DBRS Morningstar Assigns Provisional Rating to Oasis 2020-2 LLC

DBRS, Inc. (DBRS Morningstar) assigned a provisional rating to the following class of notes (the Notes) to be issued by Oasis 2020-2 LLC (the Issuer):

-- $68,000,000 Fixed Rate Asset Backed Notes at A (low) (sf)

The rating is based on DBRS Morningstar’s review of the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios,” published on April 16, 2020.
-- The transaction assumptions were derived in consideration of the moderate scenario described in the commentary (the moderate scenario serving as the primary anchor for the current ratings), whereby containment of the coronavirus will begin during Q2 2020, resulting in a gradual relaxation of stay-at-home measures and nonessential business closures, allowing a gradual economic recovery to begin starting in Q3 2020.
-- While the impact of coronavirus has had an adverse effect on the U.S. borrower in general, DBRS Morningstar expects the performance of the underlying receivables in the transaction to remain resilient because litigation funding receivables and medical funding receivables are underwritten based on the strength of the case to reach a successful resolution rather than the plaintiff's ability to repay. As a result, DBRS Morningstar has not made any material adjustments to its loss expectation for the transaction solely because of the coronavirus’ impact.
-- Advances are most often repaid by insurance companies, many of which carry strong ratings. While there is exposure to the insurance industry in this transaction, DBRS Morningstar does not expect the economic stress caused by the coronavirus to adversely affect the insurance carrier's ability to pay in the short to medium term.
-- Transaction capital structure, proposed ratings, and sufficiency of available credit enhancement.
-- Overcollateralization and a fully funded reserve account provide credit enhancement levels that are commensurate with the rating on the Notes. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest and ultimate principal of the Notes by the Legal Final Payment Date.
-- The full-turbo feature included in the transaction provides further protection for the Notes.
-- The Issuer provides for Notes coverage multiples slightly below DBRS Morningstar's range of multiples typically applied for this asset class. DBRS Morningstar believes the magnitude of expected loss, relatively shorter tenor of the receivables, and certain structural features of the transaction provide for the rating analysis to be appropriately conservative while utilizing multiples slightly below the customary range.
-- Oasis Intermediate Holdco, LLC (Oasis or the Company) is an experienced originator in the litigation and medical receivable business with an acceptance backup servicer.
-- Assessment of payment sources.
-- DBRS Morningstar’s expected loss assumption for the underlying collateral is 11.74%, which is based on an analysis of the Company’s static pool loss data.
-- The credit quality of the collateral.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Oasis, that the trust has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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

The principal methodology is U.S. ABS General Ratings Methodology (December 2018), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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