BanChile Securitizadora brought the country's largest MBS ever to market Dec. 5. As expected, the spread levels didn't come near local treasuries, even for the AAA' rated eight-year tranche. Nevertheless, results no doubt translate into a healthy arbitrage for the bank (see ASR 12/02, p.1). "We were pleased with the transaction," said Jorge Vial Cruz, CEO of BanChile.
The eight-year piece was delivered to pension funds unscathed, whereas the 18-year tranche appears to have gotten a little scratched up.
BanChile, the securitization arm of major Banco de Chile, priced a 1.5 million inflation-indexed units (UF) (US$35.5 million) eight-year piece at a real rate of 4.4%, 119 basis points over PRC treasuries with the same maturity. The 18-year 1.9 million UF (US$44.8 million) tranche priced at 5.8%, or about 180 basis points over 10-year PRC, according to traders. Standard & Poor's affiliate Feller Rate and Fitch Ratings gave the eight-year AAA' on the national scale, while the 18-year was rated at AA'.
Chilean state-owned BancoEstado originated the assets. Pension funds bought the eight-year and insurance companies went for the 18-year. BancoEstado bought the subordinated tranche sized at 271,000 UF (US$6.4 million).
While the auction for the eight-year went off without a hitch, the word on trading desks is that the longer tranche stumbled. The brokerage arm of originator BancoEstado apparently bought up over 800,000 UF of the 18-year, signaling that there may have been problems, according to market sources. BanChile could not be reached for comment on BancoEstado's participation.
One insurance company official said they were looking for paper more in the ballpark of 220 to 250 basis points above PRC, the current curve for AA.' "It just wasn't attractive for us at 180 basis points," the official said.
In any event, pricing came far below the real 8.91% on the residential mortgage pool backing the deal. And some investors were probably less than generous considering that other housing sector deals are around the bend.
One that emerged very recently is in the hands of Securitizadora Security; the other is a previously reported 2.77 million UF (US$65.6 million) structured by Securitizadora Bice (see ASR 11/25, p. 17), slated for the end of December.
Security is eyeing mid December to place a 1.1 million UF (US$26 million) deal backed by residential housing lease contracts. The fact that investors just gulped down the largest MBS ever - and the housing sector risk that implies - is not pushing Security to postpone. "Our deals have different characteristics, particularly in the structure of the assets," said Eduardo Ramirez, deputy head of operations at Security. He noted that the maturity of the assets tended to be longer, with 682,524 UF worth of outstanding leases bearing maturities of 20 years. The securitization has a 23-year tenor.
A senior piece amounting to 950,000 UF is rated AA' on the national scale by Moody's Investors Service affiliate Humphreys and Feller Rate. A 100,000 UF subordinated "B" tranche is rated BBB' on the national scale.
Inmobiliaria Mapsa is the originator. The average weighted interest rate on the collateral is 10.79% and the outstanding volume on the contracts is 785,654 UF.
