DBRS Morningstar Assigns Provisional Ratings to Towd Point Asset Trust 2021-SL1

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes (the Rated Notes) to be issued by Towd Point Asset Trust 2021-SL1 (TPAT 2021-SL1):

-- $239,113,000 Class A1 Notes rated AAA (sf)*
-- $239,113,000 Class A2 Notes rated AAA (sf)*
-- $54,707,000 Class B Notes rated AA (low) (sf)
-- $25,202,000 Class C Notes rated A (low) (sf)
-- $19,670,000 Class D Notes rated BBB (low) (sf)
-- $14,753,000 Class E Notes rated BB (low) (sf)
-- $3,073,000 Class F Notes rated B (sf)
-- $532,933,000 Class AB Notes rated AA (low) (sf)**
-- $558,135,000 Class AC Notes rated A (low) (sf)**

*The initial principal balances of the Class A1 Notes and the Class A2 Notes may change and will be determined on or before pricing. The aggregate balance of the Class A1 Notes and the Class A2 Notes will be $478,226,000.
**Exchangeable Notes.

The provisional ratings on the Rated Notes are based on a review by DBRS Morningstar of the following considerations:
-- The transaction’s 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 on June 18, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on June 18, 2021, and are reflected in DBRS Morningstar’s rating analysis.
-- 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.
-- The transaction’s form and sufficiency of available credit enhancement.
-- Note subordination, reserve accounts, and excess spread create credit enhancement levels that are commensurate with the proposed ratings.
-- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) stress scenarios in accordance with the terms of the TPAT 2021-SL1 transaction documents.
-- The quality and credit characteristics of the student loans borrowers.
-- The sequential-pay structure.
-- The ability of Nelnet Servicing, LLC and Turnstile Capital Management, LLC to service and perform collections on the collateral pool and other required activities.
-- TPAT 2021-SL1 provides for Class F Notes with an assigned rating of B (sf). While the DBRS Morningstar “Rating U.S. Private Student Loan Securitizations” methodology does not set forth a range of multiples for the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS Morningstar stress analysis for a B (sf) rating is 1.00 times (x) to 1.25x.
-- The legal structure and expected legal opinions that will 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 the consistency with DBRS Morningstar's “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found at 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 U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Private Student Loan Securitizations (November 5, 2020), 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.

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.

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