Sweden's Sveriges Bostadsfinansieringsaktiebolag (SBAB) last week launched its EURO1 billion securitization of first-tier residential mortgages.

The transaction was interesting because as well as three Euro-denominated tranches, SBAB also widened the distribution by offering a small fixed-rate Yen piece. Nomura acted as lead manager on the transaction, with Merrill Lynch and Salomon Smith Barney brought in as co-leads.

The deal was backed by a portfolio of over 28,000 loans secured on single-family properties. The weighted average loan-to-value of the collateral is 46.7% and the loans have an average seasoning of 24 months. Just under half of the mortgages are located in Stockholm.

The EURO775 million A1 tranche - rated triple-A by both Moody's Investors Service and Standard & Poor's - like the other tranches, carries a five-year average life and priced at 25 over three-month Euribor. The 18 billion A2 piece, also rated triple-A, pays a fixed coupon of 1.4%.

The EURO20 mezzanine tranche, rated A2 by Moody's, A by S&P, came in at 60 over three month Euribor and the Baa2/BBB rated B notes carry a spread of 135 over.

Credit enhancement will come from subordination on the junior notes, a 1% cash reserve fund and any excess spread.

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