After a year, the Upstart Securitization Trust program is preparing to raise $208 million from the securitization markets.
Known as UPST 2024-1, the deal will issue notes through three tranches of classes A, B and C notes, according to Asset Securitization Report's deal database. Ratings analysts at Kroll Bond Rating Agency and Moody's Ratings say the notes have a legal final maturity date of Nov. 20, 2034.
The class A, B and C notes are expected to pay yields of 5.3%, 6.3% and 8.8%, respectively, according to the deal database. The notes are expected to price at par, and be benchmarked to the three-month interpolated yield curve, ASR notes.
As with previous Upstart deals, UPST 2024-1, is collateralized by unsecured consumer loans originated through Upstart Network's online platform, and KBRA notes that the company is the deal's sole sponsor. Cross River Bank, FinWise Bank, Customers Bank and DR Bank compose the Program Banks that originate the loans, according to KBRA.
The notes, which repay investors through a sequential structure, benefit from 20.0% in initial overcollateralization, with a target level of 28.0%, and a floor of 2.0%, KBRA said. A reserve account representing 0.50% of the loan balance also provides protection to the notes, the rating agency said. The notes also benefit from excess spread of 15.78%.
KBRA notes that 31,938 loans will secure the collateral pool, a smaller pool compared to the UPST 2023-1 transaction, but one that also had a lower average loan balance, with $8,141.
Moody's notes that Wilmington Trust National Association is on the deal as the backup servicer, in case Upstart, which is the servicer, is terminated for cause.
The rating agency also noted that a vast majority of the deal, 87.17% of the collateral, as a percentage of the assets' principal balance, has a 60-month original term to maturity. On a WA basis, meanwhile, the assets have a 55-month remaining term, Moody's said. Also, the assets have a weighted average FICO score of 677, Moody's said.
Moody's assigns A2 to the class A notes and Baa2 to the class B notes. KBRA assigns A-, BBB- and BB- to classes A, B and C, respectively.
