Market sources said Banco Santander Central Hispano brought a roughly 1.4 billion synthetic balance sheet collateralized debt obligation vehicle to market--the first synthetic balance sheet deal using a portfolio of leveraged Spanish loans as collateral. The deal reportedly closed at the end of last month and allows Banco Santander to remove underperforming Spanish corporate loans off its balance sheet. Officials at the bank did not return calls by press time.
Deutsche Bank reportedly priced the notes for the vehicle two weeks ago using credit default swaps for the 1.14 billion super-senior tranche. Other liability tranches included: a AAA, 120 million tranche priced at 30 basis points over LIBOR; a AA, 39.9 million tranche priced at 50 basis points over LIBOR; a 31.5, A tranche priced at 73 basis points over LIBOR; a BBB, 35 million tranche at LIBOR plus 155 basis points; and a BB 6 million tranche priced at LIBOR plus 385 basis points. In addition, Banco Santander reportedly retained the 26 million equity tranche. Officials at Deutsche Bank declined to comment.