Lusitano Mortgages No. 3 plc
ABN AMRO, Calyon, Lehman Brothers and Espírito Santo Investment were joint lead managers
Lusitano Mortgages No. 3 plc is a €1.2bn securitisation of Portuguese residential mortgages originated by Banco Espírito Santo. Collateral consists of 21,509 prime first and consecutive ranking mortgages secured on Portuguese residential property, and all loans are non-subsidised.
This issue was the third residential mortgage-backed securities (RMBS) transaction and the fifth securitisation under Banco Espírito Santo’s Lusitano programme, and was the first Portuguese RMBS transaction of 2004.
Significantly, the transaction priced at the tightest levels ever seen for a European RMBS across all debt levels, surpassing even UK prime RMBS (which is often viewed as a pricing benchmark). The judges noted that innovative structural enhancements were included in the transaction, which improved the funding structure despite the loan portfolio being higher risk than the previous two RMBS transactions.
