The rating is based on DBRS Morningstar's review of the following analytical considerations:
The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary 'Baseline Macroeconomic Scenarios For Rated Sovereigns
The generally high credit quality of annuity providers and their improved capitalization positions and risk management frameworks, which have been enhanced since the global financial crisis of 2008-09. Furthermore, given the relatively light-touch servicing requirements, structured settlements asset-backed security (ABS) transactions have not experienced any material servicing challenges related to the coronavirus pandemic. As a result, DBRS Morningstar did not adjust any assumptions in its analysis of the structured settlements ABS for any impact from the coronavirus pandemic.
Transaction capital structure, and form and sufficiency of available credit enhancement. The initial hard credit enhancement for the Notes is 7.24%, 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 84.99% of collateral (by aggregate discounted receivables balance) was represented by exposure to annuity providers with a rating equivalent of A (low) or better, and 95.88% of annuity providers had an investment-grade rating. The analysis by DBRS Morningstar considered the impact from recent mergers and acquisitions activity in the life insurance sector on credit ratings of some of the insurance carriers in the collateral pool.
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 less than 2% 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
ESG CONSIDERATIONS
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/373262.
Notes:
All figures are in
The principal methodology is Rating
The DBRS
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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