DBRS Morningstar Finalizes Provisional Rating on SoFi Consumer Loan Program 2023-1S Trust

DBRS, Inc. (DBRS Morningstar) finalized its provisional rating on the following class of notes (the Notes) issued by SoFi Consumer Loan Program 2023-1S Trust (SCLP 2023-1S):

-- $340,000,000 Class A Notes at AAA (sf)

The rating is based on a review by DBRS Morningstar of the following analytical considerations:

(1) The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2022 Update, published on December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.
-- The DBRS Morningstar CNL assumption is 4.63% based on the Cut-Off Date pool composition and seasoning.
-- DBRS Morningstar used SoFi data to determine cash flow modeling assumptions for this transaction.

(2) The transaction’s form and sufficiency of available credit enhancement.
-- Overcollateralization, amounts held in the Reserve Account, and excess spread create credit enhancement levels that are commensurate with the rating.
-- Transaction cash flows are sufficient to repay investors under all AAA (sf) stress scenarios in accordance with the terms of the SCLP 2023-1S transaction documents.

(3) The credit quality of the transaction’s underlying collateral pool.
-- The credit characteristics of the borrowers in the transaction’s collateral pool (specifically, weighted average seasoning, FICO score, and FCF).

(4) The experience, underwriting and origination capabilities of SoFi Lending Corp.

(5) The ability of the Servicer to perform servicing and collections on the collateral pool and other required activities.

(6) The ability of Systems & Services Technologies, Inc. to perform duties as a Backup Servicer.

(7) The legal structure and expected legal opinions that will address the true sale of the consumer loans, the non-consolidation 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.”

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/ Social/ Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings. (May 17, 2022)

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

The principal methodology applicable to the rating is Rating U.S. Structured Finance Transactions at https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions (February 6, 2023).

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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.

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For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (February 6, 2023) https://www.dbrsmorningstar.com/research/409447/operational-risk-assessment-for-us-abs-servicers.

Operational Risk Assessment for U.S. ABS Originators (November 8, 2022) https://www.dbrsmorningstar.com/research/405082/operational-risk-assessment-for-us-abs-originators.

Legal Criteria for U.S. Structured Finance (December 7, 2022) https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance.