DBRS Assigns Provisional Ratings to Springleaf Funding Trust 2017-A

DBRS, Inc. (DBRS) has today assigned provisional ratings to the following notes issued by Springleaf Funding Trust 2017-A (Series 2017-A):

-- $516,820,000 Series 2017-A Notes, Class A (the Class A Notes) rated AA (sf)
-- $35,960,000 Series 2017-A Notes, Class B (the Class B Notes) rated A (sf)
-- $41,450,000 Series 2017-A Notes, Class C (the Class C Notes) rated BBB (sf)
-- $57,540,000 Series 2017-A Notes, Class D (the Class D Notes) 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 regard to originations, underwriting and servicing.
-- Receivables are generated through legacy Springleaf Finance Corporation (SFC) branches. Cash and check payments are received at these branches. In a decentralized operation, this can introduce risks that are hard to quantify.
-- Acquisition of OneMain Financial Holdings, LLC by OneMain.
-- 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, which is employed for assets such as consumer loans, and revolving asset analysis, which is employed for assets such as credit card master trusts.
-- The legal structure and presence of legal opinions that address the true sale of the assets to Series 2017-A, the non-consolidation of the special-purpose vehicle with OneMain and 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 assigned ratings to Series 2017-A as listed above. The Series 2017-A transaction represents the seventh 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 25.05% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (0.50%) and overcollateralization (4.85%). The ratings on the Class B, Class C and Class D Notes reflect 19.80%, 13.75% and 5.35% 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 principal methodologies are Rating U.S. Structured Finance Transactions and Rating U.S. Credit Card Asset-Backed Securities, which can be found on dbrs.com 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 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 Research at the right of the screen or by contacting us at info@dbrs.com.