La Trobe Financial prices A$750 million RMBS transaction

Tuesday, 27 March 2018

Issue name: La Trobe Financial Capital Markets Trust 2018-1
Sponsor: La Trobe Financial
Deal type: residential mortgage-backed securities
Pricing date: 27 March 2018
Settlement date: 12 April 2018
Total deal volume: A$750 million (US$580.5 million)
Arranger: Macquarie Bank
Lead managers: Commonwealth Bank of Australia, HSBC, Macquarie Bank, National Australia Bank, Natixis, Westpac Institutional Bank

Note class: A1S
Tranche volume: A$150 million
Tranche rating: AAA/Aaa
WAL: 0.34 years
Margin to swap: 70bp/1m BBSW
Initial credit support: 30%

Note class: A1L
Tranche volume: A$375 million
Tranche rating: AAA/Aaa
WAL: 2.7 years
Margin to swap: 125bp/1m BBSW
Initial credit support: 30%

Note class: A2
Tranche volume: A$133.5 million
Tranche rating: AAA/Aaa
WAL: 2.7 years
Margin to swap: 165bp/1m BBSW
Initial credit support: 12.2%

Note class: B
Tranche volume: A$30 million
Tranche rating: AA/NR
WAL: 3.7 years
Margin to swap: 200bp/1m BBSW
Initial credit support: 8.2%

Note class: C
Tranche volume: A$23.25 million
Tranche rating: A/NR
WAL: 3.7 years
Margin to swap: 305bp/1m BBSW
Initial credit support: 5.1%

Note class: D
Tranche volume: A$16.5 million
Tranche rating: BBB/NR
WAL: 3.7 years
Margin to swap: 405bp/1m BBSW
Initial credit support: 2.9%

Note class: E
Tranche volume: A$9.75 million
Tranche rating: BB/NR
WAL: 3.7 years
Margin to swap: 605bp/1m BBSW
Initial credit support: 1.6%

Note class: F
Tranche volume: A$6.75 million
Tranche rating: B/NR
WAL: 2.9 years
Margin to swap: 695bp/1m BBSW
Initial credit support: 0.7%

Note class: Equity
Tranche volume: A$5.25 million
Tranche rating: NR/NR
WAL: N/A
Margin to swap: ND
Initial credit support: N/A