An upcoming deal backed by P2P loans snagged a rating from Moody's Investors Service.
Consumer Credit Origination Loan Trust 2015-1 will offer a total of $377.85 million in a securitization of unsecured consumer loans originated and serviced through the online platform operated by Prosper Funding, the world’s second biggest P2P lender.
Moody’s has assigned preliminary ratings of Baa3’ to $281.3 million of Class A notes with a weighted average life of 1.07 years and Ba3’ to $45.3 million of class B notes with a WAL of 2.88 years. The notes benefit from credit enhancement of 23.50% for the Class A notes and 11.00% for the Class B notes.
Citigroup and Credit Suisse are lead managers. The loans being securitized were bundled by BlackRock. BlackRock has purchased loans originated via the Prosper platform since November 2013 and expects to continue purchasing loans on an ongoing basis, according to the Moody’s presale.
Loans included in the pool have a weighted average FICO of 706 and underlying borrowers have a WA annual income of approximately $90,000 along with a WA debt-to-income ratio of approximately 26%.
The loans are fully amortizing installment loans with initial repayment terms of three or five years. The pool has an approximate WAL of 1.54 years, according to the presale. “Compared to the majority of ABS transactions backed by other consumer assets with longer WAL's, CCOLT 2015-1's shorter WAL limits the transaction's exposure to the risks of negative macroeconomic credit events,” stated the presale report.