Australia heats up with Citi’s A$1.2bn RMBS
Citi has kept the red hot Australian RMBS market going with a A$1.2bn ($860m) transaction that priced on September 11. And similar to Commonwealth Bank of Australia’s (CBA) deal this month, Citi too was able to print a much bigger deal than initially planned.
When bookbuilding for Securitized Australian Mortgage Trust (SAMT) 2015-1 started on September 7, Citi conveyed to the market that it was looking to raise just A$500m.
SAMT 2015-1 originally featured a senior A$460m class A floater, a mezzanine A$15m class AB note and a subordinated A$25m class B note.
As is the case for most securitization transactions, pricing was disclosed only for the top portion, with Citi fixing it at 98bp over BBSW.
That, however, was 20bp wider than where the class A note of SAMT 2014-1 had priced, although that was not a surprise given the volatility in global markets in recent months. For example, CBA’s A$2bn Medallion Trust 2015-2, which is one of the most established RMBS series in the country, also had to price wider than its previous iterations.
But the similarities with CBA do not end there as Citi too was able to print a much bigger deal than it initially targeted. The lender ended up raising A$1.2bn from the RMBS with A$1.15bn going into the class A, A$37.5m for class AB and A$62.5m for class B.
Getting a bigger deal done meant more loans had to be used as collateral. Only 1,124 loans were supposed to go into the asset pool, but that eventually increased to 2,814.
The loan’s characteristics, however, remained roughly the same with a weighted average LTV (loan to value) of 67.87%, weighted average seasoning of 27.42 months and average loan size of A$474,658.
Moody’s, in its pre-sale report, had some concerns about the concentration of the portfolio, since close to half of the loans were in New South Wales. The excess concentration is down to the nature of Citi’s distribution network in Australia, and is consistent with the lender’s past Australian RMBS.
The triple-A ( sf )/triple-A ( sf ) rated class A has a weighted average life (WAL) of 2.7 years, while the WAL of the triple-A ( sf ) rated mezzanine tranche is 3.6 years. The class B has a WAL of 6.4 years. All three portions have a legal maturity of January 2047.
Citi was arranger and joint lead manager alongside ANZ, CBA, National Australia Bank (NAB) and Westpac.