Russia's Gazprombank was roadshowing its second cross-border RMBS last week. On the face of it, not too exciting. But its structure has a tweak from the debut deal, one that should pique the attention of global players across emerging markets.

Now sized at 170.5 million-equivalent ($229 million), the senior tranche is designed to be a mix of euro and ruble notes. How much will be printed in each currency is up to the investor book, industry sources said. Barclays Capital and JSB Gazprombank are the joint leads, and Lehman Brothers a co-manager.

Those who buy in euros can count on a swap provided by Lehman Brothers Special Financing. That hedges the risk rooted in two mismatched elements: the currency difference between the collateral and the paper, and the discrepancy between the fixed rate on the ruble loans and the floating yield on the euro notes.

The portion of the senior tranche - rated A3 by Moody's Investors Service - that ends up in rubles will simply pay a fixed rate, just like three subordinated ruble tranches.

This approach to the senior notes is new to Russia and could signal where international investors stand on rubles vis-a-vis euros when it comes to secured product.

One caveat: domestic investors could buy in as well - and may potentially skew the picture - but the fact that the deal is cross-border and is being roadshowed in Europe indicates foreign investors are the target.

So why should players in other emerging markets, namely LatAm, give a fig about an RMBS halfway across the world?

Well, for starters, the Gazprombank approach hasn't been tried in LatAm, even though the region has a longer history with ABS than Russia.

Evidently though, there are players who'd like to try.

And it wouldn't be much of a leap, given that a) foreign investors have been getting cozier with local currency risk in structured deals from the larger Latin countries, and b) there have already been public deals with multiple tranches in different currencies, like the recent RMBS from Mexico's Su Casita via Credit Suisse.

There's a Mexican RMBS down the road with senior notes whose peso-dollar mix will be shaped by the book, according to one source. One banker said he was looking into doing something similar in Brazil. Both countries have recently been drawing foreign investors directly into domestic currency instruments, whether issued onshore or offshore.

Letting buy-side orders decide the currency denomination of a given instrument is old hat in more established financial markets. Australian banks do it all the time, as do CDOs in the U.S. And even in emerging markets, it's scarcely a shocker. A recent CDO of microfinance credits culled from 21 developing countries, for example, took this route, according to a source familiar with the deal. Led by Morgan Stanley, Blue Orchard 2007-1 ended up pricing in sterling, euros, and dollars.

What sets the Gazprombank deal apart is that currency isn't from a developed country. It's from an emerging market.

So, more and more, next to the options for euros, dollars, pounds or yen, investors might increasingly see ones for rubles, reais and pesos, and taking on straight emerging risk will be as simple as checking a box.

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

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