See GRAPEVINE on Back Page

2 Trump Lifts Hopes on Risk Retention

2 Trading Rises on New Yield Outlook

4 CLO Liquidation Back on Track

4 Shelter Growth Maps Follow-Up

4 Losses Ding Subprime-Auto Deals

6 Zais Seeks Added Buying Power

8 BNY Chases Rental-Home Deals

8 Data Shop Expanding Asset Coverage

10 INITIAL PRICINGS

11 MARKET MONITOR

Jeff Davis will retire from his post as a managing director focused on struc-tured-product investments at Canyon Capital at yearend. Davis joined Canyon in 2003 from Societe Generale, and before that was at Paine Webber, Nomura Merrill Lynch. At Canyon, he and portfo-lio manager Allen Ba earned recognition for producing strong returns by short-selling subprime-mortgage bonds just before the 2007-2008 market crash and then going long on the securities after their values fell. In addition to its work as an investor, Los Angeles-based Canyon is a collateralized loan obligation issuer. The firm is led by Joshua Friedman and Mitchell Julis. It finished 2015 with $19 billion of gross assets.

Alex Jackson has left his position as head of bank loan investments at BNY

Rising Rates Feeding Jumbo-MBS PipelineSecuritization is gaining appeal as a funding source for jumbo mortgage lenders.With loan rates rising, Redwood Trust, J.P. Morgan and Shellpoint Mortgage

have signaled plans to increase their bond issuance next year. There also is word of upcoming deals from Credit Suisse and EverBank, both of which lately have been absent from the market.

The deals are expected to start flowing in early 2017. In each case, the issuer is eyeing a bellwether for whether securitization presents an economic means of funding jumbo loans: The difference between the interest on those accounts and the 10-year Treasury yield.

Typically, securitization becomes at least as economical as whole-loan sales when that spread is greater than 250 bp — a level it has trailed for much of this year. But expectations of rising interest rates have caused the differential to shrink

See JUMBO on Page 9

Skopos Hires Prescher for Turnaround RoleSubprime auto lender Skopos Financial has tapped industry veteran Dave Pre-

scher to help revive its business, which has struggled with high loan defaults in its securitization pools.

Prescher, whose resume includes securitization roles at California Republic Bank and WFS Financial, joined Skopos in the past couple of weeks in the newly created position of president. His mandate: improve underwriting quality and stabilize loan-origination volume, which the Irving, Texas, company has cut by 25% in the past year.

“Dave is a tremendous addition to the Skopos team, with more than 30 years of leadership roles with over $50 billion in ABS transactions,” a Skopos spokesman said.

Skopos, owned by private equity shop Lee Equity, spent months searching for an executive to help lead a turnaround. Prescher reports to chief executive Dan Porter. Co-founder Mark Gallas now reports to Prescher.

“This is a cleanup situation and they’ve been looking for someone for some timeSee SKOPOS on Page 8

SFIG Offers Marketplace-Loan GuidelinesThe Structured Finance Industry Group is

developing a set of recommended practices for issuers of bonds backed by marketplace-originated personal loans.

The trade group plans to release the guide-lines in three phases, with the first to be unveiled on Dec. 1 at Information Manage-ment Network’s “Investors’ Conference on Marketplace Lending” in New York. The initial component will deal in disclosures of loan-by-loan data to bond buyers.

The subsequent “best-practices” recommendations would cover how asset pools should be assembled and ongoing disclosures of loan performance. The guidelines mark the first public pronouncement from a committee of originators, bankers, bond buyers and vendors that SFIG assembled in July 2015 to study the

See SFIG on Page 6

THE GRAPEVINE

NOVEMBER 18, 2016

The next issue of Asset-Backed Alert will be published Dec. 2. Happy Thanksgiving!

Trump Lifts Hopes on Risk RetentionIndustry professionals believe a Trump Administration will

be open to easing the Dodd-Frank Act’s risk-retention rule, if not repealing it altogether.

Since the Nov. 8 election produced GOP victories for the presidency and both houses of Congress, asset- and mortgage-backed bond issuers have been huddling with bankers and law-yers to discuss the possibility of rolling back some of the most onerous provisions of Dodd-Frank — including a requirement that issuers keep 5% interests in their deals. The rule takes effect Dec. 24 for asset-backed securities, collateralized loan obligations and commercial mortgage bonds. For residential mortgage bonds, it took effect last December.

“Yes, there’s been a lot of discussion,” an industry lawyer said. “We’ve been contacted by a number of clients including banks, auto lenders, mortgage companies, servicers, consumer-lend-ing companies and others. There’s lots of hope to repeal it, but I don’t see it happening on risk retention wholesale. It’s more likely there will be some accommodation here and there.”

One idea that is quickly gaining currency among industry professionals: soften the mandate by lowering the risk-reten-tion bar from 5% to 2%.

Despite strong industry opposition, the Comptroller of the Currency, Federal Reserve, HUD, FDIC, Federal Housing Finance Agency and SEC adopted the risk-retention requirement in December 2014. An exception was made for securitizations of loans that meet the Consumer Financial Protection Bureau’s “qualified mortgage” standards.

As unpopular as risk retention is with most industry profes-sionals, repealing it outright would be difficult. For one thing, while it maintained a majority in the Senate, the GOP will be eight votes shy of a super-majority — meaning any action will require the cooperation of some Democrats. And many inves-tors, especially in the mortgage-bond market, like the idea of issuers keeping skin in the game.

“Risk retention will go into place in December, but is there appetite from the industry about unwinding that? Our issu-ers may say yes,” said Richard Johns, executive director of the Structured Finance Industry Group. “But there will be fierce resistance from investors, so I don’t think you’ll have immedi-ate answers to how you go about that.”

Others said most investors probably wouldn’t object to weakening the risk-retention requirement — especially if issu-ers offer higher yields or other concessions in return.

“I’m not fearful of it,” one investor said. “My gut tells me there will eventually be a change, even if it goes from 5% down to 2%. It would be a huge benefit to issuers, and I could see an increase in pricing, even just temporarily, to make investors happy.”

The Republican sweep also is breathing new life into legisla-tion aimed specifically at easing the risk-retention burden for CLO issuers. A bill sponsored by Reps. Andy Barr (R-Ky.) and David Scott (D-Ga.) would allow CLO managers to meet their obligations by retaining 5% of their deals’ equity pieces, which typically account for about 10% of the overall transaction. In

other words, the issuer of a $500 million CLO might have to put up just $2.5 million, rather than $25 million.

The Loan Syndications and Trading Association views the Barr-Scott bill as the best hope for easing risk retention for CLO issuers. The bill has been stalled in Congress since it was voted out of committee in March.

“The odds of a fix are higher in 2017 than they were two weeks ago,” one source said. “But everyone who thinks risk-retention is going to be repealed right away is getting ahead of themselves. The Democrats still have a lot of power in the Senate. It’s not like you will be able to jam things past them.”

Trading Rises on New Yield OutlookAsset-backed bond investors turned their attention to the

secondary market this week, with many adjusting their posi-tions in anticipation of higher interest rates under President-elect Donald Trump.

From this Monday to Wednesday, $16 billion of asset-backed securities changed hands in the U.S., according to Finra’s Trade Reporting and Compliance Engine. That compares to $11 bil-lion for the same stretch of the week preceding the presidential election.

It also follows a quiet period in the days after the election, with just $5.1 billion of trading volume logged on Nov. 9-10 — and zero exchanges taking place on Nov. 11 due to the Veterans Day holiday.

Like other debt products, asset-backed securities were trad-ing at higher yields this week as investors priced in expected interest-rate hikes by the Federal Reserve in December and beyond. To that end, buysiders appeared to be repositioning in accordance with their varying expectations for long-term rate trends. “Some guys are thinking the yield curve is getting ahead of itself, others feel it’s going to get steeper,” one trader said. “Whatever the case, investors clearly realize the markets aren’t reacting out of fear. They’re reacting to a different outlook.”

The higher yields weren’t accompanied by a significant wid-ening of spreads, however, as bond values moved in tandem with their benchmarks. Two-year swaps are at 126 bp, out 19 bp from a week ago. Three-year swaps are at 144 bp, out 29 bp. Five-year swaps are at 172 bp, out 39 bp.

Meanwhile, triple-A-rated credit card bonds with two-year lives were selling on the secondary market this week around 20 bp over swaps, only slightly wider than a week ago. That in part reflects a view that asset quality and prepayment levels among outstanding deals won’t suffer in a higher-rate environment. “Is this going to affect Ford deals? Absolutely not,” another trader said.

The new-issue market has gone quiet after a busy few weeks, however. Only $4.5 billion of fresh asset-backed bonds were circulating in the U.S. this week, down from a more typical weekly average of $7.5 billion. And expectations are that the slowdown will continue as industry participants take time off for the Thanksgiving holiday and then face a Dec. 24 phase-in date for the Dodd-Frank Act’s risk-retention rule.

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CLO Liquidation Back on TrackEfforts to liquidate the assets of a failed collateralized loan

obligation from Patriarch Partners have resumed.The process had just gotten under way when U.S. Dis-

trict Court in New York granted Patriarch founder Lynn Tilton a temporary restraining order on Sept. 14. Judge Jed Rakoff then ruled on Oct. 18 that the auction could proceed — with liquidation agent Duff & Phelps subsequently setting a Nov. 29 deadline for bids.

The sale would encompass corporate loans and equity with a combined face value of $400 million that back the 2003-vintage Zohar CDO. That deal defaulted in November 2015.

The transaction’s failure has been particularly painful for bond insurer MBIA, which was forced to pay $150 million to noteholders.

While MBIA would have first dibs on proceeds from the auc-tion, there are doubts that Zohar CDO’s assets are worth enough to make it whole. The insurer also has a $775 million policy on a 2005 follow-up called Zohar 2 that holds many of the same expo-sures, and is expected to default at its Jan. 20 maturity date.

To that end, MBIA agreed on Sept. 29 to surrender its U.K. arm and a $23 million cash payment to Zohar 2 bondholder Assured Guaranty — in exchange for Assured’s entire $347 mil-lion stake in Zohar 2. The deal is expected to close in January, with MBIA retiring the notes.

The company has conceded that it still needs to strengthen its financial position, however, adding that it could be ordered into liquidation by the New York Department of Financial Ser-vices. In the meantime, is it continuing with efforts to restruc-ture Zohar 2.

Such efforts previously have been stymied by Tilton, in part through lawsuits involving MBIA and the current manager of the Zohar deals, Alvarez & Marsal. Tilton also faces accusations from the SEC that she misled investors by failing to mark down the CLOs’ collateral to reflect realized losses. Carol Fox Foelak, an SEC administrative law judge in New York, is expected to hear closing arguments in that matter in January.

Those proceedings also could affect the willingness of inves-tors to bid on Zohar CDO’s collateral, which in addition to Zohar 2 is shared with the 2007-vintage Zohar 3. That issue, which was uninsured, is set to mature in April 2019.

“There are complications to buying anything at this auction and extracting value out of it,” one CLO manager said. “While there are good companies in the portfolio, it’s not like you will own them outright. You’ll own a partial interest along with a very litigious lady.”

Shelter Growth Maps Follow-UpWith its inaugural mortgage securitization complete, Shel-

ter Growth Capital is planning its next offering.The deal is expected to hit the market in early 2017 under

Shelter Growth’s SG Capital label, with an estimated size of $100 million. Credit Suisse will run the books.

Like Shelter Growth’s first deal, the upcoming offering would be backed by loans that don’t meet the Consumer Finan-cial Protection Bureau’s “qualified-mortgage” standards. The Stamford, Conn., operation is talking to rating-agency analysts about grading the issue.

Shelter Growth priced its debut securitization this month, selling $113.7 million of unrated bonds via Credit Suisse. The deal was topped by $86.4 million of 2.8-year securities with a yield of 3.75%.

SG Capital operates as a mortgage conduit under the umbrella of Shelter Growth, a hedge fund firm founded in 2014 by former Goldman Sachs mortgage-finance executives Dan Sparks, Kevin Gasvoda and Justin Mahoney. The trio oversees a staff about 25. Shelter Growth had $1 billion under manage-ment on June 1, with much of that amount invested in mort-gage-related products.

November 18, 2016 4Asset-BackedALERT

Losses Ding Subprime-Auto DealsAnnualized losses among securitized pools of subprime

auto loans jumped 32 bp in October to 9.61% — the high-est October level ever recorded, according to an index maintained by Fitch. Although losses often rise this time of year, the erosion also marks an ongoing effect of weak underwriting standards that prevailed in 2014 and 2015. Last month’s loss rate compares to 8.05% for the year-ago period, 7.61% in October 2014 and 6.29% in October 2013. Delinquencies among subprime-loan deals rated by Fitch also ticked up, by 2 bp to 5.07%. Asset performance is expected to weaken further in the coming months as increasing numbers of borrowers defer loan payments to accommodate holiday spending. Pools of prime-qual-ity auto-loans, meanwhile, show no signs of weakening. Losses among securitized accounts dipped 2 bp to an annualized 0.68% in October, while delinquencies fell 2 bp to 0.42.

0

1

2

3

1/09 1/10 1/11 1/12 1/13 1/14 1/15 1/16

Prime Auto Loans

0369

1215

1/09 1/10 1/11 1/12 1/13 1/14 1/15 1/16

Subprime Auto Loans

Loss Rate (%)

60-Day Delinquencies (%)Source: www.fitchratings.com

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Zais Seeks Added Buying PowerZais Group is attempting to raise additional capital for invest-

ments in structured products.The Red Bank, N.J., firm’s recent outreach follows a long

slide in its assets under management, to $4 billion today from $5 billion in June 2014 and a peak of $11.7 billion in 2008. Any fresh contributions would go both into the shop’s hedge funds and separate accounts.

Zais, whose limited partners include institutions and indi-viduals worldwide, is gearing its current marketing appeals in large part toward investors in Europe.

Among the products it is offering is a yet-to-be-launched vehicle called Zephyr A-7 Fund that would invest exclusively in the mezzanine and equity pieces of collateralized loan obliga-tions.

In talks with prospective backers, company officials have pointed to what they see as opportunities to profit from rising values among those investments, along with senior and junior commercial mortgage bonds. They also have warned of poten-tial volatility among their other structured-product holdings, including residential mortgage securities — and to that end are taking some positions with less correlation to the asset- and mortgage-backed bond market, including shares in exchange-traded funds that focus on equities.

Take Zais Atlas Fund. According to a limited-partner pre-sentation from August, the vehicle had 31% of its capital invested in mezzanine CLO notes, with another 25% in mort-gage instruments and 23% in ETFs. Its holdings also included interest-only agency securities and derivatives, among other products.

The fund, which aims to produce annual returns of 10%, was running a year-to-date gain of 7.6% on July 31. Zais’ flag-ship Zais Opportunity Fund, which invests in a variety of credit products, was producing a 2016 return of 13.8% on Sept. 30, following a 9.4% loss in 2015.

In addition to its capital-raising efforts, Zais has added deriv-atives investor Ahrash Daneshvar and marketing specialist Iris Arrington to its London office. Daneshvar had been employed at Morgan Stanley since 2012. Arrington was at Marathon Asset Management since 2013 and before that was at Goldman Sachs.

Managing director Denise Crowley DeAngelis oversees Zais’ securitized-product investments. Other key staffers include Vincent Ingato, who leads a CLO-issuing unit that has produced five deals totaling $1.7 billion since launching in 2013.

Zais went public on March 17 via a reverse merger with spe-cial purpose acquisition company HF2 Financial. It continues to be run by founder Chris Zugel, a former J.P. Morgan executive.

SFIG ... From Page 1

marketplace-lending industry.When it comes to loan-by-loan data, SFIG’s recommenda-

tions likely will resemble those that issuers of bonds backed by auto loans and mortgages must follow under the SEC’s Regula-

tion AB. The information would include loan terms, sizes, bor-rower income and credit ratings.

While it already is common for issuers to release those details, investors said a more standardized approach would be helpful. “You’re not always getting a full-blown data set,” one buysider said, noting that current disclosures vary from deal to deal.

SFIG’s initiative follows a difficult stretch for the once-booming marketplace-loan industry, including lessened abil-ity to tap capital-markets funding. To that end, the project is aimed, in part, at easing bond buyers while perhaps keeping regulators at bay. “We wanted to be supportive of the growth of the sector, which can provide low-cost funding to the con-sumer, but at the same time enable it to grow in a responsible fashion,” SFIG executive director Richard Johns said. “In other words, we would not want to see it over-regulated, and see self-regulation as a way to support innovation while protecting both this market and the overall securitization market from the risk of any disruption event.”

The U.S. Treasury Department and Consumer Financial Pro-tection Bureau, for example, have been considering whether specific controls for marketplace loans are necessary — with both agencies dispatching representatives to the conference. Among the ideas they have discussed are bank charters for originators.

IMN’s conference, currently in its second year, is expected to draw about 500 people to the Marriott New York Downtown hotel. That’s down from about 650 last year, reflecting the sec-tor’s recent hiccups.

Those troubles have included weaker-than-expected loan performance, threats of bond downgrades from Moody’s and questions about loan enforceability. Originator Lending Club also was hit with a data-tampering scandal this year, as the firm’s chief competitor, Prosper Marketplace, conducted broad layoffs. Some lenders have gone out of business. “The frothi-ness has come down a bit, but there is a strong argument for being at the conference,” IMN executive Jade Friedensohn said. “There is value to hear from survivors about what they’ve gone through and come out stronger. Are you focusing harder on underwriting? Who is doing your servicing? That has become a hot topic.”

Speakers at the conference will include: Antonio Weiss, counselor to Treasury Secretary Jacob Lew; Social Finance chief executive Mike Cagney; Prosper president Ron Suber; Marlette Funding chief executive Jeffrey Meiler; Lending Club chief executive Scott Sanborn; and Deutsche Bank director Randal Johnson.

CorrectionA Nov. 11 article, “Parekh Recruited for Mortgage-Conduit Effort,” mischaracterized Window Rock Capital, the new employer of Ketan Parekh. Window Rock is a stand-alone com-pany that counts Cardon Family Office as an investor, but isn’t an arm of Cardon Group. The article also misspelled the name of Window Rock executive Joseph Kohout.

November 18, 2016 6Asset-BackedALERT

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BNY Chases Rental-Home DealsBNY Mellon is pitching itself as a servicer for securitizations

of rental-home cashflows.Officials from the bank have been in touch with several issu-

ers about potential assignments in recent weeks, possibly for deals that would hit the market by yearend. For now, it is focus-ing on offerings underpinned by so-called landlord loans — that is, financing for individuals with portfolios of rental homes.

The outreach follows a push in which BNY recently sought and won approvals to act as servicer for rental-home securiti-zations from Moody’s, Kroll and Morningstar. It also is tied to upgrades to the company’s servicing and trustee technology.

BNY has never before worked as a servicer on such a trans-action. Its competitors on that front include Cohen Financial and PNC unit Midland Loan Services.

BNY sees its work as a servicer as complementing its activities as an administrator and trustee, with the bank pitching itself as now offering a full suite of services. Other trustees active in the sector include Christiana Trust and Wilmington Trust.

Led by Colony American Homes, rental-home companies in the U.S. have completed 10 asset-backed bond deals totaling $4.1 billion this year, including three transactions in October and one in November, according to Asset-Backed Alert’s ABS Database. But with the near-term pipeline largely cleared, one source said the remainder of 2016 might bring just one more deal — meaning BNY might have to wait until 2017 to appear with regularity as a servicer.

BNY’s recent maneuvers could open the door for the com-pany to pursue servicing assignments on mortgage-bond deals, although it isn’t treating that as a priority at the moment. The bank pulled back from such work during the credit-market downturn, but has continued to service some pre-crisis portfolios.

Data Shop Expanding Asset CoverageDV01, which tracks the performance of marketplace-origi-

nated loans and related bonds both for issuers and investors, is branching into other areas.

The New York firm, which just launched a new marketplace-loan service in conjunction with Intex Solutions, already has expanded its portfolio-management software to encompass mortgage bonds — and is currently testing that feature with two unidentified banking clients. Next up is the addition of data on auto loans and auto-loan securities, which it expects to unveil in the first half of 2017.

On Nov. 14, the firm said it was enhancing its marketplace-loan offering with cashflow-analysis tools developed by Intex, a Needham, Mass., technology company that has long supplied data and analytics to structured-product issuers and investors. DV01 currently tracks $34 billion of loans originated by mar-ketplace lenders including Avant, Commonbond, Lending Club, Marlette Funding and Prosper Marketplace.

As it develops new features, DV01 plans to hire 3-4 more data-management specialists before yearend. The firm cur-rently employs about 20 people.

DV01 was founded in 2014 by Omar Bohsali and Perry Rah-bar. Bohsali, a technology specialist, previously co-founded Priceonomics. Rahbar last worked on J.P. Morgan’s mortgage-bond trading desk.

Skopos ... From Page 1

to turn this around,” one source said. “It’s a challenging situ-ation at best, and Lee Equity has been at its wit’s end. But [Skopos] will change their underwriting model and make it stronger and better and move it upstream and away from [the weakest borrowers].”

Skopos, founded in 2012, ran into trouble soon after issuing its first rated securitization of subprime loans in November 2015 — a $154 million transaction run by Citigroup. This January, the com-pany disclosed that 20% of the collateral loans already had been marked delinquent. Although senior bondholders are protected by high credit-enhancement, the deal has weighed on Skopos.

A Nov. 11 report from Kroll, which rated the bonds along with DBRS, said the transaction has suffered from “negative excess spread” for eight consecutive months, cutting into Skopos’ profits.

The performance issues haven’t yet led to losses for bond-holders, even those in the bottom D class, according to Kroll. The Class-D notes, rated B+/B by Kroll and DBRS, initially were protected by 12% over-collateralization and a 2% reserve account. Class-A bondholders additionally are protected by a hefty 34.5% subordination level.

The loan-performance problems prompted Skopos to put its securitization program on hold until it can revamp its lending business. The company’s spokesman said there are no plans to issue another asset-backed bond deal until at least 2018. Until then, Skopos will rely on other funding sources including Lee Equity and several warehouse lines. Earlier this year, Lee injected $23 million of fresh capital into the business.

Skopos focuses on borrowers with poor credit histories, including many who have no credit scores. It has done a lot of business in Texas, whose economy has taken a hit from the slumping petroleum sector.

But Skopos also has been hurt by a strategy of writing rela-tively large, long-term loans on newer, low-mileage vehicles. Other subprime lenders including Westlake Financial favor smaller-balance loans on older vehicles. One source described Skopos’ underwriting approach as a mismatch.

“You have deep-subprime customers put into assets with the deepest depreciation curve,” he said. “When someone defaults after a few months with a newer car, Skopos takes a bath.”

Skopos’ spokesman declined to comment.Prescher was employed since 2011 at California Republic,

where he oversaw a securitization program that produced $4.1 billion of transactions backed by prime auto loans. But he’s best known for a 14-year run at WFS, which was acquired by Wachovia just before the financial crisis. During Prescher’s ten-ure, WFS sold $35.6 billion of subprime-auto-loan bonds, in addition to $10.6 billion of paper backed by prime accounts, according to Asset-Backed Alert’s ABS Database. He left there in 2006.

November 18, 2016 8Asset-BackedALERT

Jumbo ... From Page 1

following Donald Trump’s election as president on Nov. 8, cur-rently to 245 bp.

Indeed, average jumbo mortgage rates have risen to 4.73% from 4.26% on election day. Treasury yields also have risen, but not as quickly, to 2.28% from 1.87%.

The outlook contrasts with recent market conditions, in which many lenders have favored whole-loan sales. With securitization proving too costly in relation to mortgage rates, several shops went so far as to shutter conduit programs that would have relied on bond sales — Premium Point Investments’ WinWater Mortgage and Two Harbor’s Agate Bay Mortgage among them.

One mortgage-bond banker predicted “2017 is going to be a big year for jumbos, finally.” He added, “it’s getting to the point where rates on jumbos have gotten high enough to make sell-ing bonds a better alternative than selling whole loans.”

As for the issuers in the pipeline, Redwood has remained among the most active this year with three deals totaling $1 billion. The Mill Valley, Calif., lender typically comes to mar-ket on a quarterly basis, but could skip its usual fourth-quarter offering as it prepares for more-frequent appearances in 2017. “We expect to issue more bonds beginning in the first quarter of 2017, subject to market conditions,” chief financial officer Chris Abate said.

Some of Redwood’s added volume could entail securitiza-tions of accounts it writes under a recently launched program called Redwood Choice that targets prime-quality borrowers with scores as low as 661, with allowances for minor credit blemishes, higher loan-to-value ratios and more flexibility to finance multi-unit properties. The company until now has securitized credits written only under its Redwood Select label, which is geared toward individuals with pristine credit profiles.

Excluding two risk-transfer deals, J.P. Morgan has com-pleted three jumbo-loan securitizations totaling $1.1 billion in 2016. Sources said the bank has suggested its 2017 tally will grow by at least $500 million. “I could definitely see J.P. Morgan adding a few more deals next year,” one investor said.

Shellpoint was in the market this week with a $353.7 mil-lion transaction backed by a mix of prime and alternative-A accounts, marking the Greenville, S.C., lender’s first such deal since 2015. Bank of America is running the books on the offer-ing, which is expected to be followed by more-frequent appear-ances in 2017.

Credit Suisse’s issuing arm, meanwhile, completed two re-Remic transactions in February but hasn’t sold bonds backed by fresh jumbo accounts since carrying out a $315.1 million transaction last November — an absence sources attribute to a more favorable landscape for whole-loan sales.

There also is talk of one or more deals next year from Ever-Bank, which has kept its issuing program on the shelf since 2013 while opting instead for whole-loan sales. The buyers of the Atlanta lender’s accounts have included Redwood, which in turn securitized some of the credits.

In most cases, the upcoming deals would be backed by loans that meet the Consumer Financial Protection Bureau’s “quali-fied-mortgage” standards. That means the issuers wouldn’t have to keep 5% interests in the transactions under the Dodd-Frank Act’s risk-retention rule.

Along with more favorable economics for bond sales, chatter about the transactions is being driven by expecta-tions that Trump’s election could bring renewed efforts to reduce the footprints of Fannie Mae and Freddie Mac — and thus free up more lending business for private-label origina-tors. Such a push could start with a reduction in the agencies’ maximum loan sizes, from the current $625,500 in high-cost markets.

While proposals to scale back Fannie and Freddie have failed in recent years, the matter is gaining attention now, in part, because of ties that Trump maintains with Rep. Jeb Hen-sarling (R-Texas). Hensarling, who leads the House Financial Services Committee and has been mentioned as a candidate to head the U.S. Treasury Department, in 2014 authored a bill that would have phased out the agencies.

A mere $5 billion of non-agency mortgage bonds priced in the U.S. over the first nine months of this year, down from $25.6 billion a year earlier and $13.6 billion during the same period in 2014, according to Asset-Backed Alert’s ABS Data-base.

November 18, 2016 9Asset-BackedALERT

November 18, 2016 10Asset-BackedALERT

INITIAL PRICINGS

Verizon Owner Trust, 2016-2 Priced: Nov. 16 Amount: $1.4 billion Collateral: Device payment plans Seller: Verizon Bookrunners: Bank of America, Deutsche Bank, RBC Capital, Wells Fargo

Class S/F Amount Yield WAL Spread Benchmark A AAA 1,200.000 1.690 2.55 +35 Int. Swaps B AA 100.000 2.167 3.30 +70 Int. Swaps C A 100.000 2.372 3.33 +90 Int. Swaps

Drive Auto Receivables Trust, 2016-C Priced: Nov. 16 Amount: $1.25 billion Collateral: Auto loans (subprime) Seller: Santander Group Bookrunners: Deutsche Bank, J.P. Morgan, Societe Generale, Wells Fargo

Class M/S Amount Yield WAL Spread Benchmark A-1 A1+ 176.000 0.900 0.14 A-2 AAA 271.370 1.417 0.46 +50 EDSF A-3 AAA 143.320 1.684 0.98 +65 EDSF B Aa1/AA 187.900 2.390 1.52 +125 EDSF C Aa3/A 236.930 3.044 2.31 +175 Int. Swaps D Baa3/BBB 234.480 4.223 3.35 +275 Int. Swaps

SoFi Professional Loan Program LLC, 2016-E Priced: Nov. 16 Amount: $584.4 million Collateral: Student loans Seller: Social Finance Bookrunners: Goldman Sachs, Deutsche Bank, Morgan Stanley

Class M/D Amount Yield WAL Spread Benchmark A-1 AAA 164.602 2.97 +85 1 mo. Libor A-2A AAA 203.318 1.641 1.25 +55 EDSF A-2B AAA 155.170 2.549 4.63 +90 Int. Swaps B A2/AA(L) 36.965 3.734 8.38 +175 Int. Swaps C Baa2/A(L) 24.365 4.637 8.43 +265 Int. Swaps

Evergreen Credit Card Trust, 2016-3 Priced: Nov. 17 Amount: $500 million Collateral: Credit cards Seller: Toronto Dominion Bank Bookrunners: J.P. Morgan, TD Securities, Wells Fargo

Class S/F Amount Yield WAL Spread Benchmark A AAA 500.000 1.97 +50 1 mo. Libor

Towd Point Mortgage Funding, 2016-Granite2 Priced: Nov. 11 Amount: £410.3 million Collateral: Non-U.S. residential loans Seller: Cerberus Capital Management Bookrunners: Morgan Stanley, Natixis, Wells Fargo

Class M/S Amount Yield WAL Spread Benchmark A AAA 372.477 1.83 +95 3 mo. Libor B Aa2/AA+ 18.353 2.51 +160 3 mo. Libor C A3/A+ 12.955 2.51 +260 3 mo. Libor D Baa3/A 6.477 2.51 +310 3 mo. Libor

PHEAA Student Loan Trust, 2016-2 Priced: Nov. 16 Amount: $382.7 million Collateral: Student loans Seller: Pennsylvania Higher Education Assistance Agency Bookrunners: BMO Capital, Credit Suisse, RBC Capital

Class S/F Amount Yield WAL Spread Benchmark A AA+/AAA 375.700 5.55 +95 1 mo. Libor B NR/AA 7.000 13.76 +250 1 mo. Libor

SPS Servicer Advance Receivables Trust, 2016-T1 Priced: Nov. 16 Amount: $250 million Collateral: Servicer advance receivables Seller: Select Portfolio Servicing Bookrunner: Credit Suisse

Class S&P Amount Yield WAL Spread Benchmark A AAA 220.101 2.548 1.98 +130 EDSF B AA 7.490 2.948 1.98 +170 EDSF C A 8.135 3.348 1.98 +210 EDSF D BBB 14.274 3.918 1.98 +267 EDSF

SPS Servicer Advance Receivables Trust, 2016-T2 Priced: Nov. 16 Amount: $350 million Collateral: Servicer advance receivables Seller: Select Portfolio Servicing Bookrunner: Credit Suisse

Class S&P Amount Yield WAL Spread Benchmark A AAA 302.470 2.770 2.98 +135 Int. Swaps B AA 11.500 3.120 2.98 +170 Int. Swaps C A 12.753 3.620 2.98 +220 Int. Swaps D BBB 23.277 4.190 2.98 +277 Int. Swaps

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 11/11 Earlier avg.

Credit card - Fixed rate (vs. Swap)

2.0 +13 +14 +26.6

5.0 +34 +35 +46.4

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

2.0 +14 +15 +27.3

5.0 +35 +36 +46.6

Auto loan - Tranched

(vs. Swap)

2.0 +16 +17 +31.5

3.0 +25 +26 +41.2

Swap spreads (bid/offer midpoint)

2.0 +25 +25 +15.3

5.0 +5 +4 -2.1

10.0 -13 -14 -13.0

Source: Deutsche Bank

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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.)2015 2016

01/06/00 J 0.0 0.0 Year-to-date volume ($Bil.)01/13/00 3.0 0.0 2016 201501/20/00 9.7 5.6 US Public 83.8 98.501/27/00 19.8 16.5 US 144A 122.0 108.602/03/00 F 24.0 19.4 Non-US 107.1 104.502/10/00 29.9 24.3 TOTAL 312.9 311.602/17/00 34.4 33.902/24/00 46.0 40.103/02/00 M 55.5 47.103/09/00 63.9 48.703/16/00 72.0 53.303/23/00 81.9 60.503/30/00 A 88.4 66.004/06/00 89.3 68.104/13/00 93.5 81.204/20/00 103.7 89.504/27/00 M 114.6 99.805/04/00 120.1 106.705/11/00 125.6 115.205/18/00 134.5 122.305/25/00 153.2 135.406/01/00 J 158.1 142.806/08/00 165.5 145.806/15/00 173.3 158.606/22/00 181.7 165.706/29/00 185.9 171.307/06/00 J 187.0 173.107/13/00 189.0 175.707/20/00 198.1 188.207/27/00 210.4 202.208/03/00 217.7 206.108/10/00 A 221.7 217.908/17/00 227.4 221.108/24/00 232.9 228.908/31/00 236.3 229.309/07/00 239.6 229.509/14/00 S 248.5 236.509/21/00 252.7 254.509/28/00 259.9 256.310/05/00 263.2 261.110/12/00 269.4 271.910/19/00 O 276.3 280.810/26/00 289.5 296.311/02/00 293.9 301.611/09/00 299.7 306.111/16/00 303.8 307.411/23/00 N 311.6 312.911/30/00 318.212/07/00 321.612/14/00 330.0

November 18, 2016 11Asset-BackedALERT

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November 18, 2016 12Asset-BackedALERT

Mellon unit Insight Investment to take a similar job at Nassau Re, where his tasks include starting a collateral-ized loan obligation issuing program. Jackson also set up a CLO business at Insight predecessor Cutwater Asset Management, and remained on board through BNY’s 2015 purchase of the operation from MBIA. He had joined Cutwater in 2013 from CIFC, and before that spent time at J.H. Whitney & Co., Societe Generale, ING, NatWest and Banque Nationale de Paris. Jackson is stationed in the Darien, Conn., office of Nassau Re, which was formed last year by Golden Gate Capital.

Jonathan Phair has returned to a col-lateralized loan obligation banking role in Bank of America’s New York office. Phair had been working since 2009 as a portfolio manager at RBS, including a two-year stint in which he managed a £38 billion ($47 billion) book of debt investments that lost value during the credit crisis. He was on the structured-

product origination team at BofA before that, with involvement in CLOs and mortgage bonds. He also has worked at State Farm and Aetna.

Trader Alan Packman left the London office of Stifel Financial last month. Packman, a managing director cover-ing asset- and mortgage-backed bonds, joined the broker-dealer in 2012 from the top collateralized loan obligation trading post in UBS’ London office. Before that, he traded asset-backed bonds and CLOs at Aladdin Capital.

Palmer Square Capital has hired two marketers to recruit investors for its funds, whose holdings include struc-tured products. Senior vice president Brad McClintock comes from UMB Financial, where he was employed since 1999. Vice president Mike Daniel signed on from PNC unit Midland Loan Services, where he worked since 2009. Both recruits are stationed in Mission Woods, Kan. In addition to its invest-ment activities, Palmer Square is a collateralized loan obligation issuer. The firm is led by the husband-and-wife team of Chris Long and Angie Long. It

had $3.7 billion under management at yearend 2015.

Founder Adam Young is again doing business under the banner of Clear Haven Capital, a New York hedge fund shop he founded in 2012. Young had left Clear Haven earlier this year to join startup fund operator Jeremy Point Management as a partner. He left that firm last month, after chief backer ED&F Man pulled its funding. Young runs $40 million through Clear Point, with a focus on asset- and mortgage-backed bonds. He also has worked at Macqua-rie, Bayview Financial, Deutsche Bank and Lehman Brothers.

Darien-Rowayton Bank has added a vice president to its capital-markets unit. In his new role, Ryan Foss’ duties include working on the institution’s private student-loan securitization program — which has produced two deals totaling $340.7 million this year. Foss had been working since 2015 at Compass Analyt-ics and before that was at RBS. He also counts Gleacher & Co., Credit Suisse, Fidelity Investments and J.P. Morgan as former employers.