The ratings are based on DBRS Morningstar's review of the following analytical considerations:
(1) The transaction assumptions consider DBRS Morningstar's set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary 'Global Macroeconomic Scenarios:June 2021 Update', published onJune 18, 2021 . DBRS Morningstar initially published macroeconomic scenarios onApril 16, 2020 , that have been regularly updated. The scenarios were last updated onJune 18, 2021 , and are reflected in DBRS Morningstar's rating analysis.
(2) The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in continued success in containment during the second half of 2021, enabling the continued relaxation of restrictions.
DBRS Morningstar's projected losses include the assessment of the impact of the coronavirus. The DBRS Morningstar cumulative net loss assumption is 17.18% based on the Cutoff Date pool composition.
DBRS Morningstar incorporated in its analysis a hardship deferment stress as a result of an increase in utilization related to the impact of the coronavirus on borrowers. DBRS Morningstar stressed hardship deferments to test liquidity risk early in the life of the transaction's cash flows.
(3) The transaction's form and sufficiency of available credit enhancement.
Subordination, overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels are commensurate with the ratings.
Transaction cash flows are sufficient to repay investors under all A (sf) and BBB (low) (sf) stress scenarios in accordance with the terms of the UPST 2021-3 transaction documents.
(4) Structural features of the transaction that require the Notes to enter into full turbo principal amortization if certain triggers are breached or if credit enhancement deteriorates.
(5) The experience, sourcing, and servicing capabilities ofUpstart Network, Inc. (Upstart).
(6) The experience, underwriting, and origination capabilities ofCross River Bank (CRB),Customers Bank , andFinWise Bank (FinWise).
(7)Wilmington Trust National Association's (rated AA (low) with a Negative trend by DBRS Morningstar) ability to perform duties as a Backup Servicer andSystem & Services Technologies, Inc.'s ability to perform duties as a designated sub-agent.
(8) The annual percentage rate (APR) charged on the loans and CRB,Customers Bank , and FinWise's status as the true lender.
All loans included in UPST 2021-3 are originated by CRB,
Loans originated by CRB are within the
Loans originated by
Loans originated by FinWise are all within the
The weighted-average APR of the loans in the pool is 22.09%.
Loans may be in excess of individual state usury laws; however, as the true lenders, CRB,
Loans originated to borrowers in states with recent litigation or administrative proceedings (Second Circuit (
Loans originated to borrowers in
Loans originated to borrowers who are residents of
Under the Loan Sale Agreement, Upstart is obligated to repurchase any loan if there is (i) a loan that was not an Eligible Loan as of the Cutoff Date or (ii) a breach of any of the Seller's representations and warranties related to the loans deemed to be made by the Seller to and for the benefit of the Purchaser pursuant to the terms of the Loan Sale Agreement, which such breach goes uncured for a period of 10 business days.
(9) The legal structure and legal opinions that address the true sale of the personal loans, the nonconsolidation of the trust, that the trust has a valid perfected security interest in the assets, and consistency with the DBRS Morningstar's 'Legal Criteria forU.S. Structured Finance.'
ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.
Notes:
All figures are in
The principal methodology is Rating
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.
The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 212 806-3277
Ratings
Date Issued Debt Rated Action Rating Trend Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
29-Jul-21 Class A Notes Provis.-Final A (sf) -- US
29-Jul-21 ClassB Notes Provis.-Final BBB (low) (sf) -- US
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