NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to four classes of notes issued by Prosper Marketplace Lending Issuance Trust 2018-1 (“PMIT 2018-1”). This is a $647.5 million consumer loan ABS transaction.
This transaction represents the ninth securitization collateralized by unsecured consumer loans originated through the online marketplace lending platform operated by Prosper Funding LLC (“Prosper” or the “Company”).
Founded in 2005, Prosper operates an online marketplace lending platform (www.prosper.com) (the “Prosper Platform” or the “Platform”), where personal installment loans are offered to prime and near prime customers. The loans in PMIT 2018-1 were all underwritten as Standard Product Loans under the WebBank and Prosper Credit Guidelines. The loans on the Platform are originated by WebBank, a Utah chartered Industrial Bank. The Prosper Platform offers fixed rate, fully amortizing unsecured consumer loans ranging from $2,000-$35,000, terms of 3 years and 5 years. Origination fees of 1%-5% are charged to the borrower based on the borrower’s risk profile and loan term. The Prosper Platform facilitated originations of $1.6 billion, $3.7 billion, $2.2 billion and $2.9 billion in loans for the full year ending 2014, 2015, 2016, and 2017 respectively. Quarterly originations dropped materially in the second and third quarters of 2016 before increasing in each subsequent quarter from Q416 to Q317.
The transaction has initial credit enhancement levels of 45.10% for the Class A Notes, 29.10% for the Class B Notes, 17.75% for the Class C Notes, and 8.00% for the Class D Notes. Credit enhancement consists of excess spread, overcollateralization, subordination (in the case of the Class A, Class B, and Class C Notes) and a reserve account funded at closing.
KBRA applied its U.S. Consumer Loan ABS methodology for Asset-Backed Securities as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and the Prosper Platform’s historical gross loss data. KBRA also conducted an operational assessment of the Prosper Platform, as well as a review of the transaction’s legal structure, transaction documents, operative agreements and legal opinions.
Preliminary Ratings Assigned: Prosper Marketplace Issuance Trust, Series 2018-1
| Class | Preliminary Rating | Expected Initial Class Principal | ||||
| A | A+ (sf) | $387,800,000 | ||||
| B | BBB (sf) | $112,000,000 | ||||
| C | BB (sf) | $79,450,000 | ||||
| D | B+ (sf) | $68,250,000 | ||||
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled PMIT 2018-1, Representations and Warranties Disclosure
Related Publications: (available at www.kbra.com)
- Prosper Market Issuance Trust, Series 2018-1 Pre-Sale Report
- Global Consumer Loan ABS Rating Methodology for Asset-Backed Securities
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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 recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and 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.
