Press Release

DBRS Morningstar Finalizes Provisional Ratings on FREED ABS Trust 2022-4FP

Consumer Loans & Credit Cards
October 27, 2022

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes to be issued by FREED ABS Trust 2022-4FP (FREED 2022-4FP):

-- $111,420,000 Class A Notes at AAA (sf)
-- $78,850,000 Class B Notes at AA (sf)
-- $36,040,000 Class C Notes at A (sf)

The ratings are based on DBRS Morningstar’s review of the following 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: September 2022 Update,” published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

(2) The assumptions consider the baseline macroeconomic scenario outlined in the commentary.
-- The DBRS Morningstar cumulative net loss assumption is 12.26% based on the Cutoff Date pool composition.

(3) The transaction’s form and sufficiency of available credit enhancement.
-- Subordination, overcollateralization, amounts held in the Reserve Fund, 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), and A (sf) stress scenarios in accordance with the terms of the FREED 2022-4FP transaction documents.

(4) The experience, sourcing, and servicing capabilities of Freedom Financial Asset Management, LLC (FFAM).

(5) The experience, underwriting, and origination capabilities of Cross River Bank (CRB) and Pathward, National Association (Pathward; together, the Partner Banks).

(6) The ability of Wilmington Trust National Association (rated AA (low) with a Stable trend by DBRS Morningstar) to perform duties as a Backup Servicer, and the ability of Nelnet Servicing, LLC to perform duties as a Backup Servicer Subcontractor.

(7) The annual percentage rate (APR) charged on the loans and the status of the Partner Banks as the true lenders.
-- All loans included in FREED 2022-4FP are originated by CRB, a New Jersey state-chartered Federal Deposit Insurance Corporation-insured bank, or Pathward, a national bank.
-- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%.
-- Loans originated by Pathward are within the South Dakota state usury limit of 36.00%.
-- The weighted-average APR of the loans in the pool is 21.23%.
-- Loans may be in excess of individual state usury laws; however, the Partner Banks as the true lenders are able to export rates that pre-empt state usury rate caps.
-- Loans originated to borrowers in states with active litigation (Second Circuit (New York, Connecticut, Vermont), Colorado, West Virginia, and Maine) are excluded from the pool.
-- Under the Loan Sale Agreement, FFAM is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser.

(8) The legal structure and expected legal opinions that address the true sale of the unsecured consumer loans, the nonconsolidation of the trust, that the trust has a valid perfected security interest in the assets, and the consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance.”

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

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 (May 17, 2022).

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

The principal methodology is Rating U.S. Structured Finance Transactions (April 4, 2022), which can be found on 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:

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 or contact us at [email protected].

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