Goldman and Citigroup increased the size of the deal to $1.7 billion from $1.5 billion, and adopted a far more conservative structure for it than in July. The deal includes 30% credit enhancement for senior investors--or 50% more than dealers offered and investors accepted in July--meaning more than one-quarter of the issue would have to default before the top holders experience any loss.
Take note: 30% c/e is equal to 25% protection...
74 Loans, $1.74bln
Class Fitch/Mdy/MNSTR Size($mm) WAL(yr) CE% Cum LTV Debt Yield PxGuid $px
A1 AAA(sf)/Aaa(sf)/AAA 90.398 2.30 30.000 41.9% 16.9% S+100a 100
A2 AAA(sf)/Aaa(sf)/AAA 476.574 4.68 30.000 41.9% 16.9% S+175a 101
A3 AAA(sf)/Aaa(sf)/AAA 86.430 7.21 30.000 41.9% 16.9% S+190a 101
A4 AAA(sf)/Aaa(sf)/AAA 568.249 9.55 30.000 41.9% 16.9% S+185a 101
Posts
4 comments:
protection is 30%, unless there's some embedded 5% loss I didn't notice
A1 $90,398
A2 $476,574
A3 $86,430
A4 $568,249
30% AAA $1,221,651
Collat $1,745,216
70%
The implied sarcasm in my voice did not come through in the text, but I think his calculator was broken that day or something...
Final Pricing:
S+90
S+175
S+210
S+170
for 53% retail? Has anyone heard of amazon?
Post a Comment