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Zopa readies £138m debut securitisation, receives Aa3 rating

The first securitisation of Zopa loans is doing the rounds with investors, as Moody’s assigns provisional ratings.

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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. 

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Aloysius Fekete

Chief Product Officer


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