DBRS Finalizes Provisional Ratings on SoFi Consumer Loan Program 2018-4 Trust

DBRS, Inc. (DBRS) finalized its provisional ratings on the following classes of notes (collectively, the Notes) issued by SoFi Consumer Loan Program 2018-4 Trust (SCLP 2018-4):

-- $379,000,000 Class A Notes at AAA (sf)
-- $48,000,000 Class B Notes at AA (sf)
-- $68,000,000 Class C Notes at A (sf)
-- $54,000,000 Class D Notes at BBB (sf)

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

-- The transaction’s form and sufficiency of available credit enhancement.
-- Subordination, overcollateralization, amounts held in the reserve account 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 (sf), A (sf) and BBB (sf) stress scenarios in accordance with the terms of the SCLP 2018-4 transaction documents.
-- The quality and credit characteristics of the consumer loan borrowers.
-- Structural features of the transaction that require the Notes to enter into full turbo principal amortization if certain performance triggers are breached or if credit enhancement deteriorates.
-- The credit quality of the transaction’s underlying collateral pool.
-- SoFi Lending Corp. (SoFi) has refined and strengthened its credit underwriting model to incorporate a new custom scoring model to more accurately assess and rank the risk of severe delinquencies or losses.
-- The credit characteristics of the borrowers in the transaction’s collateral pool (specifically, weighted average FICO score and free cash flow) are the strongest to date.
-- The experience, underwriting and origination capabilities of SoFi.
-- The ability of the Servicer to perform servicing and collections on the collateral pool and other required activities.
-- The ability of Systems & Services Technologies, Inc. to perform duties as a Backup Servicer.
-- The legal structure and legal opinions that 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 “Legal Criteria for U.S. Structured Finance.”

The Notes are collateralized by a pool of fixed-rate (comprising 99.6% of the pool) and variable-rate (comprising 0.4% of the pool) unsecured consumer loans that fully amortize over their set maturity terms. Prior to their issuance, these loans were funded and owned by the sponsor, its financing subsidiaries or investors who purchased the loans from the sponsor.

The structure includes a fully funded Reserve Account (0.50% of the initial aggregate principal amount of the Notes), overcollateralization (8.50%) and subordination (as a percentage of the initial aggregate principal amount of the Notes) in the form of the Class B Notes (8.74%), Class C Notes (12.39%) and Class D Notes (9.84%). This is a different structure from the prior SCLP deals in that it includes Class D Notes and does not split the Class A Notes. The Notes bear interest based on fixed rates.

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

The principal methodology is Rating U.S. Structured Finance Transactions, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS 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 attached appendix for additional information regarding 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@dbrs.com.