KBRA Europe Assigns Preliminary Ratings to Small Business Origination Loan Trust 2018-1 DAC

DUBLIN--()--Kroll Bond Rating Agency Europe Limited (KBRA) has assigned preliminary ratings to four classes of notes (“Rated Notes”) issued by Small Business Origination Loan Trust 2018-1 DAC (“SBOLT 2018-1”). This is a £206.6 million ABS transaction collateralised by unsecured loans made to small and medium-sized enterprises (“SMEs”) incorporated in the United Kingdom (“UK”).

This transaction represents the second ABS securitisation collateralised by unsecured loans to SMEs originated through the online lending platform operated by Funding Circle Limited (“Funding Circle”), and the first European rated ABS securitisation for KBRA.

Founded in 2010, Funding Circle operates an online lending platform (www.fundingcircle.com) (the “Funding Circle Platform” or the “Platform”) to originate loans in the UK, U.S., Germany, and the Netherlands. This transaction will only include loans originated in the UK. Loans are offered to SMEs through the Platform which allows retail investors, government bodies and institutional investors to access credit investments in SMEs.

The loans in SBOLT 2018-1 were all underwritten using Funding Circle’s credit guidelines and originated by Funding Circle through the Platform. The Funding Circle Platform offers fixed rate, fully amortising, unsecured SME loans. The original balances range from £5,000 - £1,000,000 with original terms ranging between 6 - 60 months. Origination fees of 1.5 % - 6.0 % are charged to the borrower based on the borrower’s risk profile and loan term.

The transaction has initial credit enhancement levels of 39.75 % for the Class A Notes, 33.75% for the Class B Notes, 26.75 % for the Class C Notes and 19.75 % for the Class D Notes. Credit enhancement for the Rated Notes consists of excess spread, subordination, and a cash reserve account.

KBRA applied its Global General Rating Methodology for Asset-Backed Securities as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and Funding Circle’s historical gross loss data. KBRA also conducted an operational assessment of the Funding Circle Platform, and will review the transaction’s legal structure, transaction documents, operative agreements and legal opinions prior to the transaction’s closing date.

To read the full report, please click here Small Business Origination Loan Trust 2018-1 DAC Pre-Sale Report.

 

Preliminary Ratings Assigned: Small Business Origination Loan Trust 2018-1 DAC

 
Class   Preliminary Rating   Expected Initial Class Principal
A   AA- (sf)   £128,070,000
B   A (sf)   £12,390,000
C   BBB+ (sf)   £14,460,000
D   B+ (sf)   £14,460,000
   

Disclosures

Further disclosures relating to this rating action are available in the EU Information Disclosure Form. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

Related Publications: (available at www.kbra.com)

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About KBRA and KBRA Europe

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.

Contacts

Analytical:
KBRA
Gopal Narsimhamurthy, Associate Director (Lead Analyst)
+353 1 907 9246
gnarsimhamurthy@kbra.com
or
Eric Neglia, Managing Director
+1 (646) 731-2456
eneglia@kbra.com
or
Alan Greenblatt, Director
+1 (646) 731-2496
agreenblatt@kbra.com
or
Lenny Giltman, Managing Director
+1 (646) 731-2378
lgiltman@kbra.com
or
Rosemary Kelley, Senior Managing Director
+1 (646) 731-2337
rkelley@kbra.com
or
Anthony Nocera, Senior Managing Director (Person who approved rating)

Contacts

Analytical:
KBRA
Gopal Narsimhamurthy, Associate Director (Lead Analyst)
+353 1 907 9246
gnarsimhamurthy@kbra.com
or
Eric Neglia, Managing Director
+1 (646) 731-2456
eneglia@kbra.com
or
Alan Greenblatt, Director
+1 (646) 731-2496
agreenblatt@kbra.com
or
Lenny Giltman, Managing Director
+1 (646) 731-2378
lgiltman@kbra.com
or
Rosemary Kelley, Senior Managing Director
+1 (646) 731-2337
rkelley@kbra.com
or
Anthony Nocera, Senior Managing Director (Person who approved rating)