• Wed. Jun 29th, 2022

KBRA Assigns Preliminary Ratings to Upstart Titrization Trust 2022-2

ByElla E. Kidwell

May 19, 2022

NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings to a class of notes issued by Upstart Securitization Trust 2022-2 (“UPST 2022-2”), a $545.12 million consumer loan ABS transaction with KBRA rating the notes Class A totaling $365.638 million. The preliminary rating reflects the initial level of credit enhancement of 41.24% for the Class A Notes. The credit enhancement consists of overcollateralization, excess margin, non-declining cash reserve account and subordination.

UPST 2022-2 represents the 38and The securitization of ABS secured by unsecured consumer loans originated from the online platform operated by Upstart Network, Inc. (“Upstart” or the “Company”) and the seventeenth of Upstart’s ABS program Securitization Trust (“UPST”). UPST is sponsored by Goldman Sachs and is separate from other securitization vehicles containing collateral from Upstart, including “UPSPT”, sponsored by Jefferies, LLC and “USPTT”, sponsored by a subsidiary of Credit Suisse Finance LLC. Upstart was established in February 2012 and operates an online marketplace lending program (www.upstart.com) and white label technology licensing service (collectively, the “Upstart Platform” or the “Platform ”) that allows financial institutions and other potential partners to leverage Upstart’s online application stream, machine learning credit model, verification process and other technologies to create loans in accordance to their own underwriting standards.

Guarantee pool loans are issued by Cross River Bank and FinWise Bank. As of the statistical close date, borrowers in UPST 2022-2 have a weighted average interest rate and a weighted average FICO score of 19.99% and 652, respectively. The guarantee pool has a weighted average initial term of 57 months and a weighted average maturity of 4 months.

KBRA applied its ABS Global Rating Methodology for Consumer Lending, as well as its Global Structured Finance Counterparty Methodology and ESG Global Rating Methodology as part of its analysis of portfolio pool data, collateral pool underwriting underlyings and capital structure. KBRA reviewed its operational reviews of Upstart, as well as periodic update calls with the company. Operational agreements and legal opinions will be reviewed prior to closing.

Click here to see the report. To access relevant notes and documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyzes which look at factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a driver key to the change in credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of the main relevant rating assumptions, the where applicable) used to determine credit rating are available in the information disclosure form(s) located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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.