Securitization

The Federal Reserve Bank of New York's gauge of the 10-year term premium became positive on Monday, after having been negative for most of the past seven years, reflecting steep increases in longer-maturity Treasury yields.

The deal is the eleventh this year for Pagaya AI Debt Selection Trust, and is slated to close by September 29.

Classes A, B, C and D have hard credit enhancement levels of 5.30%, 3.80%, 2.30% and 0.85%, respectively, higher than that of the CHAOT 2022-A.

The sponsor's assets favor software companies, and the deal brings its total CLO assets under management to $2.2 billion.

Purchases of new single-family homes fell 8.7% to a 675,000 annualized pace following an upward revision to July's figures, government data showed Tuesday, marking the largest drop in nearly a year.

The deal will issue two series of notes, which benefit from a reserve account with approximately $1.4 million, representing about 2.0% of the initial bond balance.

Slated to close by September 29, the deal has total initial hard credit enhancement that amounts to 87.7% on the most senior class of notes.

Total hard credit enhancement of 37.45% shore up the class A notes, according to Moody's. In the rest of the deal the classes B, C and D notes benefit from total hard credit enhancement of 33.1%, 23.7% and 13.7%, respectively.

Revenue from agricultural and construction equipment will secure the notes, which get a boost from a spread account and overcollateralization.

Credit enhancement to the class A notes includes a non-declining overcollateralization of 4.75% of the initial adjusted pool balance, and a non-declining reserve fund of 0.25% of the initial adjusted pool balance.

Canada's largest bank last month said it plans to cut as much as 2% of its full-time equivalent staff in the coming quarter after a surge in expenses weighed on third-quarter results.

The OCCU 2023-1 transaction will come to market as a 144a transaction, with higher levels of credit enhancement from yield supplement overcollateralization, initial hard credit enhancement and excess spread.

Subordination increased for the class A and class C notes, to 7.04% and 2.10%, respectively, from 7.00% and 1.50%. Meanwhile subordination decreased on the class B notes to 3.80%, from 4.25%.

CLOs are turning to another type of debt — junk bonds — for the security packages that underpin the investment vehicles that are sold to insurers and pension funds.

Backed by revenue from point-of-sale unsecured consumer loans, the upsized deal also features expandable notes.

The transaction's credit enhancement levels are lower than what was seen on the 2023-A pool, but is still strong, and is still high compared with peer transactions.

With uncertain outlooks surrounding the economy and interests, investment managers looking for safer fixed-income investments are finding underpriced assets.

Tractors make up the vast majority of the vehicles in the pool, 92.5%, while trailers, trucks and buses account for 4.1%, 2.3% and 1.1%, respectively.

The SEC could crimp effective investor communications, while IOSCO seeks feedback on 12 proposed "good practices" when operating in the leveraged loan and CLO markets.

Rating agencies say the A, B, C and D notes have about 29.0%, 23.8%, 17.3% and 14.0% in credit enhancement, respectively, while A, B, and C notes enjoy a 15.9%, 10.6% and 4.0% in subordination.