Bluestone launches Sapphire XXIII RMBS deal

Monday, 29 June 2020

On 29 June, Bluestone Group launched its residential mortgage-backed securities (RMBS) deal, Sapphire XXIII 2020-1 Trust. The transaction has capped total volume of A$350 million (US$240.6 million) and may price as early as the day after launch. National Australia Bank is arranger, and joint lead manager alongside Commonwealth Bank of Australia and Macquarie Bank.

Sapphire XXIII 2020-1 Trust indicative price guidance and structure

Tranche	Indicative volume (A$m)	Expected ratings (S/M)	Weighted-average life (no. of years)	Initial credit enhancement (per cent)	Indicative price guidance (bp/1m BBSW)
A1S	70	AAA/Aaa	0.6	30	95-100 area
A1L	175	AAA/Aaa	2.5	30	165-170 area
A2	61.25	AAA/Aaa	2.5	12.5	220 area
B	15.75	AA/NR	3	8	300 area
C	10.5	A/NR	3	5	400 area
D	7	BBB/NR	3	3	525 area
E	2.45	BB/NR	3	2.3	ND
F	3.5	B/NR	1.7	1.3	ND
G1	2.45	NR/NR	3	0.6	ND
G2	2.1	NR/NR	3	N/A	ND

Source: National Australia Bank 29 June 2020