Please Note
We brought you to this page based on your search query. If this isn't what you are looking for, you can continue to Search Results for ""
The maximum number of items you can export is 3,000. Please reduce your list by using the filtering tool to the left.
Close
Close
Email Research
Recipient email addresses will not be used in mailing lists or redistributed.
Recipient's
Email

Use semicolon to separate each address, limit to 20 addresses.
Enter the
characters you see
Close
Email Research
Thank you for your interest in sharing Moody's Research. You have reached the daily limit of Research email sharings.
Close
Thank you!
You have successfully sent the research.
Please note: some research requires a paid subscription in order to access.
Rating Action:

Moody's confirms ratings on marketplace lending ABS issued by Citi Held for Asset Issuance

Global Credit Research - 14 Jul 2016

Approximately $165 million securities affected

New York, July 14, 2016 -- Moody's Investors Service has confirmed the ratings of the Class C Notes issued by Citi Held for Asset Issuance (CHAI) 2015-PM1, 2015-PM2, and 2015-PM3. These transactions are backed by pools of unsecured consumer installment loans originated by Prosper Funding LLC's partner bank, WebBank, a Utah state-chartered industrial bank, and serviced through the online platform that Prosper operates. Prosper is the servicer of the loans in the three CHAI transactions' collateral pools. Citibank N.A. (counterparty risk assessment A1(cr)) acts as back-up servicer.

The complete rating actions are as follows:

Issuer: Citi Held For Asset Issuance 2015-PM1

Class C Notes, Confirmed at Ba3 (sf); previously on Feb 11, 2016 Ba3 (sf) Placed Under Review for Possible Downgrade

Issuer: Citi Held For Asset Issuance 2015-PM2

Class C Notes, Confirmed at Ba3 (sf); previously on Feb 11, 2016 Ba3 (sf) Placed Under Review for Possible Downgrade

Issuer: Citi Held For Asset Issuance 2015-PM3

Class C Notes, Confirmed at Ba3 (sf); previously on Feb 11, 2016 Ba3 (sf) Placed Under Review for Possible Downgrade

RATINGS RATIONALE

Moody's has confirmed the ratings on the Class C Notes in each of the transactions because the structural features of the transactions and available credit enhancement offset the increased expected losses and the volatility of the losses under various stress scenarios. Furthermore, the absence of substantial deterioration in the loans in Prosper's origination portfolio and the loans backing the deals as they continue to season, relative to Moody's 12% expected lifetime losses, reduces the likelihood of extreme underperformance of the collateral during its shorter remaining life, reducing the volatility around our loss expectations. Thus, the available credit enhancement coupled with Moody's upwardly revised expected lifetime losses results in an unchanged rating.

Moody's revised upward its expected lifetime losses for the collateral pools backing these transactions to 12% on February 11, 2016. These expectations translate to 13.1% in expected losses as a percentage of the remaining pool balances for CHAI 2015-PM1, 13.9% for 2015-PM2 and 14% for 2015-PM3, as of the June 15, 2016 distribution date for each transaction. The three CHAI transactions are backed by collateral with similar characteristics.

Moody's expected lifetime losses for the pools backing the transactions are based largely on the historical performance of Prosper's origination portfolio, including the securitized pools backing the three CHAI transactions and another Moody's-rated transaction backed by Prosper collateral. In order to calculate expected lifetime losses, Moody's projected cash flows using default and prepayment rates derived from average rates on Prosper's 2012-2015 vintage loans, as well as scheduled amortization. Moody's projected these cash flows separately for 36-month and 60-month loans, and also considered loan seasoning in its computations, in order to arrive at the loss expectations.

Moody's also reviewed trajectories of the cumulative net loss curves for Prosper's 2012-2015 vintage collateral pools. Moody's 12% expected lifetime losses for the three transactions take into account some potential volatility in future losses and are likely to slightly exceed the cumulative losses on Prosper's origination portfolio for 2013 and subsequent vintages based on their performance to date. The 2012 vintage loans performed worse than subsequent vintages that were originated under a new credit risk model that Prosper introduced at the end of 2012.

In its analysis, Moody's also considered a number of scenarios, including stress scenarios, based on historical prepayment and default performance, using Prosper origination portfolio data by vintage, ranging from 2012-2015. Specifically, in the most stressful scenario that Moody's tested, Moody's considered the maximum default rates and the minimum prepayment rates of loans (by seasoning) originated on Prosper's platform across vintages starting in 2012. Moody's also considered scenarios that excluded 2012 performance data because more recent vintages have performed better to date. This scenario analysis resulted in expected lifetime losses ranging from roughly 11% to stress scenario losses as high as 19% of the original pool balances.

The transactions benefit from structural features such as over-collateralization, a reserve fund and excess spread. As of the June 15, 2016 distribution date, the Class C Notes of the transactions have 16.3%, 16.2%, and 17.1% credit enhancement, respectively, from over-collateralization and from their reserve funds. In addition, the three transactions have annualized excess spread of approximately 9% each (calculated based on interest collections net of fees, expenses, and interest distributions on bonds). The transactions also have over-collateralization targets of 15.5%, 15.5%, and 16.5% of outstanding pool balance, respectively, which they have all reached, and all have over-collateralization target floors of 2% of original pool balance. In addition, if realized pool losses result in a transaction breaching its trigger curve, the cash flow allocation of the bonds will change to full sequential payment instead of sequential payment only up to an over-collateralization target.

The credit enhancement available to the Class C Notes from over-collateralization and reserve accounts provides roughly 1.2 times coverage of our expected losses; with the addition of excess spread, coverage approaches 2 times expected losses. In addition, the total credit enhancement is generally sufficient to prevent losses to the Class C notes in the variety of stress scenarios described above, although the Class C Note ratings could be downgraded in some of these scenarios.

Moody's also considered several scenarios based on the 12% expected losses while varying the amount of enhancement from excess spread, including several stress scenarios. The results of these scenarios runs were generally consistent with the Ba3 (sf) ratings on the Class C Notes. Moody's further considered an indicative breakeven scenario for the CHAI 2015-PM1 Class C Notes with back-ended losses.

As of the June 15, 2016 distribution date, losses on the CHAI 2015-PM1, 2015-PM2 and 2015-PM3 pools have reached 3.6%, 1.5% and 0.5%, respectively, of the original pool balances, and delinquencies greater than 60 days are at 1.9%, 1.3% and 1% of the outstanding pool balances. A chart of CHAI 2015-PM1, 2015-PM2 and 2015-PM3 cumulative net losses as well as projected charge-offs that are pending from the transactions' delinquency pipelines can be found here:

https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1035076

The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in September 2015. Please see the Ratings Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of ratings:

Up

Levels of credit protection that are higher than necessary to offset current expectations of loss could drive the ratings up. Losses could decline below Moody's expectations as a result of a lower than expected cumulative charge-offs.

Down

Levels of credit protection that are lower than necessary to offset current expectations of loss could drive the ratings down. Losses could increase above Moody's expectations as a result of higher than expected cumulative charge-offs. Adverse regulatory and legal risks, specifically legal issues stemming from the origination model and whether interest rates charged on some loans could violate usury laws, could also move the ratings down.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Jayesh Joseph
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Amelia (Amy) Tobey
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Herve-Pierre Beauchesne
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's confirms ratings on marketplace lending ABS issued by Citi Held for Asset Issuance
No Related Data.
© 2017 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS AND INAPPROPRIATE FOR RETAIL INVESTORS TO USE MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS WHEN MAKING AN INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER.

ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT.

All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s publications.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S.

To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER.

Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors. It would be reckless and inappropriate for retail investors to use MOODY’S credit ratings or publications when making an investment decision. If in doubt you should contact your financial or other professional adviser.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for appraisal and rating services rendered by it fees ranging from JPY200,000 to approximately JPY350,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.