Polaris does first CBO transaction

Polaris Securities closes $375 million deal

Polaris Securities closed its first collateralised bond obligation (CBO) deal in Taiwan, worth NT$12.2 billion ($375 million).

The transaction comprises the issue of seven classes of trust certificates via a special-purpose trust. The five most senior classes, all due in 2013, are rated from AAA to BBB by Taiwan Ratings Corp.

The underlying asset pool comprises 19 Taiwan dollar-denominated notes, nine Taiwan dollar fixed-rate bonds and has a US dollar synthetic credit pool referenced to the Dow Jones CDX NA IG Series 5, a portfolio of credit default swaps of the most liquid investment-grade entities in North America.

The AAA-rated Class A1 notes worth NT$7.15 billion with an expected average life of 2.43 years pay a coupon of 2.08% a year. The Class A2 notes, also rated AAA, worth NT$1.785 billion with expected average life of 4.83 years, pay 2.3% a year. The AA-rated Class B notes worth NT$1.08 billion with average life of 4.83 years pay 2.32%; the A-rated notes Class C notes worth NT$1.09 billion with expected average life of 4.83 years pay 2.35%; and the BBB-rated Class D notes worth NT$570 million with expected average life of 4.83 years pay 2.45%. The issue also included seller certificates worth NT$50 million and subordinated certificates worth NT$550 million.

Brad Levitt, group head of capital markets at Standard Chartered - the financial adviser, lead manager and hedging provider for the deal - said: "Our asset securitisation, debt capital markets, credit trading and structuring and other capital markets teams tailor-made this CBO to meet Polaris' special needs and the demands of local investors as well."

Polaris was the arranger and originator and Bank of Overseas Chinese was the co-originator.