DBRS Morningstar Finalizes Provisional Ratings on SoFi Professional Loan Program 2020-C Trust

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes (collectively, the Notes) issued by SoFi Professional Loan Program 2020-C Trust (SoFi 2020-C):

-- $455,000,000 Class A-FX Notes at AAA (sf)
-- $27,500,000 Class B-FX Notes at AA (sf)

The impact of the Coronavirus Disease (COVID-19) has considerably dislocated the world economy and drastically altered the course of most industries and companies through, among other things, forced shutdown of operations, sharp declines in demand for products and services, altered consumer behavior, and supply chain and labor supply shocks. While considerable uncertainty remains with respect to the intensity and duration of the shock, DBRS Morningstar has revised the base-case default assumptions for this transaction in light of the expected impact on consumer behavior.

In conjunction with DBRS Morningstar’s commentary “Global Macroeconomic Scenarios: Implications for Credit Ratings” published on April 16, 2020, DBRS Morningstar has updated its base-case stresses for this transaction. The updated stresses correspond to the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). In the moderate scenario, DBRS Morningstar currently expects that the coronavirus will begin to be contained during Q2 2020, resulting in a gradual relaxation of stay-at-home measures and nonessential business closures, allowing a gradual economic recovery to begin starting in Q3 2020.

The ratings are based on a review by DBRS Morningstar of the following analytical considerations:

-- The transaction’s form and sufficiency of available credit enhancement.
-- The sequential-pay structure.
-- The quality and credit characteristics of the student loan borrowers.
-- Structural features of the transaction that require the Class A-FX Notes (the Class A Notes) to enter into full turbo principal amortization if certain performance triggers are breached or if credit enhancement deteriorates.
-- The experience, underwriting, and origination capabilities of SoFi Lending Corp. (SoFi).
-- The ability of the Servicer to perform collections on the collateral pool and other required activities.
-- The legal structure and presence of legal opinions that address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance.”

The Notes are backed by a trust certificate representing 100% of the beneficial ownership interest in a grantor trust, the assets of which consist of loans originated through SoFi’s private student loan refinancing program (Refinancing Loans). The fixed-rate Class A Notes and Class B-FX Notes (the Class B Notes) are secured by a group of fixed-rate Refinancing Loans.

Credit enhancement for SoFi 2020-C consists of overcollateralization, subordination provided by the Class B Notes for the benefit of the Class A Notes, a reserve account for the Class A Notes, a liquidity account for the Class B Notes, and excess spread.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Private Student Loan Securitizations (November 20, 2019), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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.

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.

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