KBRA Assigns Preliminary Ratings to Upstart Titrization Trust 2022-2
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 a white-label technology licensing service (collectively, the “Upstart Platform” or the “Platform”) that enables financial institutions and other potential partners to leverage the online application stream , machine learning credit model, verification process and other Upstart technologies to create loans according to their own underwriting standards.
Collateral 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 duration 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.
Further information on key credit considerations, sensitivity analyzes that consider factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned 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 the 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.
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