ABS Markets Daily - 28 August 2024
Category: ABS Markets
*Europe silent *Liberty seeks interest
Primary
Europe/UK
No activity today so far. The visible European new issue pipeline looks like this:
| Name | Deal type | Originator | Ccy | Size(m) | Arranger | Timing |
| Bumper NL 2024-1 | Auto lease ABS | Axus | EUR | TBD | LeasePlan | Pricing this week |
| RevoCar 2024-2 | Auto loan ABS | Bank11 | EUR | 500 | Unicredit | Pricing this week |
| BBVA Consumer Auto 2024-1 | Auto loan ABS | BBVA | EUR | 1005 | BBVA, SG | Pricing next week |
| Braccan Mortgage Funding 2024-1 | NC RMBS | Foundation Home Loans | GBP | TBD | Lloyds, Natixis | Pricing next week |
| Cars Alliance Auto Loans France V 2024-1 | Auto loan ABS | DIAC | EUR | TBD | CA, SG | Pricing next week |
| FACT Compartment 2024-1 | Auto ABS | Porsche Bank | EUR | 432 | SG | Pricing next week |
| Red & Black Auto Italy Compartment 3 | Auto loan ABS | Fiditalia | EUR | TBD | SG | Pricing next week |
| Tower Bridge Funding 2024-3 | NC RMBS | Belmont Green Finance | GBP | 310 | BNPP, NatWest | Pricing next week |
Australia
The only action today was from SME ABS Liberty Series 2024-1 SME taking indications of interest. Launch and pricing are expected next week with the potential to upsize.
Liberty Series 2024-1 SME
| Class | Size (A$m) | C/E (%) | WAL | IoI | Coupon | Moody's | Availability |
| A1 | 325.00 | 35.00 | 2.50 | 130-135 | 1mBBSW+ | Aaa | Available |
| A2 | 100.00 | 15.00 | 3.70 | 160a | 1mBBSW+ | Aaa | Available |
| B | 25.00 | 10.00 | 3.70 | Call desk | Undisclosed | Aa2 | Available |
| C | 17.50 | 6.50 | 3.70 | Call desk | Undisclosed | A2 | Available |
| D | 7.50 | 5.00 | 3.70 | Call desk | Undisclosed | Baa2 | Available |
| E | 17.50 | 1.50 | 3.70 | Call desk | Undisclosed | Ba2 | Available |
| F | 5.00 | 1.00 | 3.50 | Call desk | Undisclosed | B1 | Subject |
| G | 2.50 | - | 4.00 | Call desk | Undisclosed | NR | Retained |
| Total | 500.00 |
Collateral highlights
A$500,011,392 portfolio of 1,104 first-ranking mortgages to self-managed superannuation funds (SMSF, 74.8%), companies (17.9%) or individuals (7.2%) secured by commercial (52.6%), residential (45.0%) or mixed (2.4%) originated by Liberty Financial. A portion of the portfolio consists of loans extended to borrowers with impaired credit histories (2.6%), or made on an alternative (10.0%) or no documentation (7.8%) basis. WA seasoning: 18.6 months and WA current LTV: 61.9%.
Pricing comparison
The most recent Australian SME ABS was Credabl ABS Trust 2024-1, which priced its class A at plus 145bp last week. Liberty’s last SME deal was Liberty Series 2023-1 SME, which printed its class A1 also at plus 145bp in October last year.
The visible Australian new issue pipeline currently looks like this:
| Name | Deal type | Originator | Size(m) | Arranger | Timing |
| Liberty Series 2024-1 SME | SME ABS | Liberty Financial | 500 | NAB | Pricing next week |
| Puma Series 2019-1 A (refinancing) | Prime RMBS | Macquarie | 462 | Macquarie | Pricing next week |
| Think Tank Resi Trust 2024-2 (mandate) | RMBS | Think Tank | 500 | Westpac | Pricing w/c 9 Sep |
| Metro 2024-1 (mandate) | Auto ABS | Metro Finance | 500 | NAB | Pricing w/c 16 Sep |
See SCI’s International ABS Deal Tracker for more.
Regulatory notices
Pembroke Property Finance 2 – notes payment date calculation
Taurus 2021-2 SP – cleansing notice; consent solicitation memorandum; launch announcement; notice of meetings
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