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Westfalishe Hypothekenbank (WestHyp) this week issued a fully unfunded synthetic collateralised bond obligation backed by European MBS.
Arranged by WestLB, it allows WestHyp to transfer the credit risk on a Eu726m mainly residential MBS portfolio, while still receiving coupon and principal payments.
The regulatory led deal frees up its balance sheet by reducing the bond risk weighting from 100% to 20%.
European Dream 2000 offers five credit default swaps beneath a Eu661m super-senior swap. All the tranches...