Donna M. Mitchell

Seasoning, a strong borrower profile and backup servicer mitigate concerns about SoFi Lending's credit strength.

Without subordination, overcollateralization, a liquidity reserve account, and an Interest Supplement Account provide initial credit enhancement.

Some 53% of the loans are debt service coverage ratio products—originated for business purposes and likely to fund the 43.8% of investor properties in the pool.

Virtually the entire pool is financing used cars. Even that might leave the pool vulnerable to reduced recovery costs, should prices for used cars drop notably.

Based on the securitized utility tariff property, the security of the notes will depend on the number of customers in the utility's service area.

The CLO is preparing to raise $494.5 million from the capital markets, with a reinvestment period of 2.9 years, and a a weighted average (WA) recovery assumption of 77.03%.

The percentage of extended-term loans, 80.9%, is near the higher end in recent historical deals, but higher FICO scores are also a bigger portion of the pool.

Pagaya Structured Products had begun acquiring loans underwritten to tighter underwriting standards—especially among higher-risk borrower segments—in fall 2021.

Sunnova 2022-C shows borrowers with tighter credit qualifications, and initial OC, as a percentage of pool balance, is lower than Sunnova 2022-B's.

Three of the note classes will issue deferrable notes, where the trust can defer interest payments to the notes under certain circumstances.

Some 2.9% of the pool—comprised of 1,705 loans—was 30 days delinquent, and 68.3% of the loans had experienced one or more delinquencies in the past 24 months.

Delinquencies in the 30-day-plus cohort have not produced higher gross losses, and recoveries in recent static pool vintages are retreating to historical averages.

The 2022-C deal has a weaker borrower profile among loans with 61- to 72-month terms, loan terms that typically have higher loss frequency and defaults.

Reduced-rate loans, originated through third-party lenders, comprise a majority of the collateral in the transaction, at 58.3%.

Some 59.5% of the pool comes from Marriott Vacation Club, up substantially from 45.0% in 2022-1. The loans have stronger performance track records than other brands, except for Westin.

Beginning in Q2, Theorem added credit factor adjustments largely in response to the cessation of COVID-19 stimulus and changes in macroeconomic conditions.

Revenue from operations and benefits from a perfected security interest in the securitized assets comprise the collateral assets.

HPEFS, 2022-3, is one of the smallest securitized transactions to be issued from the program in two years, and it has the smallest aggregate contract balance.

Since last year, GoodLeap had expanded its offerings to include Home Efficiency Loans, funding a range of improvements such as LED lighting, HVAC, and generators.

Only credit card ABS and residential MBS saw increases, while other major asset classes dipped. Production in private SLABS dipped about 44%.