Securitization

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.

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.

Traders are pricing in roughly 20% odds that the Fed holds rates steady in either November or December.

Sales of airplane leases bundled into bonds have climbed to more than $5 billion this year, from around $1 billion in 2022 and 2023.