Finance

Underlying borrowers have accumulated significant amount of home equity in their homes, to a weighted average (WA) original cumulative loan-to-value (CLTV) ratio of 69.5%.

This securitization creates a bridge between the fund finance world and the public asset-backed securities market, a link that's expected to strengthen.

The notes can withstand breakeven default levels of 73.38%, 57.8%, 40.71% and 34.17%, respectively. Those levels surpass the loss multiples of its expected 20.7% in cumulative gross defaults.

Affiliates of real estate company Tishman Speyer and investment firm Henry Crown & Co. are selling $3.4 billion of commercial mortgage-backed securities in a deal that's expected to price Thursday.

The senior tranche will sell a mix of floating and fixed-rate notes, benefiting 22.5% in credit support. The class B notes are covered to a level of 15.0% and the tranche sells all fixed-rate notes.

Consumer credit is deteriorating, but structured credit is well suited to weather the slide.

Further, the assets have a loan-to-value ratio of about 52%, with a cashflow that can withstand large haircuts.

The fund will include asset-based loans such as CLOs.

Analysts peppered CEO Jane Fraser with questions about whether Citigroup, already hit hard by its regulators, could face asset growth restrictions. She said there is "absolutely nothing" in the works that could impact the megabank's businesses.

The note balance can be upsized to $1.2 billion in auto ABS, according to Moody's Ratings, and the pool size can be increased to 26,514 contracts.