Credit enhancement on the decline in marketplace loan ABS deals

Credit enhancement levels have been shrinking meaningfully in ‘A’ rated notes of frequent marketplace loan ABS issuers since 2017, according to Fitch Ratings research published this week.

  • By Jennifer Kang
  • 17 May 2019

The decline suggests investors involved in the more recently issued transactions are less protected from the same amount of asset risk as had been issued in previous deals, according to the rating agency.

What could warrant such a reduction in enhancement would be improved collateral quality or better loan ...

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Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 BNP Paribas 5,997 17 15.40
2 Citi 4,679 16 12.02
3 Lloyds Bank 3,158 6 8.11
4 Bank of America Merrill Lynch (BAML) 3,104 10 7.97
5 Morgan Stanley 3,066 8 7.88

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1 Citi 69,085.90 230 10.50%
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3 Wells Fargo Securities 50,770.30 154 7.72%
4 Bank of America Merrill Lynch 50,413.91 166 7.66%
5 Credit Suisse 45,852.68 144 6.97%