Columbus Capital prices A$500 million RMBS transaction

Monday, 13 November 2017

Issue name: Triton 2017-2
Sponsor: Columbus Capital
Deal type: residential mortgage-backed securities
Pricing date: 10 November 2017
Settlement date: 16 November 2017
Total deal volume: A$500 million (US$384.1 million)
Arranger: National Australia Bank
Lead managers: Deutsche Bank, MUFG Securities, National Australia Bank, Westpac Institutional Bank

Note class: A1-a
Tranche volume: A$50 million
Tranche rating: AAA/AAA
WAL: 0.2 years
Margin to swap: 70bp/1m BBSW
Initial credit support: 15%

Note class: A1-b
Tranche volume: A$375 million
Tranche rating: AAA/AAA
WAL: 3.1 years
Margin to swap: 115bp/1m BBSW
Initial credit support: 15%

Note class: A2
Tranche volume: A$25 million
Tranche rating: AAA/AAA
WAL: 3.1 years
Margin to swap: 130bp/1m BBSW
Initial credit support: 10%

Note class: A3
Tranche volume: A$15 million
Tranche rating: AAA/AAA
WAL: 3.1 years
Margin to swap: 145bp/1m BBSW
Initial credit support: 7%

Note class: AB
Tranche volume: A$18 million
Tranche rating: AAA/AAA
WAL: 4.5 years
Margin to swap: 165bp/1m BBSW
Initial credit support: 3.4%

Note class: B
Tranche volume: A$9 million
Tranche rating: AA/NR
WAL: 4.5 years
Margin to swap: 210bp/1m BBSW
Initial credit support: 1.6%

Note class: C
Tranche volume: A$5.75 million
Tranche rating: A
WAL: 4.5 years
Margin to swap: 285bp/1m BBSW
Initial credit support: 0.45%

Note class: D
Tranche volume: A$1.25 million
Tranche rating: BBB
WAL: 4.1 years
Margin to swap: 390bp/1m BBSW
Initial credit support: 0.2%

Note class: E
Tranche volume: A$1 million
Tranche rating: NR
WAL: 5 years
Margin to swap: ND
Initial credit support: 0%

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