DBRS Morningstar Finalizes Provisional Ratings on SoFi Consumer Loan Program 2021-1 Trust

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes (collectively, the Notes) issued by SoFi Consumer Loan Program 2021-1 Trust (SCLP 2021-1):

-- $187,000,000 Class A Notes at AAA (sf)
-- $13,200,000 Class B Notes at AA (sf)
-- $16,100,000 Class C Notes at A (sf)
-- $16,200,000 Class D Notes at BBB (sf)

The ratings are 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, published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although COVID-19 remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to COVID-19 may nonetheless bring other risks to the forefront in coming months and years.
-- DBRS Morningstar's projected losses include the assessment of the impact of the coronavirus. The DBRS Morningstar CNL assumption is 5.52% based on the Cut-Off Date pool composition.
-- DBRS Morningstar incorporated in its analysis a hardship deferment stress as a result of an increase in utilization related to the impact of the coronavirus on borrowers. DBRS Morningstar stressed hardship deferments to test liquidity risk early in the life of the transaction’s cash flows.

(2) 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 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 2021-1 transaction documents.

(3) 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.

(4) The credit quality of the transaction’s underlying collateral pool.

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

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

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

(8) 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 Morningstar “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
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/373262.

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

The principal methodology is Rating U.S. Structured Finance Transactions (November 6, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

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

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