BTA Ipoteka (BTAI), a wholly-owned unit of Kazakhstan's Bank TuranAlem, went on roadshow last week with the country's first public RMBS. Led by ABN AMRO, the deal comes off a warehousing facility funded by one of the arranger's conduits. (ASR, 2/27/06). Pricing is timed for the end of March, according to a source familiar with the transaction.

As it stands, the deal is split into three tranches, all with 22-year legal finals. A $130.5 million A tranche is rated A-' and A3' by Fitch Ratings and Moody's Investors Service, respectively; a $12 million B piece is rated BBB' and Baa2'; and a $7.5 million C piece is rated BB' and Ba2', according to the source.

The roadshow visited European capitals last week and was scheduled to hit Asia this week. Potentially diminished appetite for emerging market risk in the wake of last week's financial turbulence was unlikely to hurt the prospects of BTAI's RMBS, given the first-time nature of the transaction, the source said.

As a debut from Kazakhstan, the transaction has as its nearest comparable a deal from Russia, Vneshtorgbank's (VTB) RMBS issued in July 2006. Moody's rated VTB's deal A1' but Fitch gave it BBB+' on issuance, upgrading it to A-' a month later.

Interestingly, each VTB and BTAI secured an enhancement from a World Bank agency for its RMBS, but the enhancements impact the deals differently. In VTB's transaction, a liquidity facility provided by the International Finance Corp. (IFC) helped the deal exceed Russia's sovereign rating on Moody's scale. But in BTAI's deal a political risk insurance policy from the Multilateral Investment Guarantee Agency (MIGA) did not give the transaction an over-the-sovereign boost. Rated A3', the deal's senior notes sit below Kazakhstan's foreign currency ceiling of A2'.

MIGA's political risk insurance (PRI) policy covers liquidity shortfalls in the event that payments received from the borrowers may not be exchanged into U.S. dollars due to government-imposed restrictions that trigger a transfer and convertibility event. The IFC's facility essentially mitigates the same risk, though it operates differently.

ABN also provided a liquidity facility for the BTAI transaction, which starts at 5% and amortizes down to a floor of 3%. Halyk Bank is the backup servicer for the deal.

At the Dec. 29 cut-off date, the underlying pool consisted of 7,890 mortgages, with a weighted average current loan-to-value of 60.5%, according to a Moody's report. Slightly over half the properties linked to the collateral are found in the area of Almaty, Kazakhstan's capital. The loans are indexed to dollars, but many borrowers earn at least part of their salary in tenge, the local currency. That creates some currency risk, with default rates possibly climbing if the dollar were to strengthen against the tenge.

Bank TuranAlem is the second largest bank in Kazakhstan as measured by assets, loans and deposits, and the largest in terms of capital. The bank has over 35,000 clients, including 25,000 corporates and 10,000 individual customers.

Yapi prices

Elsewhere in the region, Turkey's Yapi ve Kredi placed a euro/dollar bond backed by diversified payment rights last week, achieving the tightest pricing ever for a wrapped Turkish deal. An eight-year final 115 million tranche insured by FGIC yielded 18 basis points over three-month Euribor, while a $250 million tranche wrapped by XLCA priced at 19 basis points. Standard Chartered and HVB led the transaction, which followed on the heels of a roughly $1.2 billion DPR transaction in December.

Moody's Investors Service and Standard & Poor's rated both tranches of the most recent deal triple-A. Both chunks priced a few basis points tighter than the triple-A tranches of the previous transaction, Yapi's first DPR deal. Pared down supply in the European market helped trim the spread on the Reg S paper, said a source close to the deal. "[December] was a particularly busy time in the market, with 60-odd deals," he said. The more recent transaction also attracted a couple of new buyers, with the book consisting entirely of structured finance investors, the source said.

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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