DBRS Finalizes Provisional Ratings on Springleaf Funding Trust 2016-A

DBRS, Inc. (DBRS) has today finalized its provisional ratings on the following notes issued by Springleaf Funding Trust 2016-A (Series 2016-A):

-- $422,810,000 Series 2016-A Notes, Class A rated AA (sf)
-- $45,590,000 Series 2016-A Notes, Class B rated A (sf)
-- $31,600,000 Series 2016-A Notes, Class C rated BBB (sf)
-- $32,430,000 Series 2016-A Notes, Class D rated BB (sf)

The ratings are based on a review by DBRS of the following analytical considerations:
-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date.
-- OneMain Financial Group LLC’s (OneMain) capabilities with regards to originations, underwriting and servicing.
-- Acquisition of OneMain by Springleaf Holdings, Inc.
-- The credit quality of the collateral and performance of OneMain’s legacy Springleaf consumer loan portfolio (the Springleaf portfolio). DBRS used a hybrid approach in analyzing the Springleaf portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with Springleaf Finance Corporation (SFC), that the trust has a valid first-priority security interest in the assets and is consistent with DBRS’s “Legal Criteria for U.S. Structured Finance” methodology.

DBRS has finalized the provisional ratings on Series 2016-A as listed above. The Series 2016-A transaction represents the sixth securitization of a portfolio of non-prime and subprime personal loans originated through OneMain’s legacy branch network of SFC.

Credit enhancement in the transaction consists of overcollateralization, subordination, excess spread and a reserve account. The rating on the Class A Notes reflects 25.40% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (1.00%) and overcollateralization (4.80%). The ratings on the Class B, Class C and Class D Notes reflect 17.25%, 11.60% and 5.80% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

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

The applicable methodologies are Rating U.S. Structured Finance Transactions and Rating U.S. Credit Card Asset-Backed Securities, which can be found on our website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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 Research at the right of the screen or by contacting us at info@dbrs.com.