KBRA Assigns a Preliminary Rating to Upstart Pass-Through Trust, Series 2020-ST1

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns a preliminary rating to one class of notes issued by Upstart Pass-Through Trust, Series 2020-ST1 (“UPSPT 2020-ST1” or the “Issuer”). This is a $86.45 million consumer loan ABS transaction that is expected to close on January 10, 2020.

This transaction represents the eighth ABS securitization collateralized by unsecured consumer loans originated through the online platform operated by Upstart Network, Inc. (the “Company”, “Upstart”, or the “Upstart Program” ) and the first from the Upstart Pass-Through Trust (“UPSPT”, “Master Trust”) shelf. JUPS (an affiliate of Jefferies LLC and Jefferies Asset Funding LLC) has aggregated loans to be contributed to the Master Trust which will issue the UPSPT Series 2020-ST1 Notes (“2020-ST1 Notes”) and Certificates. The proceeds from the sale of the Notes and Certificates will be used to purchase the consumer loans and related rights from Jefferies Asset Funding LLC (the “Depositor”), who purchased the loans from JUPS (the Transferor). The Depositor will in turn sell the loans to the Issuer.

The Class A Notes have initial and target credit enhancement of 33.50%, which consists of overcollateralization and excess spread.

Upstart is a marketplace lending platform that facilitates the origination of prime and near prime unsecured consumer loans. Upstart was founded in February 2012 and the first unsecured consumer installment loan was originated through the program in May 2014. From inception through November 30, 2019, the Upstart Program has facilitated the origination of approximately 394,000 loans totaling approximately $4.9 billion. CRB retains approximately 14% of production and the remaining majority is split between institutional investors (approximately 78%) and Upstart’s balance sheet via two warehouses (approximately 8%).

KBRA applied its Global Consumer Loan ABS Rating Methodology and Global Structured Finance Counterparty Methodology as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and Upstart’s historical gross loss data. KBRA also conducted an operational assessment of the Platform and will review the transaction’s legal structure and transaction documents. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.

Preliminary Ratings Assigned: UPSPT 2020-ST1

Class

Preliminary Rating

Initial Class Principal

A

BBB- (sf)

$86,450,000

To access ratings, reports and disclosures, click here.

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 designated as a designated rating organization 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, and is 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 Contacts:

William Carson, Senior Director

(646) 731-2405

wcarson@kbra.com

Michael Polvere, Senior Analyst

(646) 731-3339

mpolvere@kbra.com

Abby Barkwell, Associate Director

(646) 731-3304

abarkwell@kbra.com

Eric Neglia, Managing Director

(646) 731-2456

eneglia@kbra.com

Business Development Contact:

Ted Burbage, Managing Director

(646) 731-3325

tburbage@kbra.com

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