Fitch

CBAM Asset Management's $1B CBAM 2017-4 is not its largest deal among the four BSL portfolios it has issued in less than eight months; but the latest transaction is still almost double the average peer CLO deal size of $511 million since the third quarter.

The two prospective pools of loans have nearly identical average FICO scores (769 for the $1 billion pool, 770 for the $1.25 billion) and weight average APR (2.13% and 2.11%, respectively).

That’s an about-face from the bank’s previous transaction, completed in October, which was backed by fixed-rate mortgages, nearly half of which were underwritten to standards for purchase by Fannie Mae or Freddie Mac.

The $785 million transaction, 2017-C41, is backed by a pool of 52 loans with an average balance of just $15.1 million, according to Kroll Bond Rating Agency; retail, hotel and office properties dominate the mix.

Over 80% of collateral for the $2 billion transaction consists of trucks, SUVs and crossovers; the deal is also the largest that the captive finance company has sponsored in the last three years.

For the first time in five years, MassMutual has a second securitization within a calendar year backed by loans and leases to large corporates, including federal government agencies.

Strong legal and structural protections earned the debt top grades from Kroll and Fitch. S&P wasn't as bullish.

The deal, known as Bayview Opportunity Master Fund IVb Trust 2017-RT6, pools 2,745 current loans, of which nearly 58% have been clean for at least two years, and 55.2% have been modified.

Fitch and KBRA have slightly lower estimates for cumulative net losses for 2017-3, allowing the marketplace lender to offer slightly lower credit enhancement on the senior notes; concerns remain about poorly performing legacy loans.

Coping with merging two securitization platforms and the integration of GE Capital's former fleet lease and management business, the Canadian lessor has seen 30-plus and 60-plus delinquencies more than triple.