Citi offers to pay up on new Prosper loan ABS

27 Mar, 2016

Citigroup is making a big push to attract buyers to its latest Prosper Marketplace loan securitization by dangling juicy spreads in front of investors. Talk on its US $278.385m bond emerged on Monday some 100bp-200bp above what a similar Prosper deal from Citi paid investors in December, according to two investors and IFR data.
Citi pitched its new 0.97-year A-/A rated class at a low-to-high 300bp over EDSF, the investors said, while similar bonds sold by Citi in December paid 190bp. Investors were being enticed with some 150bp-200bp more on the new deal's BBB/BBB and BB-/B classes compared to Citi's prior deal.
Talk on the new tranches emerged in the mid-to-high 500bp and 800bp range, investors said, whereas Citi priced its prior classes at 350bp and 600bp over interpolated swaps. The latest securitization comes just a month after Moody's Investors Service warned Citi that it may downgrade Ba3 rated classes of its three prior Prosper loans securitizations. Moody's issued the warning after it found a noticeable uptick in deliquencies and charge-offs in Prosper loans just six months after Citi first sold a rated Prosper ABS. The findings also prompted Moody's to increase its loss estimates on those deals to 12% from the 8%-8.5%. Moody's was not hired to rate the new Prosper ABS deal. But Kroll Rating Agency said in its presale that it expected loss of 9.5%-11.5%.

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