protection highlighted by the credit default swap.

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