Finance

The first variable funding note for Pagaya will contain newly originated consumer loans as they attain seasoning and await securitization.

The trust has a loan-to-value ratio of 56.2%, based on the rating agency's net cash flow (NCF) of the assets and a capitalization rate of 6.00%.

Self-employed borrowers account for 40.9% of the pool, but they are high earners and the pool has moderate leverage.

Liability management exercises are driving defaults and complicating recoveries in collateralized loan obligation pools.

Raising $350.2 million in notes, the transaction has borrowers with higher credit quality, though the notes have less excess spread.

Proceeds will allow Abacus to originate more policies and fund general corporate operations. The transaction is also part of Abacus' shift toward recurring, fee-related revenue.

Appraised for $471 million in 2019, a judge last month approved the sale of the complex for $70 million clearing the way for the deal to close in the coming weeks.

Most of FIAOT 2026-2's assets, 69%, were originated through Stellantis' Captive Program, which allows small business owners to purchase commercial vehicles for personal or business use.

The private placement deal was a huge leap in value from its inaugural securitization in October 2024, when it raised $150 million.

The move solidifies the convergence of securitization, and the techniques that make the deals operate, with other financing solutions.

Some current residential mortgages could face higher capital charges, prompting a shift into securitization portfolios.

Non-qualified mortgages account for 23.1% of the series 2026-7 pool, by balance, and 43.4% of the loans in the pool were made to investors for business purposes and are exempt from the Ability-to-Repay rules.

At the end of the draw term, HELOC borrowers have a repayment period ranging from 10 to 30 years, and customers cannot draw on the HELOCs during the repayment period.

Almost all five A1 tranches benefit from credit enhancement levels of 26.10%. The A1A tranche, however, has a credit enhancement level of 36.10%.

The Federal Reserve's vice chair outlined the ongoing modernization efforts for the central bank's lending facility of last resort, including coordination with the Federal Home Loan Banks.

New U.S. ABS sales have surpassed $300 billion for a third straight year, with issuance already 11% higher than it was at this point in 2025. Spreads are the narrowest in more than four years.

The deal's obligor concentrations—its top and top five obligors account for 9.45% and 37.95% of the pool—are reigned in by WEF's focus on mission-critical essential use equipment.

The release of Fannie Mae and Freddie Mac's internal metrics support this process, but other measures will still be needed, according to Bank of America.

Ed Comber, a pioneer in music catalog securitization, also joined the firm as a partner in structured finance and securitization.

GDLP 2026-2 also has lower levels of initial credit enhancement compared to GDLP 2026-1, at 6.12% versus 5.74%; overcollateralization at 23.90% versus 24.92% and total gross excess spread of 5.55% versus 5.98%.