Consumer ABS

This time, the $98.4 million of underlying collateral was originated by before the financial crisis by Citibank via its former student lending affiliate, the Student Loan Corp.

This marketplace lender's third securitization of the year again features fewer 60-month loans, slightly higher FICOs and lower coupons.

It’s a trend that bears watching, particularly for holders of the riskiest securities issued in subprime auto securitizations, according to S&P Global Ratings.

It's the first time the refinance student lender used this feature to lock in current funding costs, according to Moody's Investors Service.

Loans with terms of more than five years represent around 65% of the pool of collateral, down from 67% and 68% for the two prior transaction - but still higher than exposure in 2017 and 2016 transactions.

The $175 million deal is backed by loans with an average balance of $2,365; fewer of them are "renewal loans" to existing borrowers who qualify to borrow more because of previous on-time payments.

The transaction, Quarzo S.r.l. – Series 2018, is backed by 104,640 accounts with an average outstanding balance of €8,600 and an average interest rate of 9.1%. The loans have original average terms of 61.9 months, with 4.8 months of seasoning.

We are one year deeper into an already extended credit cycle, so it’s even more important to focus on market complacency.

Calling a $149 million transaction and securitizing the notes allows Goal Structured Solutions to benefit from a reduction in spreads since 2016.

Both Kroll and S&P expect losses on collateral in the subprime consumer lender's latest deal to be higher than its 2017 deals; Kroll alone assigned a lower rating to the senior tranche.