Germany's Deutsche Genossenschafts Hypothekenbank (DG Bank) came to market recently with an EURO1 billion ($830 million) mortgage-backed deal. The transaction, called Bauhaus Securities Limited, securitizes over 53,000 loans from DG bank's own portfolio, and the notes are secured by public sector Pfandbriefe issued by the bank. DG arranged the deal and also acted as lead manager.

The mortgages are spread throughout Germany, with no particular concentration in any one area. The total balance of the loans is just over EURO1 billion, with a 60% loan-to-market-value and an average seasoning of 47 months.

The transaction was split into four publicly issued floating-rate tranches and one tranche (D) used as credit enhancement. It includes two sets of class A notes, both rated AAA by Standard & Poor's and Fitch, with the 0.83-year average life EURO194.5 million A1 notes pricing at 19 basis points over three month Euribor and the EURO707.5 million of 5.77- year A2 notes coming in at 32 over.

The EURO63.25 million class B notes, rated single-A by both agencies, carry 13.46-year average lives and priced at 69 over, while the spread on the EURO18.75 million C tranche, rated triple B, is 110 over with 13.5 year average lives.

Credit enhancement comes solely from subordination on the Class B and C notes.

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