Marketplace Lending Securitization Tracker Q4 2016 MPL Securitization... · 2017. 2. 3. · Marketplace Lending Securitization Tracker Q4 2016 Marketplace lending securitization remains

Marketplace Lending Securitization Tracker

Q4 2016

Marketplace lending securitization remains a bright spot in the ABS market. Total issuance topped $2.4 Bn this quarter with cumulative issuance now totaling $15.1 Bn. YTD issuance of the sector stands at $7.8Bn as compared to $4.9 Bn from prior year, a 59% increase. Although MPL origination volumes have declined at some platforms, the percentage of loans funded through ABS is at a record high of 70%.

The movement towards rated securitizations at larger transaction sizes continues. Further, the growth in average deal size continued, growing to $252 Mn in 2016 as compared to $35 Mn in 2013.

New issuance spreads continued to tighten in—a credit friendly environment for securitization. In 2016, we saw moderate spread compression across senior classes, indicating stable investor appetite for MPL ABS paper in the market.

We estimate $6.3 Bn to $11.2 Bn MPL ABS issuance for 2017. Goldman Sachs, Morgan Stanley, and Citi take top positions on the league tables.

Ratings agencies grow increasingly comfortable with assessing MPL risk. Kroll provided the first rating for a securitization of Madden-Midland loans. DBRS tops the league tables in ratings activity.

We expect higher volatility from rising rates, regulatory uncertainty, and an exit from a period of unusually benign credit conditions. Platforms that can sustain low-cost capital access, build investor confidence via 3rd party tools, and embed strong risk management frameworks will grow and take market share.

Wilfred Daye [email protected] Jianguo Xiao [email protected] Yishu Song [email protected]

Investors should consider PeerIQ as only a single factor in making their investment decision. Please refer to the Disclosure Section, located at the end of this report, for information on disclaimers and disclosures.

PeerIQ Marketplace Lending Securitization Tracker: 4Q2016

Copyright © 2017 PeerIQ. All rights reserved. 1

Introduction Marketplace Lending ABS Trends

The fourth quarter of 2016 saw steady growth in MPL securitization. Ten deals priced, totaling $2.4 Bn, another quarter of strong quarterly issuance. Total issuance for 2016 reached $7.8 Bn, as compared to $4.9 Bn for 2015 (59% YOY growth). This growth now brings the total size of MPL securitization issuance volume to date to $15.1 Bn.

Although we continue to see differentiation in credit performance and execution across issuers, overall, investor sentiment has improved dramatically versus a year ago. Spreads on new issue senior consumer MPL ABS have tightened 50% for 2016; and the demand for paper across the capital structure has been over-subscribed for new issuance deals.

The market continued to move towards larger deals with repeat issuers. Further, new issuance pricing spreads tightened, in line with other securitized products, although MPL bonds continue to offer attractive relative value for comparable duration and rated products.

All variations of originators—(i) balance-sheet, (ii) pure marketplace lenders, and (iii) hybrids—have established programs to tap into the ABS markets in 2016. In July, Marlette issued its first unsecured consumer loan MPL ABS deal from its new shelf (MFT). Lending Club introduced the first deal on its branded shelf (LCIT), suggesting a pattern of repeat standardized issuance. Looking ahead in Q1 2017, Upstart and Prosper reportedly intend to inaugurate a securitization program.

Further, SoFi, the largest MPL issuer, has emerged as a model for successful repeat issuance, enjoying a 70 to 110 bps funding cost advantage in senior ABS pricing versus its peers in the student lending category.

Macro Conditions

In a widely expected move, on December 14th, FOMC officials increased the Fed Funds rate by 25 basis points to a target range of between 50 and 75 basis points. The Fed is taking an increasingly hawkish stance due to an improving growth outlook (3.5% annualized growth in Q3), tightening labor market (4.6% unemployment, a nine-year low), and wage growth (91-month high). The ten-year inflation bonds traded at ~2% breakeven rate at the year-end 2016. Further, consumer confidence in the economy is at its highest level since August 2001.

A strong “risk-on” environment has prevailed since the US election. Treasuries have sold off and equity markets have

rallied on higher growth and inflation expectations. The UST 10-year bond yield of 2.4% is up a whopping 54 bps since Election Day. Equity markets have rallied and the S&P 500 increased 6.4% post-election.

For 4Q16, overall credit markets have exhibited low volatility and credit conditions remain relatively benign. For instance, implied volatility on 3-month CDX HY options stayed at their historical low of 37%. On-the-run CDX HY traded in a range bound between 375 to 420 basis points. Further, in US CLO market, the median YTD total return (through November 2016) was 2.8% for AAAs, 4.0% for AAs, 5.8% for single-As, and 11.3% for BBBs. The US loan index returned approximately 8.9% from Jan to Nov.

Within the MPL space specifically, the above conditions paired with greater investor acceptance—including the first rated deal consisting of Madden-Midland loans in Lending Club’s LCIT 2016-NP2.

Regulatory Uncertainty Remains High

Concerns of heightened regulatory scrutiny last year have given way to a largely constructive outlook, although regulatory uncertainty remains high.

Platforms are sponsoring self-regulatory efforts via trade associations such as SFIG and the Marketplace Lending Association. The message is resonating. In an important milestone for 2016, US Treasury, Federal Reserve, SEC, and the Office of the Comptroller of the Currency (OCC), each publicly acknowledged that marketplace lending is expanding access to credit to traditionally under-served segments.

Regulatory uncertainty remains high for marketplace lenders that rely on partner-funding bank model. The consensus view is that the risk that courts deem loans originated via the partner-funding bank model as invalid is low, although such an outcome, however remote, is paired with high severity.

In November, Thomas Curry, head of the OCC, announced that the agency would grant national bank charters to qualifying FinTech firms. Curry cited “public interest,” a “patchwork of supervision,” and the “great potential to expand financial inclusion” as motivations for the charter.

The charter would offer pre-emption—the ability of chartered FinTechs to export rates across state lines—and avoid the need for disparate state-by-state licensing or originating via partner-funding banks. In constructing the guidelines, the OCC seeks to continue to foster financial



inclusion via FinTech innovation, while maintaining public confidence in national banks and the banking system more generally.

The supervisory guidelines in the proposal require, among other provisions, a top-down culture of compliance, a risk assessment and management framework, and to-be-specified capital and liquidity rules. (See here for PeerIQ’s summary of the supervisory guidelines).

The strict qualitative criteria suggest that the charter will be awarded sparingly, case-by-case, and to FinTechs that do not have going-concern risk. More fundamentally, the charter does not address the core funding and liquidity issues impacting the sector. The OCC is accepting comments on the charter and is expected to release final rules in April 2017.

Finally, there several new legislative proposals relevant to the MPL sector, which we summarize below:

Exhibit 1

Cumulative Marketplace Securitizations

Source: PeerIQ

Financing Costs

Warehouse financing costs remain elevated due to a limited supply of warehouse finance, limited credit performance data, and concerns on data integrity (see CAN Capital credit facility breach).

We observe credit facility financing costs on unsecured personal loans in the 3.5% to 6.5% range. Financing costs are a function of counterparty risk, data integrity, asset class, credit performance, recourse vs. non-recourse financing, and ability to offload risk via an active ABS market.

Access to financing and liquidity continues to be central concern for investors in MPL space. This sentiment was highlighted when equity shares of OnDeck surged 5.4% immediately after the announcement of $200 Mn credit facility with Credit Suisse on December 9th.

Other publicly reported credit facility financings in the quarter include Fundation ($100 Mn line from GS), Solar Mosaic ($250 Mn from DB), and We Lab ($25 Mn line from ING Bank), and Apple Pie (SunTrust Bank).

Trigger Breaches

At the end of Q3, PeerIQ predicted several trigger breaches would take place in the ensuing months.

Trigger breaches are manifestation of unexpected credit performance, poor credit modeling, unguarded structuring practice. The average time to breach performance triggers for consumer MPL ABS deals was approximately 11 month as collateral losses ramped up within the deal.

During the past three months, four unsecured consumer and one SME deals had breached triggers. The exhibit below summarizes the ten active deals that had breached triggers in MPL ABS sector (eight unsecured consumer and two SME deals) with $1.3 Bn of total issuance volume.

Exhibit 2

MPL ABS Deal Trigger Breaches

Source: Bloomberg, PeerIQ, Ratings Agencies

After two years of seasoning, CAN re-classified a portion of collateral loans that were represented as current but should have been treated as delinquent in CAN 2014-1A transaction—a material breach in representations and warranties. The newly identified delinquent loans also led to breach of the minimum excess spread trigger.

Summary of Bills Description

Jeb Hensarling (R-TX) “Financial Choice Act” HR 5983

• Repeals Volcker with goal of improving market liquidity

• Replaces ‘Too Big to Fail’ bailout provision with additional sub-chapter in bankruptcy code

• Authorizes SEC with stronger penalties for banks

• Provides relief for community banks with high capital ratios by enables banks to choose complying with Dodd-Frank or alternative of 10% capital requirement

• Replaces risk-based capital rule with tangible asset-based leverage ratio

Patrick McHenry (R-NC) “Financial Services Innovation Act” HR 6118

• Create an innovation office in 12 government agencies dedicated to fintech

• Creates a system for companies to apply for protection from regulatory enforcement actions as they develop new products.

Patrick McHenry (R-NC) “IRS Data Verification Modernization Act” HR 5725

• Requires the IRS to automate the Income Verification Express Services process by creating an Application Programming Interface (API)

• Reduces paperwork and waiting period burdens on borrowers



The negative headline associated with trigger breaches increased the cost and availability of funding for originators. The growing number of deals breaching triggers in MPL ABS are leading marketplace lenders taking greater control of their ABS programs to set standards and structure.

Sponsors and ABS investors are using sophisticated 3rd party analytics such as those offered by PeerIQ to independently model deal economics and monitor collateral on an on-going basis, perform 3rd party credit validation and verification.

Data & Standardization

Ratings agencies continued to raise the quality and history of data as key factors in their rating assessments. The paucity of historical data increases the error range on cumulative loss estimates which makes ratings assessment difficult.

Finally, we note that the Structured Finance Industry Group (SFIG) workstream on data reporting standards (including PeerIQ as a key participant) released a “Green Paper” providing for data reporting standards. SFIG also has a workstream on representations & warranties across originators—a welcome development for the sector.

Definitions and Inclusion Rules

Our Tracker includes all issuances connected to assets originated by marketplace lending platforms, which we define as including both:

(i) Online and other novel technologies to increase operational efficiency, risk accuracy, and borrower experience, and

(ii) Non-deposit funding for lending capital.

We recognize there is rapid innovation in lending channels, and welcome all comments and consideration on inclusion rules.

I. Quarterly Round-up

Despite holiday season slowdown, this past quarter saw ten securitization deals, adding $2.4 Bn in new issuance, consistent with Q3 record deal flow. This represents 23.0% YoY growth in total issuance year-to-date and 3.7% growth from Q3, Indeed, MPL securitization remains a bright spot in the ABS world, with its 23.0% YoY growth.

Total securitization issuance to date now stands at $15.1 Bn, with 72 deals issued to date (43 Consumer, 20 Student, 1 Mortgage and 8 SME) since September 2013 (Exhibit 1).

Exhibit 3

Cumulative Marketplace Securitizations

Source: Bloomberg, PeerIQ.

Examining issuance by underlying collateral segment, we see that Consumer and Student have similar volumes, with Consumer continuing to lead with $7.1 Bn issued to date, as compared to Student at $6.0 Bn (Exhibit 2). Issuance activities in the Small-Medium Enterprise (SME) space was muted for the quarter. SME remains the smallest segment with $1.7 Bn total issuance.

Exhibit 4

Marketplace Securitizations by Segments




There were eight new deals in Q4 2016:

• SoFi: SOFI 2016-E, SCLP 2016-3, SCLP 2016-5, SOFI 2016-F, SFPMT 2016-1

• LendingClub: LCIT 2016-NP2, MHMT 2016-LC1

• Earnest: EARN 2016-D

• Prosper: INSKT 2016-1

• CommonBond: CBSLT 2016-B

This quarter, SoFi priced its inaugural residential mortgage-

backed securitization, which is backed by a $169 Mn pool of first-lien, fixed-rate, prime residential mortgage loans originated by SoFi. SFPMT 2016-1, led by Barclays, will issue four classes of super senior notes, and two tranches of supportive senior notes. (See PeerIQ newsletter for further analysis.)

Since 2010, the market has issued approximately $40 Bn of prime jumbo securitizations dominated by bank players like J.P. Morgan and Credit Suisse, with combined new issuance market share of over 50%. SoFi’s inaugural prime jumbo securitization had demonstrated its ability to grow through value-added origination across verticals, starting with student loan refinance, unsecured consumer loans, and then mortgages. It also supports our thesis that the demarcation line between FinTech and traditional asset classes will be blurred as this emerging industry grows.

In addition to the expansion into new collateral category prime jumbo mortgages, rating agency blessing continues to be a key driver for strong deal execution. All deals issued in 4Q16 were rated by at least one rating agency (Exhibit 5), except for MHMT 2016-LC1 and INSKT 2016-1. As of today, we track 120 MPL ABS rated by rating agencies, of which, 24% were rated in 4Q16, representing stabilized rating agency participation (Exhibit 6). Again, we expect that the vast majority of MPL ABS to be rated as issuers seek to broaden the base of eligible investors.

Exhibit 5

4Q16 Rated Issuances


countTranche Segment OriginalBalance

($mm)Moodys S&P DBRS Fitch Kroll

1 LCIT2016-NP2A Consumer 85.3 BBB2 LCIT2016-NP2B Consumer 16.4 BB+3 SCLP2016-3A Consumer 451.7 A A4 SCLP2016-3B Consumer 60.9 BBB BBB5 SCLP2016-5A Consumer 188.267 A A+6 SFPMT2016-1A1A6 Mortgage 84.1 AAA AAA AAA7 SFPMT2016-1A1A8 Mortgage 28.0 AAA AAA AAA8 SFPMT2016-1A1AMF Mortgage 11.8 AAA AAA AAA9 SFPMT2016-1A2A6 Mortgage 23.5 AAA AAA AAA10 SFPMT2016-1A2A8 Mortgage 7.8 AAA AAA AAA11 SFPMT2016-1A2AMF Mortgage 3.3 AAA AAA AAA12 SFPMT2016-1AB1 Mortgage 4.0 AA AA AA13 SFPMT2016-1AB2 Mortgage 2.4 A A A14 SFPMT2016-1AB3 Mortgage 1.2 BBB BBB BBB15 SFPMT2016-1AB4 Mortgage 0.9 BB BB BB16 SFPMT2016-1AB5 Mortgage 0.8 B B B17 CBSLT2016-BA1 Student 86.679 A1 AAL18 CBSLT2016-BA2 Student 64.153 A1 AAL19 CBSLT2016-BB Student 17.698 BBB20 EARN2016-DA1 Student 51.3 A AAL21 EARN2016-DA2 Student 104.2 A AAL22 EARN2016-DB Student 13.4 BBB23 EARN2016-DC Student 5.9 BB24 SOFI2016-EA1 Student 164.6 Aaa AAA25 SOFI2016-EA2B Student 155.2 Aaa AAA26 SOFI2016-EC Student 24.4 Baa2 AL27 SOFI2016-FA1 Student 40.7 A228 SOFI2016-FA2 Student 82.8 A229 SOFI2016-FB Student 7.2 Baa2



Exhibit 6

Most Rated Issuance in 4Q16


Of note, in Q4, Jefferies brought the first rated LendingClub Near-Prime securitization LCIT 2016-NP2 into the market. This second LCIT shelf deal is also consisted of Madden- Midland loans in its collateral pool. Given the collateral pool of the LCIT 2016-NP1 (unrated) and NP2 (rated) deals are similar and tranches have the identical credit enhancement, the expected loss of each tranche should also be comparable. However, the pricing for LCIT 2016-NP2 A (BBB-rated) was about 75 basis points tighter than LCIT 2016-NP1 A (Non-rated) tranche.

The emergence of rated securities from LCIT shelf also supports our belief that the rating agencies are more comfortable in rating this nascent industry with more historical performance data. Issuers are more inclined to get their deals rated to expand their investor base and increase their credibility with investors.

On the SME front, despite lack of new issuance for the quarter, OnDeck, the leading SME online lender, closed a $200 Mn DBRS A- rated asset-backed revolving debt facility with Credit Suisse, Prime OnDeck Receivable Trust II. The rating of the Class A Loans reflected the 18% of initial hard credit enhancement comprised of the 1% reserve account and 17% overcollateralization. Additional credit support may be provided from excess spread available in the structure.

Finally, deals continue to increase in average deal size over time, led primarily by SoFi’s large placements. The average securitization deal now stands at $267 Mn for 2016.

Exhibit 7

Average Deal Size over Time


II. MPL Securitization League Tables

We continue to see Goldman Sachs and Morgan Stanley ramping up deal participation aggressively in Q4. Maintaining its one number rank on league table, Goldman Sachs was involved in $3.6 Bn in total new issuance, a 44% growth from 3Q16. GS worked with SoFi, CommonBond, and Earnest and other originators to capture about 23% of the market share in MPL ABS by issuance volume. Further, Morgan Stanley showed 60% growth in deal participation with $3.3 Bn in total volume for the quarter, a 4% increase in market share from 3Q2016. Top three dealers, Goldman Sachs, Morgan Stanley, and Citi, took over about 50% of the total market share in MPL space.

Exhibit 8

Lead-Manager League Table Excl. Self-led (All Issuance to Date)


Further, as mentioned in our 3Q2016 tracker, banks had pulled back from financing business in MPL space due to recent headlines, regulatory risks, or firm-specific considerations. Yet, dealers continued to display heightened interest in MPL ABS securitization, intermediating originators’ demand for financing and absolute investors’

Lead

Rank Bookrunner /Lead DealerDeal Value

($Mn)Quarterly

Change % Top 10Goldman Sachs 1 Goldman Sachs 3,563 44% 23%Morgan Stanley 2 Morgan Stanley 3,325 59% 21%Citi 3 Citi 2,144 15% 14%Credit Suisse 4 Credit Suisse 1,921 19% 12%Deutsche Bank 5 Deutsche Bank 1,616 16% 10%Jefferies 6 Jefferies 1,440 5% 9%

JP Morgan 7 JP Morgan 620 85% 4%Barclays 8 Barclays 559 97% 4%Guggenheim Securities 9 Guggenheim Securities 257 0% 2%Bonwick Capital 10 Bonwick Capital 125 n/a 1%



desire for yield. In particular, we saw Mizuho Securities participated its first MPL ABS transaction (SOFI 2016-F) with Morgan Stanley in December.

As evidenced by the continued issuance, the impact of Dodd-Frank risk retention rules, effective on December 24, 2016, has not led to an appreciable slowdown in new issuance activities. The risk retention rule had indeed slowed down the issuance activities and led to consolidation for mature securitization markets such as Commercial Mortgage Backed Securities (CMBS) and Collateralized Loan Obligation (CLO) market.

Overall, the rule suggested that securitizers will need to commit approximately $23 Bn of new capital to sustain current overall new issuance securitization market in US.

The negative impact of risk retention is masked and by the growth rate of the MPL ABS market and by dealers’ positioning to gain market share.

Turning to the co-manager league table, SoFi doubled deal volume this quarter to $3.0 Bn. As telegraphed by SoFi, SoFi ended 2016 with twelve new deals across student, personal, and mortgage verticals. SoFi is the co-manager for almost all of its deals, capturing approximately 40% of total new issuance (Exhibit 7).

Deutsche Bank raced head of BoA and took over the second position with $684 Mn of deal volume on the co-manager league table, continuing its growth with strong conviction in supporting the MPL ecosystem. The top three co-managers on the league table took over approximately 60% of the total market share. Greensledge, replacing Credit Suisse, stepped into the six place with $421 Mn in deal participation.

Exhibit 9

Co-Manager League Table Excl. Self-led (All Issuance to Date)


As aforementioned, we currently observe 120 rated MPL ABS bonds in the market. As of 4Q16, DBRS leads Moody’s,

Kroll, S&P and Fitch in the amount of rated bonds. DBRS rated $6.4 Bn Student MPL ABS, or approximately 47% of sub-segment, competing primarily against Moody’s within the student sector. Kroll dominates the Consumer MPL ABS category with about 50% market share. The mortgage sub-segment currently has an even split amongst DBRS, Fitch and Kroll.

Exhibit 10

Rating Agency League Table (All Issuance to Date)


Exhibit 11

Originator League Table (All Issuance to Date)


III. New Issuance Spreads

New issuance spreads in 4Q16 continued to tighten across capital structures, reflecting a healthy risk appetite in the capital markets. Further, we saw a continued preference for senior tranches over riskier subordinated bonds. As reflected in the exhibit below, this overall senior preference leads to a steepening of the overall term structure, with investors demanding higher premiums for riskier tranches—and this remains true across all loan segments. This is particularly evident in student sub-segment. Credit spread curves shifted downward in parallel, suggesting an overall yield compression and favorable credit environment in 4Q16.

Co-manager

Rank Co-ManagerDeal Value

($Mn)Quarterly

Change % Top 10SoFi 1 SoFi 2,981 94% 41%

Deutsche Bank 2 Deutsche Bank 962 70% 13%BoA 3 BoA 751 10% 10%

Morgan Stanley 4 Morgan Stanley 543 21% 8%JP Morgan 5 JP Morgan 478 37% 7%

GreensLedge 6 GreensLedge 421 53% 6%

Credit Suisse 7 Credit Suisse 372 20% 5%Barclays 8 Barclays 256 0% 4%

Goldman Sachs 9 Goldman Sachs 245 0% 3%KKR 10 KKR 194 11% 3%

Rating Agency

Consumer Mortgage SME Student Total Consumer Mortgage SME Student Total

DBRS 1,561 168 616 5,640 7,985 23.0% 33.3% 31.2% 47.9% 38.0%Fitch 543 168 711 8.0% 33.3% 0.0% 0.0% 3.4%Kroll 3,326 168 916 225 4,635 49.1% 33.3% 46.4% 1.9% 22.1%

Moody's 1,344 4,495 5,839 19.8% 0.0% 0.0% 38.2% 27.8%S&P 441 1,406 1,847 0.0% 0.0% 22.4% 11.9% 8.8%

Total 6,774 503 1,973 11,765 21,016

MPL Bonds Notional ($Mn) % of Market Share by Segment

Rank Co-ManagerDeal

Value % Top

10 Sub-SegmentsSoFi 1 SoFi 6,849 47% Student/Consumer/MortgageProsper 2 Prosper 2,243 15% ConsumerAvant 3 Avant 1,395 10% ConsumerLending Club 4 Lending Club 849 6% ConsumerOnDeck 5 OnDeck 767 5% SMEKabbage 6 Kabbage 765 5% SMEEarnest 7 Earnest 701 5% StudentCommonBond 8 CommonBond 418 3% StudentCross River Bank 9 Cross River Bank 291 2% Consumer

CircleBack 10 CircleBack 233 2% Consumer



Exhibit 12

New Issuance Spread Across Segments

Source: PeerIQ.

V. Outlook

The outlook for the year ahead presents new challenges and opportunities for marketplace lenders.

We expect higher volatility from rising rates, increased regulatory uncertainty, and an exit from a post-crisis period characterized by unusually benign credit performance.

We see opportunities for lenders, as consumer borrowers move out of the de-leveraging phase, which expands the total

addressable market. We also see increased bank partnerships as banks seek to improve their ROE and cover their cost of capital by partnering with MPL originators.

Higher Interest Rates

High financing costs continue to driving a wedge between would-be whole loan buyers and originators. Higher short-term interest rates from a Fed tightening cycle will further reduce net margins for whole loan investors.

Platforms that can successfully pass on rates to borrowers to offset the reduction in net interest margin reduction, increase operating efficiencies, or improve execution in the ABS market stand to take market share. We expect Fed rate hike as a continuation of a tightening cycle. Higher rates will leader to higher ABS coupons for 2017. Therefore, we expect to see originators re-price interest rates on MPL loans.

Higher Volatility from Regulatory Uncertainty

Although the regulatory outlook is constructive, regulatory uncertainty remains high.

Market participants are optimistic. Financial stocks as reflected by the KBW Index have rallied over 20% since Election Day pricing in greater growth from deregulation and earnings from higher rates. Markets expect a bias to action from the Trump administration, a more favorable regulatory outlook, and potential for relief on risk retention, bank capital & liquidity requirements, and a reduction in CFPB and SEC enforcement actions. Markets appear to be pricing in near

perfect execution of an idealized regulatory environment. We see this as unlikely.

The President-elect Trump’s transition team, including the nominee for Treasury Secretary, has indicated the new administration wants to “strip back” parts of Dodd-Frank. While the new administration has made some general statements about Dodd-Frank, it’s too early to tell which changes may materialize.

Within MPL specifically, the SEC, the OCC, and state regulators have differing views on jurisdiction and approach to regulation.

Moreover, given the cloture rules in the Senate which require 60 votes to overcome a filibuster, we expect the pace of regulatory relief will be slower than most market participants expect.

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Re-Normalization of Credit Performance

We are now seven years behind the Great Recession. Consistent with Fair Credit Reporting Act waiting period requirements, derogatory credit items (“derogs”) associated with bankruptcy, foreclosure, and short sales will fall off borrower credit bureau reports in 2017. As a result, we expect an expansion of credit eligible borrowers.

Also, borrowers that defended their credit scores through the cycle have positively self-selected. All things being equal, a borrower with a credit score of 700 today is not as strong as a borrower with a score of 700 after the Great Recession.

Exhibit 13

Charge-Off Rates on Consumer Loans

Source: St. Louis Federal Reserve: Charge-off Rates on Consumer Loans; PeerIQ.

The re-normalization of credit performance will create significant analytical challenges for underwriting and investment analysis. For instance, as losses will revert to historical levels, models trained on post-crisis data will tend to underestimate losses.

Further, lenders face new constraints in how they manage their risk from consumer protection regulation such as the CARD Act of 2009, which among other rules, eliminated “universal default” as a mechanism for mitigating risk.

Advanced risk analytics and historical data (such as offerings produced from uniting the TransUnion dataset with PeerIQ analytics) will play an important role in risk assessment and management for originations and investors alike.

Strong ABS Issuance Outlook

As we noted in our prior securitization tracker, numerous factors—platform rate increases, tighter underwriting, spread tightening in the primary and secondary ABS markets—improve the economics for whole loan buyers that fund via securitization.

For 2017, we expect:

1. Robust growth—a 47% increase in ABS volumes and greater dealer participation

2. Continued shift to standardized, repeat issuance

3. New products and additional modes of distribution

4. Continued trend of bank partnership

5. Greater investments in 3rd party solutions to improve investor confidence

Continued Growth in ABS Issuance Volumes

As marketplace lending loan growth rates in the US have accelerated over the last few years, lenders have become increasingly reliant on institutional capital, with many platforms particularly focused on securitization as core pillar of funding.

Rated securitization has moved from a coming-of-age milestone in the maturation of an originator, to an essential pillar for funding new origination. We forecast a 47% growth in ABS issuance under our base case scenario.

Exhibit 14

MPL ABS Issuance Growth

Source: PeerIQ.

Exhibit 15 below confirms our thesis that securitization is an essential pillar for the marketplace lending industry. Our analysis finds that the percentage of loans securitized via ABS stands at an all-time high of 70%.

Exhibit 15

ABS Issuance as Percentage of Origination Volume

Source: PeerIQ.

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2013 2014 2015 2016% L

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Loans Securitized as Percentage of MPL Origination

% MPL Orignation



Shifting Towards Standardized and Repeat Issuance

We anticipate greater participation in the securitization space as one-off issuers seek to become repeat issuers to optimize deal cost and capital market distribution.

PeerIQ anticipates the rise of contributed collateral “club deals” as platforms seek to dive standardization in deal terms while also offering whole loan investors a quarterly path to liquidity.

The growth in club deals will usher in a higher level of data homogenization, greater consistency in deal structure, increased data integrity, and consistent valuation methods.

New Products and Additional Modes of Distribution

Outside of securitization, additional modes of distribution will emerge. RiverNorth received SEC approval for a MPL-dedicated close-end fund in Q3, signaling the maturation of another major funding source for marketplace lending platforms. Other auxiliary funding channels including asset managers offering term capital, CUSIPs, private equity, and seasoning vehicles will expand the investors base for marketplace lending category.

Bank Partnerships

The seismic regulatory changes post the Great Recession of 2008 has forced the global banking sector to adjust the pre-2008 business model.

We argued in prior research that banks can improve their ROE position by funding or financing whole loans from marketplace lenders, and that most banks will choose to partner with marketplace lenders rather than compete.

We believe 2017 will feature a number of bank partnerships with non-banks, and increased competition from traditional banks.

Exhibit 16

Bank Partnerships Bank Competition

• Citizens Bank

• Goldman Sachs (warehouse lending)

• Sun Trust

• Citizens Bank

• Goldman Sachs (Marcus)

• Sun Trust

• PNC Financial

• JP Morgan

• Union Bank

• BBVA

• Regions Bank

• Banc Alliance

• Radius Bank

• Credigy

• Santander

• American Express

Source: PeerIQ

We expect traditional banks to cooperate with marketplace lenders to marry their low-cost funding profile with low-cost operations of marketplace lenders.

Greater Investments in 3rd Party Solutions

To gain investor confidence, marketplace lenders are now adjusting to the demand from warehouse lenders and whole loan investors for greater transparency and due diligence, including independent reviews, “hot” back-up servicing arrangements, verification, credit validation and heightened data integrity standards.

Further, the recent uptick in delinquency and losses in SME and other sub-segments, in general, leads to a persistent focus on fundamentals, such as credit underwriting and acquisition cost.

Originators and ABS investors will extend their investments in 3rd party data and analytics for a variety of investment and distribution activities, such as structuring deal waterfalls, determining deal collateral triggers, monitoring deal performance, coordinating club securitization deals, and improving investor confidence with loan-level data transparency.

The above trends highlight the need for 3rd party analytics, such as those offered by PeerIQ, to improve transparency, standardization, comparability, with the goal of improving investor confidence and the smooth functioning of ABS markets.

We remain optimistic on the marketplace lending ecosystem. The broad secular trends underpinning non-bank lending growth and the global demand for yield remain intact.


Copyright © 2017 PeerIQ. All rights reserved.

Appendix: Marketplace Lending Securitizations to Date

Ticker Type Originator Shelf Issuer Issue Date Collat Amt ($mm)

Credit Support

Amt ($mm)

Initial WAL (yrs)

Coupon Type

Initial Coupo

Est. Pricing

Moodys

S&P DBRS

Fitch

Kroll Rated

SOFI 2016-F A1 MTGE SOFI 2016-F A1 Student SoFi SOFI SoFi 22-Dec-16 131.66 16.1% 40.7 3.22 Floating 1.95 n/a A2 Rated

SOFI 2016-F A2 MTGE SOFI 2016-F A2 Student SoFi SOFI SoFi 22-Dec-16 131.66 16.1% 82.8 3.48 Fixed 3.02 n/a A2 RatedSOFI 2016-F B Student SoFi SOFI SoFi 22-Dec-16 131.66 11.0% 7.2 9.51 Variable 4.45 n/a Baa2 Rated

LCIT 2016-NP2 A MTGE LCIT 2016-NP2 A Consumer Lending Club LCIT LendingClub 2-Dec-16 121.73 35.5% 85.3 1.6 Fixed 3.00 195 BBB RatedLCIT 2016-NP2 B MTGE LCIT 2016-NP2 B Consumer Lending Club LCIT LendingClub 2-Dec-16 121.73 23.0% 16.4 2.4 Fixed 6.00 458 BB+ RatedSFPMT 2016-1A 1A6 Mtge SFPMT 2016-1A 1A6 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 15.0% 84.1 4.8 Variable 3.00 220 AAA AAA AAA RatedSFPMT 2016-1A 1A8 Mtge SFPMT 2016-1A 1A8 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 15.0% 28.0 4.8 Variable 3.00 210 AAA AAA AAA RatedSFPMT 2016-1A 1AMF Mtge SFPMT 2016-1A 1AMF Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 6.1% 11.8 4.8 Variable 3.00 250 AAA AAA AAA RatedSFPMT 2016-1A 2A6 Mtge SFPMT 2016-1A 2A6 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 15.0% 23.5 3.66 Variable 2.50 195 AAA AAA AAA RatedSFPMT 2016-1A 2A8 Mtge SFPMT 2016-1A 2A8 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 15.0% 7.8 3.66 Variable 2.50 180 AAA AAA AAA RatedSFPMT 2016-1A 2AMF Mtge SFPMT 2016-1A 2AMF Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 6.1% 3.3 3.66 Variable 2.50 215 AAA AAA AAA RatedSFPMT 2016-1A B1 Mtge SFPMT 2016-1A B1 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 3.7% 4.0 n/a Variable 3.17 n/a AA AA AA RatedSFPMT 2016-1A B2 Mtge SFPMT 2016-1A B2 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 2.3% 2.4 n/a Variable 3.17 n/a A A A RatedSFPMT 2016-1A B3 Mtge SFPMT 2016-1A B3 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 1.6% 1.2 n/a Variable 3.17 n/a BBB BBB BBB RatedSFPMT 2016-1A B4 Mtge SFPMT 2016-1A B4 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 1.1% 0.9 n/a Variable 3.17 n/a BB BB BB RatedSFPMT 2016-1A B5 Mtge SFPMT 2016-1A B5 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 0.6% 0.8 n/a Variable 3.17 n/a B B B RatedSFPMT 2016-1A B6 Mtge SFPMT 2016-1A B6 Mortgage SoFi SFPMT SoFi 1-Dec-16 168.79 0.0% 1.0 n/a Variable 3.17 n/a 0SOFI 2016-E A1 MTGE SOFI 2016-E A1 Student SoFi SOFI SoFi 22-Nov-16 584.42 16.4% 164.6 2.97 Floating 1.38 85 Aaa AAA RatedSOFI 2016-E A2A MTGE SOFI 2016-E A2A Student SoFi SOFI SoFi 22-Nov-16 584.42 16.5% 203.3 1.25 Fixed 1.63 55SOFI 2016-E A2B MTGE SOFI 2016-E A2B Student SoFi SOFI SoFi 22-Nov-16 584.42 16.5% 155.2 4.63 Fixed 2.49 90 Aaa AAA Rated

SOFI 2016-E B Student SoFi SOFI SoFi 22-Nov-16 584.42 10.6% 37.0 n/a Fixed 3.44 175SOFI 2016-E C Student SoFi SOFI SoFi 22-Nov-16 584.42 6.7% 24.4 8.43 Variable 4.43 265 Baa2 AL RatedSCLP 2016-5 A Consumer SoFi SCLP SoFi 18-Nov-16 250.02 25.2% 188.3 1.86 Fixed 3.06 n/a A A+ RatedSCLP 2016-5 B Consumer SoFi SCLP SoFi 18-Nov-16 250.02 15.1% 25.4 4.98 Fixed 4.55 n/a

INSKT 2016-1 A MTGE INSKT 2016-1 A Consumer Prosper INSKT Insikt 2-Nov-16 24.80 30.7% 17.2 1.02 Fixed 4.00 n/aINSKT 2016-1 B MTGE INSKT 2016-1 B Consumer Prosper INSKT Insikt 2-Nov-16 24.80 9.2% 5.3 3.23 Fixed 11.00 n/aEARN 2016-D A1 MTGE EARN 2016-D A1 Student Earnest EARN Earnest 31-Oct-16 174.74 13.5% 51.3 3.69 Floating 2.16 140 A AAL RatedEARN 2016-D A2 MTGE EARN 2016-D A2 Student Earnest EARN Earnest 31-Oct-16 174.74 13.5% 104.2 3.56 Fixed 2.72 155 A AAL RatedEARN 2016-D B MTGE EARN 2016-D B Student Earnest EARN Earnest 31-Oct-16 174.74 6.1% 13.4 4.16 Fixed 3.80 260 BBB RatedEARN 2016-D C MTGE EARN 2016-D C Student Earnest EARN Earnest 31-Oct-16 174.74 2.9% 5.9 4.33 Fixed 4.39 500 BB RatedCBSLT 2016-B A1 MTGE CBSLT 2016-B A1 Student CommonBond CBSLT CommonBond 20-Oct-16 168.63 15.0% 86.7 3.92 Fixed 2.73 155 A1 AAL RatedCBSLT 2016-B A2 MTGE CBSLT 2016-B A2 Student CommonBond CBSLT CommonBond 20-Oct-16 168.63 15.0% 64.2 3.79 Floating 2.21 145 A1 AAL RatedCBSLT 2016-B B MTGE CBSLT 2016-B B Student CommonBond CBSLT CommonBond 20-Oct-16 168.63 5.0% 17.7 4.4 Fixed 4.00 280 BBB Rated

MHMT 2016-LC1 A MTGE MHMT 2016-LC1 A Consumer Lending Club MHMT Prospect 13-Oct-16 314.14 35.5% 204.2 0.62 Fixed 4.19 336

MHMT 2016-LC1 B MTGE MHMT 2016-LC1 B Consumer Lending Club MHMT Prospect 13-Oct-16 314.14 23.0% 39.3 1.63 Fixed 6.15 396

MHMT 2016-LC1 C MTGE MHMT 2016-LC1 C Consumer Lending Club MHMT Prospect 13-Oct-16 314.14 10.0% 39.3 2 Fixed 10.00 n/a

SCLP 2016-3 A Consumer SoFi SCLP SoFi 13-Oct-16 599.94 24.7% 451.7 1.85 Fixed 3.05 200 A A Rated

SCLP 2016-3 B Consumer SoFi SCLP SoFi 13-Oct-16 599.94 14.6% 60.9 4.97 Variable 4.49 233 BBB BBB RatedSOFI 2016-D A1 MTGE SOFI 2016-D A1 Student SoFi SOFI SoFi 19-Sep-16 483.04 29.6% 142.8 3.31 Floating 1.60 95 Aaa AAA RatedSOFI 2016-D A2A MTGE SOFI 2016-D A2A Student SoFi SOFI SoFi 19-Sep-16 483.04 27.8% 134.4 1.22 Fixed 1.53 55 Aaa AAA RatedSOFI 2016-D A2B MTGE SOFI 2016-D A2B Student SoFi SOFI SoFi 19-Sep-16 483.04 26.7% 128.8 5.02 Fixed 2.34 110 Aaa AAA Rated

SOFI 2016-D B Student SoFi SOFI SoFi 19-Sep-16 483.04 6.4% 30.7 8.77 Variable 3.23 175 A1 AAL RatedSCLP 2016-4 A Consumer SoFi SCLP SoFi 13-Sep-16 223.10 20.5% 178.5 1.96 Fixed 3.18 214 A RatedSCLP 2016-4 B Consumer SoFi SCLP SoFi 13-Sep-16 223.10 17.0% 7.8 5 Variable 4.83 358 BBB+ RatedSCLP 2016-4 C Consumer SoFi SCLP SoFi 13-Sep-16 223.10 9.5% 16.7 5.12 Variable 5.92 467 BBB- Rated

CILO 2016-LD1 A MTGE CILO 2016-LD1 A Consumer Cross River Bank CILO Ellington 24-Aug-16 112.91 30.0% 87.0 1.18 FIXED 3.96 396CILO 2016-LD1 B MTGE CILO 2016-LD1 B Consumer Cross River Bank CILO Ellington 24-Aug-16 112.91 15.0% 18.7 3.13 FIXED 5.50 550AVNT 2016-C A MTGE AVNT 2016-C A Consumer Avant AVNT Avant 16-Aug-16 312.59 56.9% 138.0 0.39 Fixed 2.96 350 A- RatedAVNT 2016-C B MTGE AVNT 2016-C B Consumer Avant AVNT Avant 16-Aug-16 312.59 31.5% 79.2 1.56 Fixed 4.92 700 BBB- RatedAVNT 2016-C C MTGE AVNT 2016-C C Consumer Avant AVNT Avant 16-Aug-16 312.59 19.3% 38.1 2.5 Fixed 8.83 779 BB RatedLCIT 2016-NP1 A MTGE LCIT 2016-NP1 A Consumer Lending Club LCIT LendingClub 4-Aug-16 135.48 n/a 86.7 n/a Fixed 3.75 297LCIT 2016-NP1 B MTGE LCIT 2016-NP1 B Consumer Lending Club LCIT LendingClub 4-Aug-16 135.48 n/a 16.7 n/a Fixed 6.50 560MFT 2016-1A A MTGE MFT 2016-1A A Consumer Cross River Bank MFT Marlette 2-Aug-16 205.44 72.5% 148.9 n/a Fixed 3.06 225 A RatedMFT 2016-1A B MTGE MFT 2016-1A B Consumer Cross River Bank MFT Marlette 2-Aug-16 205.44 8.7% 18.0 n/a Fixed 4.78 385 BBB RatedMFT 2016-1A C MTGE MFT 2016-1A C Consumer Cross River Bank MFT Marlette 2-Aug-16 205.44 8.7% 18.0 n/a Fixed 9.09 825 BB Rated

SCLP 2016-2 A Consumer SoFi SCLP SoFi 1-Aug-16 575.52 26.5% 425.9 1.84 Fixed 3.09 215 A A RatedSCLP 2016-2 B Consumer SoFi SCLP SoFi 1-Aug-16 575.52 17.0% 54.7 4.87 Variable 4.77 365 BBB BBB Rated

EARN 2016-C A1 MTGE EARN 2016-C A1 Student Earnest EARN Earnest 29-Jul-16 200.75 28.3% 56.8 3.62 Floating 2.33 185 AAL Rated

EARN 2016-C A2 MTGE EARN 2016-C A2 Student Earnest EARN Earnest 29-Jul-16 200.75 59.3% 119.0 3.57 Fixed 2.68 180 AAL Rated

EARN 2016-C B MTGE EARN 2016-C B Student Earnest EARN Earnest 29-Jul-16 200.75 6.8% 13.7 4.03 Fixed 4.46 340 BBB Rated



Appendix: Marketplace Lending Securitizations to Date (Cont’d)

EARN 2016-C B Student Earnest EARN Earnest 29-Jul-16 200.75 6.8% 13.7 4.03 Fixed 4.46 340 BBB RatedTicker Type Originator Shelf Issuer Issue Date Collat Amt

($mm)Credit Support (%)

Amt ($mm) Initial WAL (yrs)

Coupon Type

Initial Coupon

Est. Pricing

Moodys S&P DBRS Fitch Kroll Rated

SOFI 2016-C A1 Student SoFi SOFI SoFi 27-Jul-16 467.50 27.5% 128.6 3.26 Floating 1.59 110 Aaa AAA Rated

SOFI 2016-C A2A Student SoFi SOFI SoFi 27-Jul-16 467.50 30.5% 142.5 1.26 Fixed 1.48 65 Aaa AAA RatedSOFI 2016-C A2B Student SoFi SOFI SoFi 27-Jul-16 467.50 26.0% 121.7 4.98 Fixed 2.36 135 Aaa AAA RatedSOFI 2016-C B Student SoFi SOFI SoFi 27-Jul-16 467.50 6.4% 29.8 8.49 Variable 3.35 200 A2 AAL RatedSCLP 2016-1 A Consumer SoFi SCLP SoFi 27-Jun-16 506.40 25.5% 379.8 2.3 Fixed 3.26 238 A A RatedSOFI 2016-B A1 Student SoFi SOFI SoFi 26-May-16 427.03 23.7% 101.4 3.28 Floating 1.72 120 Aaa AAA RatedSOFI 2016-B A2A Student SoFi SOFI SoFi 26-May-16 427.03 28.7% 122.7 1.14 Fixed 1.68 80 Aaa AAA RatedSOFI 2016-B A2B Student SoFi SOFI SoFi 26-May-16 427.03 30.8% 131.5 4.78 Fixed 2.74 145 Aaa AAA RatedSOFI 2016-B B Student SoFi SOFI SoFi 26-May-16 427.03 5.6% 24.1 8.25 Fixed 3.80 225 A2 AH RatedONDK 2016-1A A SME OnDeck ONDK OnDeck 17-May-16 265.96 23.6% 211.5 2.28 Fixed 4.21 325 BBB+ A RatedONDK 2016-1A B SME OnDeck ONDK OnDeck 17-May-16 265.96 9.6% 38.5 2.71 Fixed 7.63 670 BB- BBBL RatedEARN 2016-B A1 Student Earnest EARN Earnest 11-May-16 241.93 27.2% 65.8 3.69 Floating 2.57 205 A A RatedEARN 2016-B A2 Student Earnest EARN Earnest 11-May-16 241.93 61.9% 149.6 3.5 Fixed 3.02 200 A A RatedEARN 2016-B B Student Earnest EARN Earnest 11-May-16 241.93 4.0% 9.6 4.17 Variable 4.81 375 BBB BBB+ RatedAVNT 2016-B A Consumer Avant AVNT Avant 28-Apr-16 344.83 49.1% 179.1 0.56 Fixed 3.92 325 A- RatedAVNT 2016-B B Consumer Avant AVNT Avant 28-Apr-16 344.83 26.8% 76.7 1.83 Fixed 7.80 700 BBB- RatedAVNT 2016-B C Consumer Avant AVNT Avant 28-Apr-16 344.83 13.8% 44.8 2.73 Fixed 10.60 1,150 BB RatedCBSLT 2016-A A1 Student CommonBond CBSLT CommonBond 21-Apr-16 162.72 57.6% 93.8 4.3 Fixed 3.32 225 AH RatedCBSLT 2016-A A2 Student CommonBond CBSLT CommonBond 21-Apr-16 162.72 29.9% 48.6 4.21 Floating 2.72 225 AH RatedCBSLT 2016-A B Student CommonBond CBSLT CommonBond 21-Apr-16 162.72 6.6% 10.8 4.2 Fixed 4.00 395 BBB RatedCHAI 2016-PM1 A Consumer Prosper CHAI Citi 31-Mar-16 314.56 33.0% 212.3 0.97 Fixed 4.65 400 A- A RatedCHAI 2016-PM1 B Consumer Prosper CHAI Citi 31-Mar-16 314.56 25.1% 24.9 2.44 Fixed 7.67 700 BBB- BBB RatedCHAI 2016-PM1 C Consumer Prosper CHAI Citi 31-Mar-16 314.56 12.0% 41.2 2.83 Fixed 10.26 1,145 B BB- RatedCHAI 2016-MF1 A Consumer Marlette CHAI Citi 4-Mar-16 156.50 28.0% 113.5 n/a Fixed 4.48 400 A RatedCHAI 2016-MF1 B Consumer Marlette CHAI Citi 4-Mar-16 156.50 19.2% 13.7 n/a Fixed 6.64 600 BBB RatedCHAI 2016-MF1 C Consumer Marlette CHAI Citi 4-Mar-16 156.50 10.5% 13.7 n/a Fixed 10.39 990 BB RatedSOFI 2016-A A1 Student SoFi SOFI SoFi 4-Mar-16 591.51 22.6% 133.6 3.8 Floating 2.27 200 Aa2 AAA Rated

SOFI 2016-A A2 Student SoFi SOFI SoFi 4-Mar-16 591.51 62.2% 367.9 3.65 Fixed 2.76 205 Aa2 AAA Rated

SOFI 2016-A B Student SoFi SOFI SoFi 4-Mar-16 591.51 8.4% 49.9 4.14 Fixed 3.57 350 Baa2 BBBH Rated

AVNT 2016-A A Consumer Avant AVNT Avant 26-Feb-16 344.91 51.0% 172.4 0.45 Fixed 4.11 350 A- RatedAVNT 2016-A B Consumer Avant AVNT Avant 26-Feb-16 344.91 30.0% 72.4 1.68 Fixed 7.65 700 BBB- RatedAVNT 2016-A C Consumer Avant AVNT Avant 26-Feb-16 344.91 14.0% 55.2 2.66 Fixed 9.79 na BB RatedMPLT 2016-LD1 A Consumer LoanDepot MPLT Jefferies 19-Feb-16 100.00 26.0% 74.0 1.31 Fixed 5.25 451MPLT 2016-LD1 B Consumer LoanDepot MPLT Jefferies 19-Feb-16 100.00 11.5% 14.5 3.89 Fixed 9.50 849EARN 2016-A A1 Student Earnest EARN Earnest 10-Feb-16 119.48 29.1% 34.7 3.51 Floating 1.99 215 A RatedEARN 2016-A A2 Student Earnest EARN Earnest 10-Feb-16 119.48 58.8% 70.2 3.51 Fixed 2.50 215 A RatedEARN 2016-A B Student Earnest EARN Earnest 10-Feb-16 119.48 5.9% 7.1 3.8 Fixed 2.50 290 BBB RatedMPLT 2015-OD4 A SME OnDeck MPLT Jefferies 24-Dec-15 151.21 15.0% 134.9 n/a Fixed 3.25 287 A RatedMPLT 2015-OD4 B SME OnDeck MPLT Jefferies 24-Dec-15 151.21 5.0% 15.9 n/a Fixed 5.25 412 BBB RatedCHAI 2015-PM3 A Consumer Prosper CHAI Citi 18-Dec-15 299.11 46.5% 161.5 0.78 Fixed 2.56 190 (P)A3 A+ RatedCHAI 2015-PM3 B Consumer Prosper CHAI Citi 18-Dec-15 299.11 26.5% 59.8 2.2 Fixed 4.31 350 (P)Baa3 BBB+ RatedCHAI 2015-PM3 C Consumer Prosper CHAI Citi 18-Dec-15 299.11 12.0% 43.4 3.37 Fixed 6.99 525 (P)Ba3 BB- RatedMPLT 2015-CB2 A Consumer CircleBack MPLT Jefferies 15-Dec-15 151.20 22.0% 119.4 n/a Fixed 5.00 naMPLT 2015-CB2 B Consumer CircleBack MPLT Jefferies 15-Dec-15 151.20 17.0% 7.6 n/a Fixed 6.50 naAMPLT 2015-A A Consumer Avant AMPLT Avant 19-Nov-15 194.40 30.0% 136.1 1.07 Fixed 5.00 406AMPLT 2015-A B Consumer Avant AMPLT Avant 19-Nov-15 194.40 20.0% 19.4 1.66 Fixed 6.75 581AMPLT 2015-A C Consumer Avant AMPLT Avant 19-Nov-15 194.40 10.0% 19.4 1.66 Fixed 8.75 781SOFI 2015-D A1 Student SoFi SOFI SoFi 18-Nov-15 573.04 27.0% 154.9 3.86 Floating 2.02 150 Aa2 AAA RatedSOFI 2015-D A2 Student SoFi SOFI SoFi 18-Nov-15 573.04 58.4% 334.8 3.74 Fixed 2.72 150 Aa2 AAA RatedSOFI 2015-D B Student SoFi SOFI SoFi 18-Nov-15 573.04 8.1% 46.7 4.64 Fixed 3.59 235 Baa2 BBBH RatedMPLT 2015-LD1 A Consumer LoanDepot MPLT Jefferies 13-Nov-15 88.28 18.0% 123.0 1.74 Fixed 4.00 381MPLT 2015-LD1 B Consumer LoanDepot MPLT Jefferies 13-Nov-15 88.28 13.0% 7.5 1.74 Fixed 6.00 506MPLT 2015-LD1 C Consumer LoanDepot MPLT Jefferies 13-Nov-15 88.28 8.0% 7.5 1.74 Fixed 8.00 706INSKT 2015-3 A Consumer Prosper INSKT Insikt 4-Nov-15 42.00 n/a 32.0 n/a Fixed 4.50 439INSKT 2015-3 B Consumer Prosper INSKT Insikt 4-Nov-15 42.00 n/a 9.1 n/a Fixed 9.50 947CHAI 2015-PM2 A Consumer Prosper CHAI Citi 23-Oct-15 419.76 45.0% 230.9 0.77 Fixed 2.35 195 A3 RatedCHAI 2015-PM2 B Consumer Prosper CHAI Citi 23-Oct-15 419.76 24.5% 86.1 2.19 Fixed 4.00 275 Baa3 RatedCHAI 2015-PM2 C Consumer Prosper CHAI Citi 23-Oct-15 419.76 10.5% 58.8 2.97 Fixed 5.96 450 Ba3 Rated




CHAI 2015-PM2 C Consumer Prosper CHAI Citi 23-Oct-15 419.76 10.5% 58.8 2.97 Fixed 5.96 450 Ba3 RatedTicker Type Originator Shelf Issuer Issue Date Collat Amt



Coupon Type

Initial Coupon

Est. Pricing


MPLT 2015-AV2 A Consumer Avant MPLT Jefferies 16-Oct-15 111.01 30.6% 86.3 n/a Fixed 4.00 351MPLT 2015-AV2 B Consumer Avant MPLT Jefferies 16-Oct-15 111.01 20.7% 12.3 n/a Fixed 5.75 510MPLT 2015-AV2 C Consumer Avant MPLT Jefferies 16-Oct-15 111.01 10.7% 12.3 n/a Fixed 7.50 685MPLT 2015-AV1 A Consumer Avant MPLT Jefferies 24-Sep-15 126.52 30.1% 88.5 1.08 Fixed 4.00 316MPLT 2015-AV1 B Consumer Avant MPLT Jefferies 24-Sep-15 126.52 20.1% 12.6 1.69 Fixed 5.75 495MPLT 2015-AV1 C Consumer Avant MPLT Jefferies 24-Sep-15 126.52 10.1% 12.6 1.69 Fixed 7.50 670MPLT 2015-OD3 A SME OnDeck MPLT Jefferies 15-Sep-15 79.63 19.7% 67.7 0.54 Fixed 3.25 281MPLT 2015-OD3 B SME OnDeck MPLT Jefferies 15-Sep-15 79.63 10.2% 8.0 1.28 Fixed 5.25 naAVNT 2015-A A Consumer Avant AVNT Avant 12-Aug-15 140.00 26.5% 108.4 1.09 Fixed 4.00 342AVNT 2015-A B Consumer Avant AVNT Avant 12-Aug-15 140.00 16.0% 15.5 1.69 Fixed 6.00 521AVNT 2015-A C Consumer Avant AVNT Avant 12-Aug-15 140.00 5.5% 15.5 1.69 Fixed 7.75 721MPLT 2015-OD2 A SME OnDeck MPLT Jefferies 12-Aug-15 73.06 15.5% 59.0 0.42 Fixed 3.25 289MPLT 2015-OD2 B SME OnDeck MPLT Jefferies 12-Aug-15 73.06 5.5% 6.9 0.97 Fixed 5.25 naCHAI 2015-PM1 A Consumer Prosper CHAI Citi 5-Aug-15 420.90 46.0% 227.3 0.71 Fixed 1.85 140 A3 RatedCHAI 2015-PM1 B Consumer Prosper CHAI Citi 5-Aug-15 420.90 25.5% 86.3 2.08 Fixed 2.93 200 Baa3 RatedCHAI 2015-PM1 C Consumer Prosper CHAI Citi 5-Aug-15 420.90 10.5% 63.1 3.25 Fixed 5.01 385 Ba3 RatedSOFI 2015-C A1 Student SoFi SOFI SoFi 4-Aug-15 447.56 30.5% 136.5 3.81 Floating 1.57 105 Aa2 AAA RatedSOFI 2015-C A2 Student SoFi SOFI SoFi 4-Aug-15 447.56 56.0% 250.8 3.67 Fixed 2.51 98 Aa2 AAA RatedSOFI 2015-C B Student SoFi SOFI SoFi 4-Aug-15 447.56 6.8% 30.3 5.41 Fixed 3.58 184 Baa2 BBBH RatedINSKT 2015-2 A Consumer Prosper INSKT Insikt 10-Jul-15 4.50 n/a 3.6 n/a Fixed 4.50 438INSKT 2015-2 B Consumer Prosper INSKT Insikt 10-Jul-15 4.50 n/a 0.8 n/a Fixed 9.50 946CBSLT 2015-A A1 Student CommonBond CBSLT CommonBond 24-Jun-15 105.00 91.8% 96.4 n/a Fixed 3.20 165 Baa2 AH RatedSOFI 2015-B A1 Student SoFi SOFI SoFi 9-Jun-15 441.18 33.2% 146.7 3.75 Floating 1.57 105 Aa3 A AAH RatedSOFI 2015-B A2 Student SoFi SOFI SoFi 9-Jun-15 441.18 53.4% 235.4 3.59 Fixed 2.51 105 Aa2 A AAH RatedSOFI 2015-B B Student SoFi SOFI SoFi 9-Jun-15 441.18 6.8% 29.8 5.14 Fixed 3.52 165 Baa3 BBB RatedMPLT 2015-OD1 A SME OnDeck MPLT Jefferies 4-Jun-15 52.08 15.0% 44.3 0.58 Fixed 3.25 266MPLT 2015-OD1 B SME OnDeck MPLT Jefferies 4-Jun-15 52.08 5.0% 5.2 1.19 Fixed 5.25 naMPLT 2015-CB1 A Consumer CircleBack MPLT Jefferies 3-Jun-15 110.06 22.0% 99.9 n/a Fixed 4.00 312MPLT 2015-CB1 B Consumer CircleBack MPLT Jefferies 3-Jun-15 110.06 17.0% 6.3 n/a Fixed 6.00 511ECLT 2014-1 A Consumer Lending Club ECLT Eaglewood 1-May-15 150.00 n/a 120.0 2.25 Fixed 3.50 260ECLT 2014-1 B Consumer Lending Club ECLT Eaglewood 1-May-15 150.00 n/a 22.5 2.54 Fixed 5.33 429INSKT 2015-1 A Consumer Prosper INSKT Insikt 31-Mar-15 4.31 n/a 3.7 n/a Fixed 4.00 396BLT 2015-1 A Consumer Prosper BLT Blue Elephant 25-Mar-15 60.90 n/a 55.0 0.96 Fixed 3.12 275BLT 2015-1 B Consumer Prosper BLT Blue Elephant 25-Mar-15 60.90 n/a 8.9 2.56 Fixed 5.56 475BLT 2015-1 C Consumer Prosper BLT Blue Elephant 25-Mar-15 60.90 n/a 3.6 n/a Fixed 0.00 n/aGLCT 2015-A A Consumer Prosper GLCT Garrison 2-Mar-15 190.26 n/a 154.1 1.52 Fixed 3.96 324GLCT 2015-A B Consumer Prosper GLCT Garrison 2-Mar-15 190.26 n/a 9.4 1.52 Fixed 5.43 472GLCT 2015-B A Consumer Prosper GLCT Garrison 2-Mar-15 120.58 n/a 97.4 1.52 Fixed 3.96 324GLCT 2015-B B Consumer Prosper GLCT Garrison 2-Mar-15 120.58 n/a 5.9 1.52 Fixed 5.43 472CCOLT 2015-1 A Consumer Prosper CCOLT BlackRock 9-Feb-15 306.71 23.5% 281.3 1.05 Fixed 2.82 240 Baa3 RatedCCOLT 2015-1 B Consumer Prosper CCOLT BlackRock 9-Feb-15 306.71 11.0% 45.4 2.86 Fixed 5.21 395 Ba3 RatedSOFI 2015-A A1 Student SoFi SOFI SoFi 29-Jan-15 313.80 n/a 151.5 3.89 Floating 1.72 125 A2 A AA RatedSOFI 2015-A A2 Student SoFi SOFI SoFi 29-Jan-15 313.80 n/a 162.3 3.47 Fixed 2.42 125 A2 A AA RatedGLCII 2014-A A Consumer Lending Club GLCII Garrison 29-Dec-14 153.00 n/a 109.8 1.35 Fixed 4.00 355GLCII 2014-A B Consumer Lending Club GLCII Garrison 29-Dec-14 153.00 n/a 9.5 1.35 Fixed 6.00 555INSKT 2014-2 A Consumer Prosper INSKT Insikt 22-Dec-14 7.50 n/a 7.1 n/a Fixed 4.00 396INSKT 2014-2 B Consumer Prosper INSKT Insikt 22-Dec-14 7.50 n/a 0.6 n/a Fixed 9.00 895SOFI 2014-B A1 Student SoFi SOFI SoFi 10-Nov-14 303.20 n/a 105.7 3.89 Floating 1.77 125 A2 A AAL RatedSOFI 2014-B A2 Student SoFi SOFI SoFi 10-Nov-14 303.20 n/a 197.5 3.3 Fixed 2.55 130 A2 A AAL RatedCANF 2014-1A A SME CAN Capital CANF CAN Capital 17-Oct-14 200.02 n/a 171.0 2.9 Fixed 3.12 210 A A RatedCANF 2014-1A B SME CAN Capital CANF CAN Capital 17-Oct-14 200.02 n/a 20.0 3.4 Fixed 4.26 221 BBB- BBBL RatedKABB 2014-1RT A22 SME Kabbage KABB Kabbage 25-Sep-14 n/a n/a 575.3 2.56 Floating 3.27 209 A- RatedKABB 2014-1RT B2A SME Kabbage KABB Kabbage 25-Sep-14 n/a n/a 168.6 2.56 Floating 10.52 907 BB- RatedKABB 2014-1RT B2B SME Kabbage KABB Kabbage 25-Sep-14 n/a n/a 0.0 2.56 Fixed 3.00 192 BB- RatedKABB 2014-1RT B2C SME Kabbage KABB Kabbage 25-Sep-14 n/a n/a 21.1 2.56 Floating 13.52 1,234 B+ RatedGARST 2014-A A Consumer Prosper GARST Garrison 18-Jul-14 45.54 n/a 36.9 1.52 Fixed 3.00 233GARST 2014-A B Consumer Prosper GARST Garrison 18-Jul-14 45.54 n/a 2.3 1.52 Fixed 4.00 333SOFI 2014-A A1 Student SoFi SOFI SoFi 14-Jul-14 280.69 n/a 125.5 3.69 Floating 2.12 160 A A RatedSOFI 2014-A A2 Student SoFi SOFI SoFi 14-Jul-14 280.69 n/a 125.5 3.72 Fixed 3.02 165 A A Rated




SOFI 2014-A A2 Student SoFi SOFI SoFi 14-Jul-14 280.69 n/a 125.5 3.72 Fixed 3.02 165 A A RatedTicker Type Originator Shelf Issuer Issue Date Collat Amt



Coupon Type

Initial Coupon

Est. Pricing


GLCT 2014-A A Consumer Prosper GLCT Garrison 2-Jul-14 169.21 n/a 147.6 1.53 Fixed 3.00 253GLCT 2014-A B Consumer Prosper GLCT Garrison 2-Jul-14 169.21 n/a 9.0 1.53 Fixed 4.00 353INSKT 2014-1 A Consumer Prosper INSKT Insikt 28-May-14 n/a n/a 7.1 n/a Fixed 3.50 345ONDK 2014-1A A SME OnDeck ONDK OnDeck 8-May-14 183.20 n/a 156.7 2.32 Fixed 3.15 250 BBB RatedONDK 2014-1A B SME OnDeck ONDK OnDeck 8-May-14 183.20 n/a 18.3 2.8 Fixed 5.68 477 BB RatedSOFI 2013-A A Student SoFi SOFI SoFi 23-Dec-13 151.80 n/a 151.8 4.35 Fixed 3.75 245 A RatedINSKT 2013-2 A Consumer Prosper INSKT Insikt 17-Dec-13 n/a n/a 2.6 n/a Fixed 4.25 421INSKT 2013-2 B Consumer Prosper INSKT Insikt 17-Dec-13 n/a n/a 0.6 n/a Fixed 11.00 1,096INSKT 2013-1 A Consumer Prosper INSKT Insikt 4-Oct-13 1.57 n/a 1.1 n/a Fixed 4.50 444INSKT 2013-1 B Consumer Prosper INSKT Insikt 4-Oct-13 1.57 n/a 0.3 n/a Fixed 12.00 1,197ECLT 2013-1 A Consumer Lending Club ECLT Eaglewood 26-Sep-13 100.00 n/a 75.0 2.37 Fixed 4.30 371ECLT 2013-1 B Consumer Lending Club ECLT Eaglewood 26-Sep-13 100.00 n/a 24.0 2.44 Fixed 8.00 739


Disclosures Section

This document is for general information and for the purposes of facilitating a discussion only, and is not intended, and does not, constitute a recommendation or offer to sell, or solicitation of any offer to buy, securities, or any other financial instrument, or a solicitation for any other action of the recipient. PeerIQ (the “Company”) disclaims any and all liability relating to a decision based on or for reliance on this document. The information, estimates, forecasts or opinions included in this document are supplied for your private use and information, and are for discussion purposes only. The information contained herein shall not be deemed to constitute investment advice and should not be relied upon as the basis for a decision to enter into any transaction now or in the future. By providing this document, the Company is not acting and shall not be deemed to be acting as an investment adviser. Any person considering an investment should seek independent advice on the suitability of the particular investment and should (i) consult their financial, accounting, tax and legal advisors prior to any investment; and (ii) inform themselves as to (a) the appropriateness of said investment, (b) the legal requirements within their own jurisdictions for the purchase or holding of said investment, (c) any foreign exchange restrictions which may affect them, and (d) the income and other tax consequences which may apply in their own jurisdictions relevant to the purchase, holding or disposal of any securities acquired as a result of such an investment. The information provided in this document does not constitute, and may not be used for the purposes of, an offer to sell or the solicitation of an offer to buy shares of any security of the Company or any affiliate.

The Company makes no representation or warranty, express or implied, as to, or assumes any liability responsibility for, the accuracy, reliability or completeness of any information whatsoever contained herein, including without limitation any information supplied directly by the Company, any information supplied by third parties and included herein, and any information, estimates, forecasts or opinions prepared on the basis of any of the foregoing. The Company shall not be in any way responsible or assume any liability for any act or omission made by any person in reliance on this document or any information contained herein. Although some information herein has been provided by the Company, the information herein is based on information furnished by third parties, the accuracy and completeness of which has not been verified by the Company or any other person. These materials may also contain historical market data; however, historical market trends are not reliable indicators of future market behavior. Any historical investment results of any person or entity described in this material are not indicative of the future investment results. Such results are intended only to give potential investors information concerning the general experience of the relevant person or entity are not intended as a representation or warranty by the Company or any other person or entity as to the actual composition of or performance of any future investments or other financially-related indicators.

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