NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three classes of notes issued by Citi Held for Asset Issuance 2016-PM1 (“CHAI 2016-PM1”). This is a $278.4 million consumer loan ABS transaction that is expected to close on March 31, 2016.
This transaction represents the fourth CHAI securitization collateralized by unsecured consumer loans originated under the online marketplace lending platform operated by Prosper Funding, LLC (“Prosper” or the “Company”).
Founded in 2006, Prosper operates an online marketplace lending platform (www.prosper.com) (the “Prosper Platform”). Personal installment loans are offered to prime and near prime customers through the Prosper Platform. Prosper originated $1.6 billion in loans for the full year ending 2014 and over $3.65 billion in loan originations from January 2015 - December 2015.
Prosper does not retain any of the loans it originates through the Prosper Platform; instead it sells all loans through two whole loan channels and one partial loan channel. The Prosper Platform funds a portion of loans through a peer-to-peer platform, in which retail investors can purchase a partial loan interest in loans. All loans in this securitization are whole loans that were purchased through the whole loan passive channel.
The transaction has initial credit enhancement levels of 33.00% for the Class A Notes, 25.10% for the Class B Notes and 12.00% for the Class C Notes. Credit enhancement consists of excess spread, overcollateralization, subordination (in the case of the Class A and Class B Notes) and a reserve account funded at closing.
KBRA applied its General Rating Methodology for Asset-Backed Securities as part of its analysis of the transaction’s underlying collateral pool, the proposed capital structure and the Prosper Platform’s historical gross loss data. KBRA also conducted an operational assessment of the Prosper Platform, as well as a review of the transaction’s legal structure and transaction documents. KBRA will also review the operative agreements and legal opinions for the transaction prior to closing.
Preliminary Ratings Assigned: CHAI 2016-PM1
| Class | Preliminary Rating | Expected Initial Class Principal | ||||
| A | A(sf) | $212,325,000 | ||||
| B | BBB(sf) | $24,850,000 | ||||
| C | BB-(sf) | $41,210,000 | ||||
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).
