Zopa readies £138m debut securitisation, receives Aa3 rating
领先消费者借贷平台Zopa发起的其首个贷款证券化项目—“以市场为源的消费者资产 2016-1 plc” （或称“Moca 2016-1”)—获穆迪暂时评级。这个1.38亿投资组合最初由资产8.7亿英镑的信托投资基金P2P Global Investments促成。
穆迪给予了价值1.14亿英镑高级别A级票据(P)Aa3的评级，价值750亿英镑的B级票据(P)A2评级。750万英镑C级票据评级为(P)Baa2。900万英镑D级票据评级为(P)Ba3。此外还有1200万Z级票据未获评级。所有票据将在2024年到期。Target Servicing Limited被指定为该组合的备选服务商。
穆迪方面表示，Moca 2016-1投资组合中预计违约率为7%，预计债务回收率为5%。AltFi Data的首席产品官Aloysius Fekete表达了他的看法：“AltiFi Data记录了2006年到2008年金融危机期间Zopa贷款资金的流失率。Zopa所经历的最为惨重的年流失率为2008年因年久贷款而达4.8%。我们认为穆迪的预期虽然保守却很合理，因为近期Zopa的组合中纳入了低风险内容。
Zopa的交易将是英国借贷业至今第二起证券化交易。Funding Circle的SBOLT 2016-1交易额为1.3亿英镑，于四月获穆迪Aa3评级。其中A级票据获得了欧洲投资基金的担保，出售给了德国复兴信贷银行。
最新消息：目前我们获悉惠誉给予了Zopa项目里程碑式的评级。惠誉将此 评级为“AA-(EXP)”，这是迄今为止惠誉给予市场借贷交易的最高评级。目前，市场借贷业全球证券发行额已超过100亿美元。惠誉拒绝对今年早些时候Funding Circle的SBOLT 2016-1进行评级。
The first securitisation of loans issued by leading consumer lending platform Zopa – "Marketplace Originated Consumer Assets 2016-1 plc" ("Moca 2016-1") – has been provisionally rated by Moody’s. The loans that make up the £138m portfolio were funded in the first instance by P2P Global Investments, the £870m investment trust.
Moody’s has assigned a rating of (P)Aa3 to the £114m senior tranche of Class A Notes. The Class B Notes, of which there are £7.5m, were rated (P)A2. The £7.5m of Class C Notes were assigned a rating of (P)Baa2. The £9m of Class D notes were rated (P)Ba3. There are also £12m of Class Z Notes which will not be rated. All Notes are due October 2024. Target Servicing Limited has been appointed as the back-up servicer of the portfolio.
The unsecured consumer loan portfolio is spread mostly across car loans, debt consolidation and home improvement loans. There are 27,137 contracts in the portfolio, with a weighted average seasoning of 10 months and a maximum loan term of five years.
The portfolio lifetime expected defaults for Moca 2016-1, according to Moody’s, is 7.0 per cent, with expected recoveries of 5.0 per cent. Aloysius Fekete, chief product officer at AltFi Data, offered his take: "AltFi Data has loss data on the Zopa loan cash flows from 2006 going through the financial crisis in 2008. The worst loss rate Zopa experienced on any yearly cohort was 4.8% for the 2008 vintage loans. Moody's expections are conservative, but in our opinion reasonable given the recent addition of lower risk bands in Zopa’s portfolio.”
Zopa has declined to comment on the transaction at this time.
This will be the UK marketplace lending sector’s second securitisation to date. Funding Circle’s SBOLT 2016-1, a £130m transaction, received an Aa3 rating from Moody’s in April. The Class A Notes, which were sold to KfW, came with a guarantee from the European Investment Fund attached.
Deutsche Bank was heavily involved in Funding Circle's inaugural securitisation, and is now acting as the sole arranger and lead manager for the Zopa deal.
UPDATE: We now learn that Fitch has conferred a landmark rating on the Zopa deal. Fitch rated the Class A Notes "AA-(EXP)". This is the highest rating to have ever been assigned to a marketplace lending transaction by Fitch. There has been over $10bn in global securitisation issuance by the marketplace lending sector to date. Fitch declined to rate Funding Circle's SBOLT 2016-1 earlier this year.