Wednesday, September 21, 2011

GSMS 2011-GC5, $1.75bln

As Dow Jones puts it:
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
at

4 comments:

  1. crabsofsteelSeptember 21, 2011 at 6:39 PM

    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%

    ReplyDelete
  2. Dark SpaceSeptember 22, 2011 at 11:13 AM

    The implied sarcasm in my voice did not come through in the text, but I think his calculator was broken that day or something...

    ReplyDelete
  3. Concrete JungleSeptember 22, 2011 at 5:44 PM

    Final Pricing:
    S+90
    S+175
    S+210
    S+170

    ReplyDelete
  4. crabsofsteelSeptember 23, 2011 at 8:19 AM

    for 53% retail? Has anyone heard of amazon?

    ReplyDelete