Upstart Network is sponsoring a $400 million asset-backed securities (ABS) deal secured by a pool of unsecured consumer loans with a slightly higher percentage of obligors with lower credit quality.
Upstart's grade E loans account for 47.1% of the collateral pool, compared with 43.3% in the UPST 2026-3, according to analysts at Kroll Bond Rating Agency. The concentration of 60-month loans is 84.3%, compared with 87.8% in the UPST 2026-3 transaction, KBRA said.
The transaction, Upstart Securitization Trust, series 2026-4, will issue the notes through five tranches of class A, B, C and D notes, according to analysts at Kroll Bond Rating Agency. Notes in the A1 tranche, rated K1+ and issuing $75.6 million, have a Sept. 20, 2027 legal final maturity date.
Classes A2 through D, all have a legal final maturity date of Oct. 20, 2036.
Both senior classes, A1 and A2, benefit from initial credit enhancement of 65.30%, KBRA said. Otherwise, classes B, C and D have initial credit enhancement levels of 51.60%, 41.15% and 20.50%, respectively.
The transaction will repay noteholders sequentially, prioritizing the senior notes. A non-declining cash reserve account, equaling 0.50% and to be funded at closing, will also help keep cash flow to the notes.
There is also excess spread of 15.84%, KBRA said.
UPST, series 2026-4, also includes a cumulative net loss trigger and a three-month average material modified loan ratio trigger, KBRA said. If either one is breached, all available funds—after paying fees and interest and replenishing the reserve account—will be applied to the note principal payment.
The 80,767 loans in the pool—originated by DR Bank, Cross River Bank, Pathward Financial—have an average loan balance of $6,191 with an interest rate of 24.01%, on a weighted average (WA) basis, and a remaining term of 51 months, KBRA said.
Geographically, California, Texas and Florida account for 13.73%, 12.08% and 8.06%, respectively.
KBRA assigns ratings of A-, BBB- and BB- to classes B, C and D, respectively.
