DBRS Morningstar Confirms Ratings on Towd Point Asset Trust 2018-SL1, Removes Two Classes from Under Review with Negative Implications

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on all classes of securities issued by Towd Point Asset Trust 2018-SL1:

-- Class A Notes
-- Class B Notes
-- Class AB Notes
-- Class C Notes
-- Class AC Notes
-- Class D-1 Notes
-- Class D-2 Notes

The Class AB and AC Notes are exchangeable notes.

With this review, DBRS Morningstar removed the Class D-1 and D-2 Notes from Under Review with Negative Implications, where it placed them on June 30, 2020.

The rating confirmations are based on the following analytical considerations:

-- The transaction 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: December Update,” published on December 2, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on December 2, 2020, 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 the current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

-- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in the reserve fund available in the transaction. Hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar current rating levels listed above.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the initial base-case default assumptions that are consistent with the expected unemployment levels in the moderate scenario.
-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is the DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 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 not 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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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