The rating is based on DBRS Morningstar's review of the following analytical considerations:
Transaction capital structure, and form and sufficiency of available credit enhancement. The initial hard credit enhancement for the Notes is 7.34%, provided through an issuer invested amount and a cash reserve account.
The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. For this transaction, the rating addresses timely payment of interest on a monthly basis and repayment of principal by the legal final maturity date.
The collateral pool mix and credit quality of the collateral pool at closing. At closing, approximately 84.09% of collateral (by aggregate discounted receivables balance) was represented by exposure to annuity providers with a rating equivalent of A (low) or better, and 94.21% of annuity providers had an investment-grade rating.
Collateral for the Notes comprises structured settlements receivables, annuity receivables, and lottery receivables; no life contingent collateral is included in the transaction. Lottery receivables account for approximately 3% of the aggregate discounted receivables balance.
The
The transaction is supported by an established structure and is consistent with DBRS Morningstar's 'Legal Criteria for
The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns -
ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
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 https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings>. (May,17, 2022).
Notes:
All figures are in
The principal methodology is Rating
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.
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