SoFi Consumer Loan Program 2019-2 Trust Notes Assigned Preliminary Ratings

  • SoFi Consumer Loan Program 2019-2 Trust's issuance is an ABS transaction backed by unsecured consumer loans.
  • We assigned our preliminary ratings to the class A, B, and C notes.
  • The preliminary ratings reflect our view of the transaction's credit support and payment structure, among other factors.
NEW YORK (S&P Global Ratings) April 15, 2019--S&P Global Ratings today 
assigned its preliminary ratings to SoFi Consumer Loan Program 2019-2 Trust's 
consumer loan asset-backed notes (see list).

The note issuance is an asset-backed securities transaction backed by 
unsecured consumer loans.

The preliminary ratings are based on information as of April 15, 2019. 
Subsequent information may result in the assignment of final ratings that 
differ from the preliminary ratings.

The preliminary ratings reflect: 
  • Approximately 41%-42%, 36%-37%, and 24%-28% credit support available (including excess spread) in our 'AAA', 'AA', and 'A' break-even cash flow scenarios, respectively. The credit support is defined as break-even net loss rates used in our 'AAA', 'AA', and 'A' stressed break-even cash flow scenarios with front- and back-loaded default curves. These credit support levels provide coverage of at least 5.0x, 4.4x and 2.9x our base-case net loss rate of approximately 8.3% in the 'AAA','AA' and 'A' stressed break-even cash flow scenarios, respectively. The turbo principal payment trigger was in effect in these break-even scenarios because our break-even default rate assumption exceeded the default rate threshold in the turbo trigger definition (see the next bullet point below).
  • The turbo trigger that accelerates note principal repayments if the cumulative net loss rate exceeds 3.0% of the initial pool balance during any collection period ending on or before May 12, 2020; 5.0% for any collection periods ending between June 12, 2020, and Nov. 12, 2020; 7.0% for any collection periods ending between Dec. 12, 2020, and May 12, 2022; or 9.0% from the collection period ending on or after June 12, 2022. The turbo trigger will also be in effect when the outstanding pool balance is less than 10% of the initial pool balance.
  • The pool characteristics, including a weighted average FICO score of 754, a weighted average gross income of $150,741, and the weighted average monthly free cash flow of $5,620. Free cash flow, as calculated by SoFi Lending Corp. at the time of loan origination, is defined as the obligor's income minus debt payments and minus estimated expenses, such as taxes and mortgage or rent payments. All of the above characteristics are reported at the time of loan application.
  • The starting overcollateralization of approximately 8.50%, which is expected to grow to its target level of 11.00% over the deal's life. Overcollateralization is defined as the excess of the pool balance over the note balance, divided by the pool balance. The pool balance does not include the reserve account balance.
  • The fully funded, nonamortizing reserve account, which equals 0.50% of the initial note balance (0.46% of the initial pool balance).
  • Approximately 22.5% subordination for the class A notes provided by the class B, C, and D notes; approximately 16.5% of subordination for the class B notes provided by the class C and D notes; and approximately 7.5% of subordination for the class C notes provided by the class D notes. Each subordination percentage is expressed as the sum of initial note balances of related subordinate classes divided by the initial pool balance. The subordination is expected to grow over time due to the fully sequential payment priority.
  • The transaction's payment structure, which builds overcollateralization to the greater of 11.00% of the outstanding pool balance and $6,000,119 (1.00% of the initial pool balance).
  • Detailed loan-level data, which allowed for a deeper analysis of the obligor characteristics.
  • SoFi's experienced executive management team with expertise in capital markets, credit and risk management, data analytics, and the regulatory regime surrounding consumer loans.
  • The moderately low level of expected servicing intensity given the collateral pool's strength and the fact that approximately 87% of the series 2019-2 pool utilizes Automated Clearing House (ACH) account debit for their loan payments.
  • An experienced backup servicer, Systems & Services Technologies Inc. (SST), which has serviced more than $28 billion in loans and consumer receivables across the credit spectrum. SST currently services approximately 490,011 active accounts with an aggregate balance of approximately $4.7 billion. At peak capacity, SST has serviced over 900,000 active accounts.
  • The timely interest and principal payments by the final maturity dates made under stressed cash flow modeling scenarios that are appropriate for our 'AAA','AA', and 'A' assigned ratings.
  • A scenario analysis, which indicates that under moderately stressful economic conditions (defined as about 2.0x the expected defaults), the ratings on the class A and B notes would not decline more than one rating category from our preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, and the rating on the class C notes would not decline more than two rating categories from the preliminary 'A (sf)' rating, in the first year, which is consistent with our credit stability criteria.
  • Approximately 8.3% base-case default rate reflecting available performance history and the pool composition.
  • The transaction's legal structure.
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