See GRAPEVINE on Back Page

2 Bidders Lukewarm on CAN Loans

2 Beach Point to Increase Presence

3 Solar-Panel Deal Headed to Market

3 Demand Tepid for Arch PMI

3 LibreMax Introduces Long-Only Fund

4 Rating Hang-Up Delays AT&T Deal

4 UK Program Running Out of Steam

6 Fewer Defaults in CLO Pools

9 CALENDAR

10 INITIAL PRICINGS

11 MARKET MONITOR

Startup collateralized loan obligation issuer Marble Point Credit has lured away GoldenTree Asset Management’s head of leveraged-loan trading. Corey Geis started at the Greenwich, Conn., firm this week. He had joined GoldenTree in 2003, and as a partner supervised seven traders in New York and two in London. Marble Point was launched last year by Thomas Shandell, a GoldenTree founder, with backing from Eagle Point Credit, GreensLedge Capital and Sumitomo Mitsui Banking. The firm accelerated its growth trajectory on Jan. 3, when it bought the rights to manage eight CLOs totaling $3.4 billion from American Capital.

New York insurer Assurant is positioning itself as a collateralized loan obligation issuer. The effort is taking place through

Chrysler Case Complicates Issuance PlansSantander Consumer USA may hold off on a planned securitization of FIAT Chrys-

ler auto leases following accusations from the U.S. Environmental Protection Agency that the carmaker installed illegal emissions software in its vehicles.

For months, Santander has been working on a plan to begin securitizing Chrys-ler leases, building on an already-active securitization program that funds loans to Chrysler carbuyers under its Chrysler Capital label. Santander, Chrysler’s preferred lender since 2013, was expected to price its debut lease-backed offering before the end of the first quarter.

But a source said Santander executives now are talking about postponing the transaction for fear of “headline risk or any potential investor concerns” stem-ming from the government probe. In a Jan. 12 violation notice, the EPA said it was investigating whether software Chrysler installed in 104,000 diesel-powered Ram pickup trucks and Jeep Cherokee sport utility vehicles was designed to evade

See CHRYSLER on Page 9

Nuclear-Plant Shutdown Prompts ABS PlanElectric-power producer Entergy is giving serious thought to selling utility-fee

bonds to help cover the cost of shutting down its Indian Point nuclear plant.Entergy’s treasury department began working on such a plan after the New

Orleans-based company reached an agreement with New York State officials this month to decommission the plant, along the Hudson River in Westchester County. The process is expected to take up to 60 years and cost more than $1 billion.

Entergy already is talking to several banks, including Citigroup and Morgan Stan-ley, about underwriting a bond offering that would likely weigh in around $1 bil-lion. The deal could hit the market before yearend. The company also has reached out to state utility regulators, who would have to approve such a deal.

“Securitization offers the only cost-effective means for paying for a project of this size,” one banker said.

The bonds would be backed by a special fee tacked on to the monthly bills ofSee SHUTDOWN on Page 8

Loan Scarcity Dampening Outlook for CLOsCollateralized loan obligation professionals are fretting over declining yields in

the corporate-debt market.The matter stems largely from a trend in which borrowers have been able to

negotiate lower interest rates on existing loans. Those “repricings” began to build late last year but especially took off in recent weeks, with the Jan. 1-17 total of $49.9 billion already representing the highest total for any full month.

The previous record of $48.6 billion was set in January 2013, according to Loan Commentary and Data, a service run by S&P Global Market Intelligence.

The problem for securitization specialists is that the repricings haven’t been accompanied by a corresponding tightening of spreads among new CLO notes — and thus have reduced or eliminated arbitrage opportunities for would-be issuers of new bonds backed by the renegotiated accounts. The upshot: A recent lag in CLO

See LOAN on Page 6

THE GRAPEVINE

JANUARY 20, 2017

Bidders Lukewarm on CAN LoansInvestors are lowballing CAN Capital as the struggling small-

business lender shops some of its loans.The $100 million offering comes as part of a broader effort in

which CAN has at least considered an outright sale of its busi-ness. Sources said at least two dozen asset managers including Fortress Investment have looked at the portfolio, but so far have submitted offers below the New York operation’s expectations.

The situation stems from CAN’s discovery in November that it mistakenly booked some delinquent loans as current. The error caused the over-collateralization cushions for the compa-ny’s only securitization to fall below required levels, prompting an early unwinding of the deal. It also left the company unable to issue new asset-backed bonds while locking it out of a $600 million warehouse line from a Wells Fargo-led syndicate.

The result was a liquidity shortage that rendered CAN unable to write new loans. The outfit also laid off about half of its staff, while placing chief executive Dan DeMeo and two top aides on indefinite leave.

The hope is that the attempted loan sale would bring in the capital needed to get CAN back on track, possibly by putting it in a position to resume its origination efforts. Should the offer-ing fail, however, the talk is that a complete or partial sale of the company could be unavoidable.

Indeed, The Wall Street Journal reported on Jan. 13 that CAN had hired Realization Services to help negotiate with creditors while engaging Jefferies to pursue “strategic alternatives.”

“CAN Capital is definitely looking to be bought by some-one,” one source said. “They are actively showing the books to a number of investors.”

He added that potential loan buyers are considering larger-scale purchases, in part, because they would want to control servicing of the accounts. “If you buy the loans, you still have company risk because they are servicing the loans. If you buy a bunch of the loans, you need to make sure the servicer doesn’t go away. So you might as well just buy the company,” he said.

That said, the leap from a $100 million loan offering to a sale of CAN’s overall business would be large considering that its total receivables amount to some $800 million. To that end, a source close to the lender insisted it isn’t under immedi-ate pressure to hand over the keys. “They have conversations with folks all the time about the business,” he said. “Someone could make an investment in them or any number of options. I wouldn’t read too much into it.”

As for CAN’s securitization, the deal’s loss of over-collat-eralization reflected a loan writedown that accompanied the

operation’s bookkeeping misstep. The situation prompted a $46 million balloon payment to bondholders in November, fol-lowed by a $20 million installment in December. Another pay-ment will be due soon, in an event that sources characterize as having the potential to bring CAN’s troubles to a head.

The company has remained current on its obligations, how-ever, and recently increased the transaction’s over-collateral-ization level from some $400,000 to $1.6 million. It’s unclear if that is more than the required amount. S&P and DBRS are reviewing the bonds for possible downgrades.

The deal, issued in November 2014 with a face value of $191 million, called for monthly interest payments until May 2017 with principal distributions to begin thereafter. After the December balloon payment, the issue’s 2.9-year senior class, rated single-A, had a remaining principal balance of $104.5 million. A junior class of 3.4-year securities with grades of tri-ple-B and triple-B-minus had $20 million outstanding. It won’t be repaid until senior bondholders are made whole.

CAN launched in 1998 and moved largely to an online origi-nation format in 2010. At the time, it shifted from offering mer-chant cash advances to a combination of advances and loans. The company’s software sometimes failed to make the distinc-tion, however, contributing to its errors in listing delinquent loans as current.

Beach Point to Increase PresenceBeach Point Capital plans to increase its production of bonds

backed by rental-home loans, while moving ahead with a broadening of its mortgage-securitization program.

On the “landlord-loan” side, the Santa Monica, Calif., hedge fund operator expects to complete at least two bond offerings this year. The transactions would take place through a part-nership with DoubleLine Capital, dubbed American Mortgage Investment Partners.

American Mortgage completed its first securitization on Dec. 12, selling $101.5 million of bonds with Nomura running the books. The offering carried ratings from Morningstar.

When it comes to mortgage deals, Beach Point already has been selling unrated bonds backed by loans that don’t meet the Consumer Financial Protection Bureau’s “qualified mortgage” standards. The expectation now is that it soon will move ahead with a rated offering that was initially penciled in for late 2016.

A follow-up transaction could come during the fourth quar-ter. Fitch, DBRS, Kroll and Morningstar are seen as candidates to rate the bonds.

Beach Point’s past mortgage deals were backed by loans the firm bought from Citadel Servicing of Irvine, Calif. The future deals could combine Citadel accounts with those purchased from other originators.

Beach Point and Angel Oak Capital are among a number of issuers that want to sell rated securities backed by non-quali-fied loans. The only shop to carry out a rated deal in the sector so far is Caliber Home Loans, which last year sold $571.1 mil-lion of such securities via three deals, each with triple-A grades from Fitch and DBRS.

January 20, 2017 2Asset-BackedALERT

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Solar-Panel Deal Headed to MarketMosaic is moving ahead with efforts to securitize the loans it

writes on solar-power equipment.Sources said the Oakland company has hired BNP Paribas

and Guggenheim to run the books on its inaugural deal, which would weigh in around $200 million.

The plan is for capital-markets chief Katya Baron and the underwriters to start showing the offering to investors at the “SFIG Vegas 2017” conference, which SFIG and Information Management Network will host at the Aria Resort & Casino in Las Vegas on Feb. 26-March 1.

Mosaic’s aspirations as an asset-backed bond issuer have been no secret, with the effort gaining steam upon its July hiring of Baron from Aequitas Capital. She since has been joined by securitization specialists including chief financial officer Steve Controulis, formerly of GE Capital, and vice presi-dent Christopher Phillips, who most recently worked at Social Finance.

Mosaic also secured lines of credit of $250 million from Deutsche Bank and $200 million from DZ Bank in November.

Solar-panel financing companies completed three rated term securitizations totaling $326.3 million in 2016, according to Asset-Backed Alert’s ABS Database.

Demand Tepid for Arch PMIArch Capital’s efforts to write private mortgage insurance

on jumbo home loans have been slow to gain traction.Working through a unit called Arch Mortgage Guaranty,

the Bermuda insurer unveiled plans in 2015 to offer policies on jumbo mortgages with down payments as low as 10% — and invested an initial $50 million in the project. But lenders have been slow to embrace the service.

Now, Arch sees the initiative as being a few years away from attaining significant growth.

Unlike most mortgage-insurance policies, in which the borrowers are responsible for premium payments, Arch’s coverage is paid for by either lenders or whole-loan buyers. Clients using the service so far include Fifth Third Bank and SunTrust.

Arch hoped its coverage would catch on with banks, in part, because mortgage insurance can offer capital relief for loans held on balance sheet under the Bank for International Settlements’ Basel 3 accord. It also saw the protection as likely to prompt more lenders to write jumbo mortgages with loan-to-value ratios exceeding 80%, while helping to make those accounts more suitable for securitization.

With mortgage-securitization activity remaining sluggish, however, the strategy hasn’t caught on. Arch also has found lingering distrust of mortgage insurers in general, after some failed to honor their policies during the financial crisis. “It’s not making a big splash in the market,” one source said. “The securitization market hasn’t developed and they still have to overcome resistance from market players still angry over the

crisis. There’s a lot of residual caution, so mortgage insurers still have to prove themselves.”

For its part, Arch is supplying a master policy under which it wouldn’t rescind coverage on most defaulted loans. It also has received a positive response from rating agencies. Morn-ingstar, for example, updated its rating methods in October to acknowledge that insurance could reduce losses on defaulted mortgage-bond collateral.

Looking ahead, rising interest rates on jumbo mortgages promise to prompt more securitizations of those accounts. Indeed, the spread between jumbo-loan rates and the 10-year Treasury is approaching 250 bp — a key indicator that securi-tization represents an economical funding source.

That likely won’t be enough to produce a near-term rush of business for Arch, however. “They were ahead of their time setting it up in 2015,” another source said.

Only a few mortgage insurers are active in the jumbo-loan market, mostly on small scales. They include United Guaranty, which Arch bought from AIG on Dec. 31. The plan is to com-bine the businesses. United separately issues bonds tied to its coverage, essentially creating a form of reinsurance in which the performance of the securities deteriorates as claims on the reference policies rise. Its next such deal was scheduled for the first quarter, but may take place later.

LibreMax Introduces Long-Only FundLibreMax Capital is launching another structured-product

fund.The firm’s LibreMax Long-Only Securitized Products Fund

is set for an April 1 launch. LibreMax is telling prospective lim-ited partners that it already has a couple of anchor investors in place, according to sister publication Hedge Fund Alert.

Unlike LibreMax’s past funds, the vehicle would only take long positions. Its investments would include bonds backed by consumer receivables, residential mortgages, commercial mortgages and corporate loans — with an emphasis on invest-ment-grade paper with high liquidity profiles and dollar prices. A large portion of the securities would carry floating interest rates.

Marketing materials distributed this month point to pur-chases of ERISA-eligible bonds, suggesting the product is aimed in part at private pension systems. “We believe a long-only structured credit strategy fills a need for investors looking for a higher yielding credit alternative,” LibreMax wrote, char-acterizing the fund as offering “a higher-yielding alternative to other fixed income sectors, as well as asset diversification and potential insulation from rising interest rates.”

LibreMax is shooting for an annual net return of 5-6%. It plans to use little to no leverage.

LibreMax manages $2.5 billion overall, with an emphasis on investments in mortgage-related securities and collateral-ized loan obligations. The New York firm was founded in 2010 by chief investment officer Greg Lippmann and president Fred Brettschneider, both formerly of Deutsche Bank.

January 20, 2017 3Asset-BackedALERT

Rating Hang-Up Delays AT&T DealA bond-rating impasse is preventing AT&T from carrying

out its first securitization of mobile-telephone loans.Since they began working on the bond-issuing program

early last year, AT&T treasury officials have maintained that any such deals would have to carry triple-A grades to make sense economically. But so far the company has been unable to get the rating agencies to go along.

One issue rating analysts have raised is the fact that a financ-ing facility already in place, AT&T Receivables Funding, issues participating interests with single-A grades from Fitch and DBRS. On top of that, AT&T’s corporate credit ratings have been on watch for possible downgrades since the company agreed in October to buy Time Warner.

Each of the “big-three” rating agencies threatened to cut their grades for AT&T by one notch. It currently is rated Baa1/BBB+/A- by Moody’s, S&P and Fitch.

AT&T executives have discussed the possibility of building extra credit enhancement into the deal to satisfy rating ana-lysts. But one of the agencies has made it clear that it won’t go above single-A, regardless of the amount of investor protection.

“They’ve been working to figure ways to structure a deal to get a triple-A, but haven’t come up with the secret sauce yet,” a source said. “There is an element of corporate risk in these deals. Verizon was able to get around it to get a triple-A, while none of the other carriers have thus far.”

In July 2016, Verizon became the first carrier to securitize payments on loans to its mobile-phone customers, selling $1 billion of bonds that all carried triple-A grades. It followed that up with a $1.4 billion offering in November, winning triple-A grades for the $1.2 billion senior class.

The expectation is that Verizon’s 2017 deal flow could reach $8 billion. Its next transaction is due to hit the market by March 31. Verizon’s corporate credit ratings are identical to AT&T’s, though the outlook is stable. And Verizon’s collateral history is more robust, a source said.

Sprint and T-Mobile, too, appear to be interested in secu-ritizing mobile-phone loans, though there’s no word on their progress. The plans stem from a shift in which mobile carriers

have stopped subsidizing their customers’ telephone purchases while offering deferred-payment plans instead. They typically spread the installments over two years.

UK Program Running Out of SteamSecuritizations of mortgage assets that the U.K. Treasury

absorbed during the financial crisis could soon come to an end.That’s the buzz surrounding the agency’s planned sale of

a £12.5 billion ($15.4 billion) portfolio of loans it took on via its 2008 nationalization of Bradford & Bingley. The disposition would continue an effort in which a government entity called U.K. Asset Resolution has gradually offloaded similar holdings — in some cases to buyers that securitized the accounts.

U.K. Asset Resolution’s balance sheet today stands at £33.1 billion, down from £112 billion at its peak. But the talk is that with the exception of the Bradford & Bingley loans, many of the remaining assets are unsuitable for sale or securitization. “[The sale] won’t mean that all the assets and liabilities have been dis-posed of, but it looks to be the last major legacy portfolio to be disposed of,” one investor said.

Industry participants’ skepticism about the appeal of the remaining portfolio is tied in part to what they consider a lack of transparency about its contents, including loans to Bradford and Northern Rock Asset Management — along with mortgage bonds and mortgage servicing rights tied to the two compa-nies.

As for the upcoming sale, U.K. Asset Resolution has nar-rowed the field of bidders to Blackstone, Car-Val Investors, Cer-berus, Elliott Management, Och-Ziff Capital and Paragon Bank. Word of the offering has been circulating for a year, with indus-try participants predicting all along that the buyers would use the accounts as bond collateral.

Meanwhile, the government took a step forward in the pro-cess in mid-2016 by exercising call options on £2.9 billion of bonds that Bradford issued under its Aire Valley Mortgages brand from 2004-2007 — giving it possession of the underly-ing loans.

The assets are made up of performing mortgages, mostly to rental-property owners. U.K. Asset Resolution also holds some £3.5 billion of nonperforming loans inherited from Bradford.

Sources said the government is hoping to complete the sale before its current fiscal year ends on March 31, and is placing extra urgency on the effort due to uncertainty surrounding the effects of the U.K.’s planned exit from the European Union.

The likely securitizations would resemble offerings adding up to $9.5 billion that Cerberus conducted via its Towd Point Mortgage Trust last year after buying a large book of Northern Rock mortgages from U.K. Asset Resolution.

Elsewhere in Europe, expectations are that efforts by banks to reduce leverage will lead to continued sales of older mort-gage assets that could be securitized. Banks in Italy are shed-ding performing and nonperforming loans, for example, while their peers in Spain attempt to dispose of some performing assets.

January 20, 2017 4Asset-BackedALERT

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Loan ... From Page 1

issuance is expected to continue.“There will be a period of time where it would be almost

foolish to do a deal given these levels,” one issuer said, refer-ring to the reduced interest rates achieved through the repric-ings. Those agreements saw the average borrower cut its interest rate by 75 bp, to as little as 300 bp over three-month Libor.

The issuer added that lenders eventually will balk at fur-ther reductions, however. And in time, CLO spreads are expected to tighten to economical levels.

For now, five-year senior notes with triple-A ratings appear stuck around 135 bp over three-month Libor. But Citigroup estimated in a Jan. 17 report that they could tighten to 125-130 bp, while acknowledging that the situation could remain a near-term drag on issuance.

The repricing surge fits into a broader trend in which the prices of new and existing loans also have risen amid a dip in fresh lending activity — factors that also have added to the

difficulties in bringing CLOs to market. Indeed, amid a tepid volume of mergers and acquisitions, U.S. leveraged-loan vol-ume fell from $86 billion in September to $24.8 billion in December, according to S&P.

What’s more, CLO issuers increasingly have found them-selves bidding against loan-focused mutual funds and exchange-traded funds when seeking collateral for their deals. Investors poured $11.8 billion into retail loan vehicles during the second half of 2016, reversing $5.6 billion of first-half outflows, according to S&P.

“Too many buyers, not enough loans,” one CLO investor said.

An issuer pointed to a $5.5 billion loan to Dublin-based Avolon, which in October agreed to purchase CIT’s aircraft-leasing business. After hitting the market this week, the newly written facility attracted more than $12 billion of offers. “The arbitrage and loan scarcity are intertwined,” the issuer said, citing low loan yields across the board. “Given the current CLO liabilities, it just doesn’t work at all.”

The loan-pricing squeeze comes at a time when the Decem-ber implementation of the Dodd-Frank Act’s risk-retention rule already has driven some issuers out of the market. For now, new-deal supply remains dominated by refinancings of older transactions. Some issuers are preparing to come to market, however. Octagon Credit is shopping a deal with Citi running the books, for example. CIFC also is lining up a transaction via Deutsche Bank, while MJX Asset Management works on an offering with Jefferies.

Citi said in its report that total CLO issuance in the U.S. could hit $65 billion to $80 billion this year. That would compare to $72.4 billion in 2016, according to Asset-Backed Alert’s ABS Database.

January 20, 2017 6Asset-BackedALERT

Fewer Defaults in CLO PoolsCollateralized loan obligations saw their exposures to

defaulted assets shrink in October. According to an index maintained by Moody’s, holdings of defaulted loans fell 5 bp to 0.12% among deals issued in the U.S. after the finan-cial crisis. Among pre-crisis deals in the States, those exposures dipped 36 bp to 2.36%. For pre-crisis deals in Europe, the figure shrank 22 bp to 1.11%. A mix of occur-rences drove the improvements. Among newer deals in the U.S., a restructuring of Templar Energy affected the holdings of 64 transactions. Restructurings of Murray Energy and affiliate Foresight Energy also brought some loans out of default, Moody’s analyst Haoning Ding said. Meanwhile, the managers of pre-crisis deals in the States sold some weak collateral as their obligations continued to run off.

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12/12 12/13 12/14 12/15

CLO Weighted Average Rating Factor

Source: Moody's

U.S.

Europe

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Shutdown ... From Page 1

Entergy customers. Last year, Duke Energy issued $1.3 billion of utility-fee bonds to pay for decommissioning its Crystal River 3 nuclear facility in Florida. That was the first asset-backed bond deal to cover the cost of shuttering a nuclear plant.

Entergy is no stranger to the asset-backed bond market. Since 2007, it has completed five utility-fee securitizations totaling $1.4 billion. Citigroup ran the books on its last offer-ing, a $98.7 million transaction in July 2015 that helped pay for storm-damage repairs. Morgan Stanley handled the four ear-lier deals, serving as bookrunner with Citi on two of them.

CorrectionA Jan. 13 article, “Insurers Make Room for Risk-Transfer Bonds,” contained errors. The National Association of Insurance Commissioners is assigning ratings to the M3 classes of “first-actual-loss” securities issued under Freddie Mac’s Structured Agency Credit Risk label, not just the deals’ M1 and M2 classes. The item also misstated issuance data from Wells Fargo. The bank is projecting $17 billion of deals in 2017, up from $14 billion in 2016.

January 20, 2017 8Asset-BackedALERT

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Chrysler ... From Page 1

emissions tests. The regulator said the automaker could face up to $4.6 billion of fines.

The probe covers vehicles the company sold over the past three years. Sources said that if and when Santander moves ahead with its plan to securitize Chrysler leases, the deals would exclude any potentially affected accounts written in 2014-2016.

Although the EPA action shouldn’t disrupt cashflows to bondholders, the news already is affecting investor behavior. “At the moment, we’re being told by the brass upstairs that Chrysler bonds are off-limits, until we get a clearer picture on the EPA allegations,” one investor said.

The problems also are having a spillover effect on Ally Finan-cial, which was Chrysler’s preferred lender prior to Santander and continues to securitize the automaker’s loans, leases and dealer-floorplan credits. One source suggested Ally may feel pressure to increase the credit enhancement protecting inves-tors in outstanding deals, particularly those backed by leases and dealer-floorplan credits. Those types of bonds are particu-

larly vulnerable to headline risk because the negative publicity could dent the residual values of Chrysler vehicles.

That said, Chrysler vehicles accounted for only about 2% of the collateral pool in Ally’s most recent lease-backed deal, an $804.6 million offering the bank issued in March 2015.

The Chrysler probe was announced a day after Volkswa-gen agreed to pay $4.3 billion of civil and criminal penalties to settle similar allegations involving its emissions software. If the German automaker’s experience is any indication, it could be some time before Santander resumes securitizing Chrysler credits.

Volkswagen hasn’t issued asset-backed bonds in the U.S. since receiving an EPA violation notice in September 2015. It had been a routine issuer prior to that — for example, selling $5 billion of bonds in 2014, according to Asset-Backed Alert’s ABS Database.

While the Volkswagen case involved 585,000 vehicles, Moody’s pointed out in a Jan. 15 report that its car sales in the U.S. are only a small part of its global business. In Chrysler’s case, the U.S. is by far its largest market, with Jeep and Ram among its top brands.

January 20, 2017 9Asset-BackedALERT

CALENDARCALENDAR Main Events Dates Event Location Organizer Information Feb. 26-March 1 SFIG Vegas 2017 Las Vegas SFIG & IMN www.imn.org

May 1-3 Single Family Rental Investment Forum Miami IMN www.imn.org

May 24-25 Investors’ Conference on CLOs & Leveraged Loans New York IMN www.imn.org

June 6-8 Global ABS 2017 Barcelona IMN & AFME www.imn.org

Sept. 17-19 ABS East Miami IMN www.imn.org

Events in US Dates Event Location Organizer Information Jan. 30-Feb. 2 Private Placements Industry Forum Boca Raton, Fla. KNect365 knect365.com

Feb. 13-15 Fundamental Review of the Trading Book New York GFMI www.global-fmi.com

Feb. 26-28 Insurance & Risk Linked Securities Conference Miami SIFMA www.sifma.org

Feb. 27 Structured Finance Coalition Launch Event Las Vegas SFIG www.sfindustry.org

March 6-7 LendIt USA 2017 New York LendIt www.lendit.com

March 22 Investors’ Conference on Equipment Finance New York IMN www.imn.org

March 27 Understanding Securitization & ABS New York Fitch Learning www.fitchlearning.com

March 27-28 Residential Mortgage Servicing Rights Conference New York IMN www.imn.org

March 29-31 Real Estate Lending Conference Orlando ABA www.aba.com

April 19-20 Residential Mortgage Litigation & Reg. Enforcement Washington ACI www.americanconference.com

April 25-27 Liquidity Management New York Marcus Evans www.marcusevans.com

April 27 Green Investing Conference New York IMN www.imn.org

April 30-May 3 National Secondary Market Conference & Expo. New York MBA www.mba.org

May 15-16 CLO Credit Risk Workshop New York Fitch Learning www.fitchlearnign.com

May 18-19 Education Finance & Loan Symposium Washington iiBIG www.iibig.com

May 18-19 FinCLOUD 2017 Washington iiBIG www.iibig.com

May 18-19 Capital Structures & Debt Products New York Fitch Learning www.fitchlearning.com

To view the complete conference calendar, visit The Marketplace section of ABAlert.com

January 20, 2017 10Asset-BackedALERT

Ford Credit Auto Owner Trust, 2017-A Priced: Jan. 18 Amount: $1.6 billion Collateral: Auto loans (prime) Seller: Ford

Bookrunners: Citigroup, BNP Paribas, Banco Bradesco, Goldman Sachs, Societe Generale

Class M/F Amount Yield WAL Spread Benchmark A-1 F1+ 346.400 0.840 0.27 A-2A AAA 400.000 1.335 1.05 +10 EDSF A-2B AAA 159.800 1.05 +12 1 mo. Libor A-3 AAA 451.500 1.676 2.25 +15 Int. Swaps A-4 AAA 135.500 1.933 3.25 +23 Int. Swaps B Aa1/AA 47.150 2.253 3.39 +53 Int. Swaps C Aa3/A 31.440 2.423 3.39 +70 Int. Swaps

Discover Card Execution Note Trust DiscoverSeries Class A, 2017-1 Priced: Jan. 13 Amount: $750 million Collateral: Credit cards Seller: Discover Bookrunners: Bank of America, Societe Generale

Class M/S/F Amount Yield WAL Spread Benchmark A AAA 750.000 4.99 +49 1 mo. Libor

Connecticut Avenue Securities, 2017-C01 Priced: Jan. 18 Amount: $1.35 billion Collateral: Risk transfer Seller: Fannie Mae Bookrunners: Bank of America, Wells Fargo

Class F/K Amount Yield WAL Spread Benchmark 1M-1 BBB-/BBB+ 457.271 1.91 +130 1 mo. Libor 1M-2 B/BB 685.905 6.49 +355 1 mo. Libor 1B-1 NR 207.850 10.00 +575 1 mo. Libor

Discover Card Execution Note Trust DiscoverSeries Class A, 2017-2 Priced: Jan. 13 Amount: $550 million Collateral: Credit cards Seller: Discover Bookrunners: Bank of America, Societe Generale

Class M/S/F Amount Yield WAL Spread Benchmark A AAA 550.000 2.412 4.99 +45 Int. Swaps

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Data points for all charts on this page can be found in The Marketplace section of ABAlert.com

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Source: Federal Reserve Board

SPREADS ON TRIPLE-A ABS

Spread (bps) Avg. Week 52-wk Life 1/13 Earlier avg.

Credit card - Fixed rate (vs. Swap)

2.0 +18 +18 +23.5

5.0 +42 +43 +44.7

Credit card - Floating rate (vs. 1 mo. Libor)

2.0 +20 +20 +24.5

5.0 +44 +44 +45.1

Auto loan - Tranched

(vs. Swap)

2.0 +15 +16 +26.9

3.0 +25 +26 +37.1

Swap spreads (bid/offer midpoint)

2.0 +30 +27 +17.9

5.0 +5 +4 -1.0

10.0 -12 -13 -13.5

Source: Deutsche Bank

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Inv. GradeNon-Inv. Grade

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5-YEAR FIXED CARD SPREADSLast 15 months (basis points)

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2016

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US NON-AGENCY MBS ISSUANCEVolume in past 15 months ($Bil.) Volume in past 15 months ($Bil.)

US CLO ISSUANCE

MBS SECONDARY TRADINGWeekly volume reported to FINRA ($Bil.)

ABS SECONDARY TRADINGWeekly volume reported to FINRA ($Bil.)

WORLDWIDE ABS ISSUANCE

Volume in past 15 months ($Bil.)NON-US ABS ISSUANCE

ASSET-BACKED COMMERCIALPAPER OUTSTANDINGSince 1/1/10 ($Bil.)

US ABS ISSUANCEVolume in past 15 months ($Bil.)

MARKET MONITOR

xxx 1Asset-BackedALERT

WORLDWIDE ABS ISSUANCE ($Bil.)2016 2017

01/07/00 J 0.0 0.0 Year-to-date volume ($Bil.)01/14/00 0.0 4.7 2017 201601/21/00 5.6 7.8 US Public 2.9 1.201/28/00 16.5 US 144A 2.7 2.302/04/00 F 19.4 Non-US 2.3 2.002/11/00 24.3 TOTAL 7.8 5.602/18/00 33.902/25/00 40.103/03/00 M 47.103/10/00 48.703/17/00 53.303/24/00 60.503/31/00 A 66.404/07/00 68.504/14/00 81.604/21/00 89.904/28/00 M 100.205/05/00 107.105/12/00 115.605/19/00 122.605/26/00 135.806/02/00 J 143.206/09/00 146.206/16/00 159.006/23/00 166.006/30/00 171.707/07/00 J 173.507/14/00 176.107/21/00 188.707/28/00 202.708/04/00 206.608/11/00 A 219.008/18/00 222.208/25/00 229.909/01/00 230.309/08/00 230.709/15/00 S 237.809/22/00 255.809/29/00 257.610/06/00 263.010/13/00 274.210/20/00 O 284.210/27/00 304.711/03/00 310.511/10/00 315.011/17/00 319.311/24/00 N 329.412/01/00 336.912/08/00 345.512/15/00 352.2

January 20, 2017 11Asset-BackedALERT

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a recently formed operation called Assurant Investment that also would invest in real estate products. As part of the push, the company is seeking an experienced professional to serve as CLO compliance and operations analyst — a job that includes setting up warehouse lines, handling administra-tive functions, overseeing bondholder distributions and reconciling trustee reports. The recruit would work under a yet-to-be-identified portfolio man-ager in charge of the initiative. Assur-ant already is an occasional issuer of catastrophe bonds. It had $30 billion of assets on March 31.

Credit Suisse is seeking at least one senior collateralized loan obligation trader in New York. Executive recruiters characterize the search as the result of a sentiment on the bank’s part that it was left short handed in the CLO sector following cutbacks that chief executive Tidjane Thiam ordered in late 2015. That retreat saw the exits of several staffers,

including David Barrish and Garret Jankowski.

Miriam Tai has left her job as a manag-ing director responsible for pitching CIFC’s funds to investors. Tai’s plans couldn’t be learned. But her exit helps explain the hiring this month of former Orix USA staffer Jason Ziegler in a similar capacity. Tai arrived at CIFC in July 2015. She previously held similar positions at Itau Asset Management, Man Investments and BlackRock. Her exit from CIFC comes amid a staff shuffling that followed the New York company’s November sale to F.A.B. Part-ners for $330 million. CIFC had $13.2 billion under management on Sept. 30, including the assets of a high-profile collateralized loan obligation program it maintains.

The criminal fraud trial of former Nomura mortgage-bond traders Michael Gramins, Tyler Peters and Ross Shap-iro will start on May 2 instead of Feb. 17. The U.S. District Court in Hartford granted the delay to the U.S. Attorney’s Office on Jan. 12 at the request of the lead prosecutor on the case, who cited

an unspecified medical condition on his part. Gramins, Peters and Shapiro were charged in September 2015 with defrauding clients by overstating bond prices.

Porsche is seeking an analyst to aid in its auto-loan funding efforts, including its activities as an asset-backed bond issuer and the renewal of bank-supplied credit facilities. The recruit would be stationed in Atlanta. Porsche completed its most recent securitization in May 2015, placing $700 million of bonds with Barclays, J.P. Morgan and Societe Generale running the books.

Erick Bauman has left the capital-markets team at OneRoof Energy, a San Diego company that has been position-ing itself as an issuer of bonds backed by leases on solar-power equipment. Bauman had just arrived at OneRoof in August from RNK Capital, where he managed a portfolio of solar-equipment loans. He also has traded structured products at StormHarbour Securities. It’s unclear if his departure from OneRoof signals a change in the company’s secu-ritization plans.