NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three classes of notes issued by Upstart Securitization Trust 2020-1 (“UPST 2020-1”). This is a $291.7 million consumer loan ABS transaction that is expected to close on February 21, 2020.
This transaction represents the tenth ABS securitization collateralized by unsecured consumer loans originated through the online platform operated by Upstart Network, Inc. (the “Company”, “Upstart”, or the “Upstart Program”) and the eighth from the Upstart Securitization Trust (“UPST”) ABS program. Upstart is a marketplace lending platform that facilitates the origination of prime and near prime unsecured consumer loans. Upstart was founded in February 2012 and the first unsecured consumer installment loan was originated through the program in May 2014. From inception through December 31, 2019, the Upstart Program has facilitated the origination of approximately 423,000 loans totaling approximately $5.3 billion.
UPST 2020-1 has initial credit enhancement levels of 39.70%, 27.20% and 12.80% for the Class A, Class B and Class C notes, respectively. The reserve account will be funded at closing in the amount of at least 0.50% of the cutoff loan balance multiplied by the Non-Retained Interest amount and does not decline unless drawn upon to cover interest shortfalls or other payments as outlined in the priority of payments. The transaction includes a cumulative net loss amortization trigger, which if breached, will cause the transaction to enter a full turbo amortization while the trigger is in breach.
KBRA applied its Global Consumer Loan ABS Rating Methodology and Global Structured Finance Counterparty Methodology as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and Upstart’s historical gross loss data. KBRA also conducted an operational assessment of the Platform and will review the transaction’s legal structure and transaction documents. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.
Preliminary Ratings Assigned: Upstart Securitization Trust 2020-1 |
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Class |
Preliminary Rating |
Class Principal |
A |
A- (sf) |
$202,236,000 |
B |
BBB- (sf) |
$41,578,000 |
C |
BB- (sf) |
$47,898,000 |
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- Upstart Securitization Trust 2020-1 Pre-Sale Report
- Global Consumer Loan ABS Rating Methodology
- Global Structured Finance Counterparty Methodology
- Upstart Securitization Trust 2020-1 KCAT
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
