A pool of unsecured consumer loans will collateralize a $201 million asset-backed securities deal from the CRB Securitization Trust 2023-1. Cross River Bank is acting as the sponsor, as well as the assets' custodian and servicer of the notes.
Upstart Network is the subservicer on the deal, while Systems & Services Technologies will be the backup subservicer, slated to close on October 17, according to ratings analysts from S&P Global Ratings. Goldman Sachs & Co. is the lead underwriter on the deal, which will issue fixed-rate notes from four classes of notes, the rating agency said.
S&P expects to assign ratings of 'AAA' to the class A notes; 'AA' to the class B notes; 'A' to the class C notes and 'BBB' to the class D notes, according to the rating agency. The notes also have a legal maturity of Oct. 20, 2033.
Notes will repay investors on a sequential basis, S&P said. One of S&P's rationales for assigning its ratings is the available credit support, including excess spread of 49.0%, 44.7%, 37.3% and 31.5% on classes A, B, C and D notes, according to the rating agency. Initially, the notes have an overcollateralization level of 19.3% of the pool balance. CRB Securitization also has a fully-funded, non amortizing reserve account equal to 0.5% of the initial pool balance.
Total initial hard credit enhancement amounts to 41.6%, 36.7%, 27.8% and 19.8% on classes A, B, C and D, respectively.
The pool consists of 31,148 loans that have an original weighted average (WA) current interest rate of 19.19%. Also on a WA basis the loans have an original term of 57 months, and a remaining term of 47 months, the rating agency said. Underlying borrowers have a WA FICO score of 673.
