Liberty prices A$450 million SME-backed transaction

Thursday, 09 August 2018

Issue name: Liberty 2018-1 SME Trust
Sponsor: Liberty Financial
Deal type: asset-backed securities
Pricing date: 9 August 2018
Settlement date: 16 August 2018
Total deal volume: A$450 million (US$334 million)
Arranger: Westpac Institutional Bank
Lead manager: Credit Suisse, Westpac Institutional Bank

Note class: A1
Tranche volume: A$270 million
Tranche rating: Aaa
WAL: 2 years
Margin to swap: 145bp/1m BBSW
Initial credit support: 40%

Note class: A2
Tranche volume: A$90 million
Tranche rating: Aaa
WAL: 3.6 years
Margin to swap: 195bp/1m BBSW
Initial credit support: 20%

Note class: B
Tranche volume: A$27 million
Tranche rating: Aa1
WAL: 3.6 years
Margin to swap: 235bp/1m BBSW
Initial credit support: 14%

Note class: C
Tranche volume: A$15.75 million
Tranche rating: Aa3
WAL: 3.6 years
Margin to swap: ND
Initial credit support: 10.5%

Note class: D
Tranche volume: A$13.5 million
Tranche rating: A3
WAL: 3.6 years
Margin to swap: ND
Initial credit support: 7.5%

Note class: E
Tranche volume: A$11.25 million
Tranche rating: Baa3
WAL: 3.6 years
Margin to swap: ND
Initial credit support: 5%

Note class: F
Tranche volume: A$9 million
Tranche rating: B1
WAL: 3.6 years
Margin to swap: ND
Initial credit support: 3%

Note class: G
Tranche volume: A$13.5 million
Tranche rating: NR
WAL: 4 years
Margin to swap: ND
Initial credit support: N/A