Magazine article American Banker

One Player Noticeably Absent from Citi-Prosper ABS Deal

Magazine article American Banker

One Player Noticeably Absent from Citi-Prosper ABS Deal

Article excerpt

Byline: Allison Bisbey

Moody's Investors Service, which rated Citigroup's previous three securitizations of unsecured consumer loans originated by Prosper Marketplace, is conspicuously missing from the newest offering.

The $278.39 million transaction, Citi Held for Asset Issuance 2016-PM1, is being marketed a month after Moody's put three of Citi's previous deals under review for a potential downgrade, citing higher levels of missed payments on the loans than it had expected.

Instead, the latest deal is being rated by Fitch Ratings, which was also on the previous deal, and by Kroll Bond Rating Agency.

Citi did not immediately return a call seeking comment. Thomas Lemmon, a spokesman for Moody's, would say only that the firm was not asked to rate the latest transaction.

The deal comes as investors in the market for online loans have started to grow anxious about rising delinquencies, increased competition among originators and thinning yields.

The transaction will consist of three tranches of notes: the $212.33 million senior class A notes, which benefit from 33% credit enhancement; the $24.85 million class B notes with 25.1% credit enhancement; and the $41.21 million class C notes with 12% credit enhancement. All of the notes have a final, legal maturity of April 2025.

Compared with Citi's previous securitization of Prosper loans, total credit enhancement is 13.5 percentage points lower on the class A notes and 1.4 percentage points on the class B notes; according to Kroll, this is due to less subordination for each class. …

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