Japan's Daiwa Bank recently came to market with its first residential mortgage-backed transaction. Called Maison Capital Corp., the 28.97 billion ($260 million) transaction securitizes a portfolio of mortgages originated by the bank with a residual value of 30.2 billion. Daiwa brought in Nomura Securities to arrange the deal.
The reference pool includes two different types of home loans: normal home loans and refinance loans, where obligors choose to borrow from cheaper private lending institutions than are available from the state housing agencies. The latter make up almost 94% of the total. The weighted average loan-to-value of the 2907 mortgages included is 53.7% - low for a deal of this kind - with seasoning a fraction over 23 months. The majority of loans were originated in the last two years.
Maison was split into five fixed-rate tranches, three of which received triple-A ratings from Standard & Poor's. The 18.1 billion A1 notes, carrying 2.3 year average lives pay a coupon of 1.02%, the 7 billion of A2 notes pay 1.54% with 6.3 year average lives, and the 3 billion A3 notes, which carry 9.1 year average lives, came to market at 1.94%. Interest payments will be on a monthly basis.
Additionally, two junior tranches were structured into the transaction. The 0.5 billion of 10.6 year class-B notes priced at 2.58%, while the 0.37 billion C tranche carry a 3.1% coupon with an average life of 9.1 years.
Credit enhancement of 6.8% for the triple-A rated tranches will come through overcollateralization, liquidity reserve and a 157 million expense reserve.