Morningstar DBRS Takes Credit Rating Actions on Eight SoFi Professional Loan Program

DBRS, Inc. (Morningstar DBRS) confirmed 11 and upgraded three its credit ratings on classes of securities included in eight SoFi Professional Loan program transactions.

The credit rating actions are based on the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’s moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

-- Class B upgrades for 2020-A, 2020-B, and 2020-C are due to increasing credit enhancement and multiples commensurate with the respective credit ratings.

-- Transaction capital structure, current credit ratings, and sufficient credit enhancement levels.

-- Credit enhancement is in the form of overcollateralization, reserve accounts, and excess spread with senior notes benefiting from subordination of junior notes.

-- Credit enhancement levels are sufficient to support the Morningstar DBRS expected default and loss severity assumptions under various stress scenarios.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

-- No performance triggers are in effect.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

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

The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance, https://dbrs.morningstar.com/research/428506 (February 22, 2024).

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings were initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at:
https://dbrs.morningstar.com/about/methodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (February 22, 2024), https://dbrs.morningstar.com/research/428505
-- Operational Risk Assessment for U.S. ABS Originators (February 22, 2024), https://dbrs.morningstar.com/research/428504
-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081
-- Rating U.S. Structured Finance Transactions (February 22, 2024), https://dbrs.morningstar.com/research/428503
-- Rating U.S. Private Student Loan Securitizations (October 25, 2023), https://dbrs.morningstar.com/research/422385

For more information on this credit or on this industry, visit https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.