Bloomberg First Word by Adam Tempkin (April 6, 2016)

Citigroup’s marketplace lending (MPL) CHAI shelf tops PeerIQ’s first-ever MPL securitization issuance league table for 1Q, PeerIQ analyst Wilfred Daye writes in the company’s MPL Securitization Tracker for 1Q 2016.

  • Morgan Stanley and Credit Suisse round out top 3 slots
  • NOTE: PeerIQ is a credit risk analytics firm serving the peer-to-peer lending sector
  • Quarter saw a total of 6 deals issued for par amount of $1.5b, with a smaller issuance in line with a widening in spreads and slowdown in broader ABS mkt
  • Represents 20.5% growth in total issuance to date and 14.6% growth in number of deals
  • “While this remains healthy growth, it reflects a slowdown from previous quarterly volumes”
  • 1Q saw issuance of 15 tranches rated by at least 1 ratings
    agency – the most out of any quarter to date
  • Kroll has entered mkt, rating 3 deals in the quarter
  • Moody’s hasn’t rated a deal since putting several bonds from CHAI shelf on downgrade review in mid Feb.
  • Consumer and student loans fueled MPL growth in the quarter, with consumer P2P loans remaining largest segment at $3.9b vs $3.3b in student loans
  • There were no SME deals in 1Q, and the sector remained
    at $1.5b
  • There were 6 new deals in Q1 2016: SOFI 2016-A, CHAI 2016-
    MF1, AVNT 2016-A, EARN 2016-A, CHAI 2016-PM1, and MPLT 2016-LD1
  • Only Earnest, a student lender, was a first-time issuer
  • Avant issued its first rated securitization (AVNT 2016-A); it had previously issued on unrated transactions
  • Deal was rated by Kroll
  • On Feb. 11, Moody’s put the mezzanine tranches from Citi’s 3 CHAI deals on review for downgrade after observing higher charge-offs and slower prepayment rates than expected
  • Strong relative value:
  • “We find that investors owning the mezzanine bond can earn a higher unlevered return, access liquidity, bear lower administrative costs, enjoy additional investor protections, and protection from expected credit losses as compared to owning the whole loans”
  • Pricing levels observed today are both “remarkable and
  • PeerIQ expects leadership positions on league tables to
  • Morgan Stanley has scaled back size of its fixed income
  • Size of Citi’s recent securitizations of Prosper has
  • There has been increased activity from DB, JPM, and