Bucking the slowdown in issuance of deals backed by real estate receivables, Mexico's BBVA Bancomer closed the country's largest-ever RMBS on Aug. 8.

The deal, amounting to 1.2 billion inflation indexed units (UDIs) ($475 million), was divided equally into two tranches. The A1 piece, with a duration of 2.5 years, priced at 4.61%. The A2 piece, with a duration of 6.5 years, yielded 5.53%. The legal final was 25 years.

The transaction was the first RMBS from a commercial bank to have the underlying collateral denominated in multiples of the VSM, a minimum wage index. The only other issuer to have done this is government agency Infonavit.

In order to mitigate the mismatch between the VSM denomination of the mortgages and the UDI denomination of the bond, the deal has first-loss mortgage insurance from Genworth that amounts to a 15.4% weighted average coverage. The transaction also has a cushion from excess spread.

Standard & Poor's and Moody's de Mexico rated the transaction triple-A on their respective national scales.

Minimum salaries are adjusted on an annual basis, while the UDI index changes every day in line with inflation. A source close to the Bancomer deal said that more RMBS was expected from the issuer this year. The originator self-led the deal, as it has with past RMBS.

Meanwhile, recent data from July shows it was a dead month in Mexico for deals backed by real estate receivables and for CDOs. But the future flows sector witnessed issuance, taking volumes for the first seven months to nearly Ps22 billion, already surpassing the 2007 total for this segment.

Among the more noteworthy transactions floated last month was a Ps4.4 billion deal collateralizing payment receivables from shipping clients of originator Transportacion Maritima Mexicana. Some 90% of the contracts are with Petroleos Mexicanos or other corporates with a national scale rating of triple-A. With a final legal maturity of 20.5 years, the deal priced with a spread of 219 basis points over TIEE. Fitch Ratings rated it ‘AA(mex)' on the national scale.

(c) 2008 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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