KBRA assigns preliminary ratings to Upstart Securitization Trust 2021-5

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NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three categories of notes issued by Upstart Securitization Trust 2021-5 (“UPST 2021-5”), a $ 360.610 million consumer loan ABS transaction. The preliminary ratings reflect an initial credit enhancement level of 30.95% for Class A Notes, 19.30% for Class B Notes and 9.50% for Class C Notes. Credit consists of overcollateralisation, excess margin, a non-declining cash reserve account, and subordination (in the case of Class A and Class B Notes).

UPST 2021-5 represents the 30e ABS Securitization secured by unsecured consumer loans from the online platform operated by Upstart Network, Inc. (“Upstart” or the “Company”) and the fifteenth of the ABS Upstart Securitization Trust (“UPST”). Upstart was established in February 2012 and operates an online market lending program (www.upstart.com) and a white-label technology licensing service (collectively, the “Upstart Platform” or the “Platform”) which enables financial institutions and other potential partners to take advantage of Upstart’s online application flow, machine learning credit model, verification process and other technologies to generate loans according to their own underwriting standards.

Collateral pool loans are issued by Cross River Bank, Customers Bank and FinWise Bank. As of the statistical deadline, UPST 2021-5 borrowers have a weighted average interest rate and a weighted average FICO score of 18.34% and 669, respectively. The guarantee pool has a weighted average initial duration of 56 months and a weighted average seasoning of 5 months.

KBRA applied its global consumer credit ABS rating methodology, as well as its global structured finance counterparty methodology and its global ESG rating methodology as part of its analysis of portfolio portfolio, pool of underlying guarantees and capital structure. KBRA has taken into account its operational reviews of Upstart, as well as the periodic update calls with the Company. Operational agreements and legal opinions will be reviewed prior to closing.

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Disclosures

Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might 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 about the method (s) (including significant models and sensitivity analyzes of relevant key rating assumptions, if any) used to determine the credit rating is available in the information disclosure form (s) located here.

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

Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found 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 NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.


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