DBRS Morningstar Confirms 17 Structured Settlements ABS Transactions

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on 34 securities issued by 17 U.S. structured settlements asset-backed securities (ABS) transactions. The reviewed transactions include:

-- J.G. Wentworth XXIII LLC Fixed Rate Asset-Backed Notes, Series 2011-1
-- JGWPT XXIV LLC Fixed Rate Asset-Backed Notes, Series 2011-2
-- JGWPT XXV LLC Fixed Rate Asset-Backed Notes, Series 2012-1
-- JGWPT XXVI LLC Fixed Rate Asset-Backed Notes, Series 2012-2
-- JGWPT XXVII LLC Fixed Rate Asset-Backed Notes, Series 2012-3
-- JGWPT XXVIII LLC Fixed Rate Asset-Backed Notes, Series 2013-1
-- JGWPT XXIX LLC Fixed Rate Asset-Backed Notes, Series 2013-2
-- JGWPT XXX LLC Fixed Rate Asset-Backed Notes, Series 2013-3
-- JGWPT XXXI LLC Fixed Rate Asset-Backed Notes, Series 2014-1
-- JGWPT XXXII LLC Fixed Rate Asset-Backed Notes, Series 2014-2
-- J.G. Wentworth XXXIII LLC Fixed Rate Asset-Backed Notes, Series 2014-3
-- J.G. Wentworth XXXIV LLC Fixed Rate Asset-Backed Notes, Series 2015-1
-- J.G. Wentworth XXXV LLC Fixed Rate Asset-Backed Notes, Series 2015-2
-- J.G. Wentworth XXXVI LLC Fixed Rate Asset Backed Notes, Series 2015-3
-- J.G. Wentworth XXXVII LLC Fixed Rate Asset-Backed Notes, Series 2016-1
-- J.G. Wentworth XXXVIII LLC Fixed Rate Asset-Backed Notes, Series 2017-1
-- J.G. Wentworth XXXIX LLC Fixed Rate Asset-Backed Notes, Series 2017-2

The rating confirmations are based on the following analytical considerations:

-- The transaction’s analytical inputs 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: June Update,” published on June 1, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on June 1, 2020, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). The moderate scenario assumes some success in containment of the coronavirus within Q2 2020 and a gradual relaxation of restrictions, enabling most economies to begin a gradual economic recovery in Q3 2020.

-- 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. DBRS Morningstar does not expect the performance of the structured settlements asset-backed securities (ABS) transactions to be materially affected in the near term as a result of those factors. Furthermore, given the relatively “light-touch” servicing requirements, structured settlements ABS transactions have not experienced any servicing challenges related to the coronavirus pandemic. Therefore, at this point, DBRS Morningstar does not adjust any analytical inputs to its analysis of the structured settlements ABS for any impact from the coronavirus pandemic.

-- A build up in credit enhancement for the reviewed transactions, as they continue to season.

-- The credit quality of the collateral pool and historical performance to date. All transactions have experienced very low to no cumulative defaults and net losses, and no performance triggers are close to being breached.

-- The ratings reflect the payment of interest and repayment of principal on senior and subordinated classes of notes, in each case, in accordance with the terms of each transaction.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

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 the DBRS Morningstar Master U.S. ABS Surveillance Methodology (May 27, 2020), 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.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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