DBRS Morningstar Confirms Rating on 2018-A LTCG Securitization Issuer LLC
OtherDBRS, Inc. (DBRS Morningstar) confirmed the rating on the Insurance Commission Receivables Backed Notes, Series 2018-A issued by the 2018-A LTCG Securitization Issuer LLC asset-backed security transaction at A (sf). The performance trend of the security is such that credit enhancement is sufficient to cover DBRS Morningstar’s loss expectations at its current rating level.
The rating action is based on DBRS Morningstar’s review of 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.
-- DBRS Morningstar does not expect the performance of the insurance commission asset-backed securities (ABS) transactions to be materially affected because of the generally high credit quality of the insurance carriers responsible for payment of policy commissions and their improved capitalization positions and risk management frameworks enhanced since the global financial crisis of 2008–09. Furthermore, given the relatively light-touch servicing requirements, insurance commission ABS transactions have not experienced any servicing challenges related to coronavirus. Therefore, at this point, DBRS Morningstar does not adjust any analytical inputs to its analysis of insurance commission ABS for any impact of the coronavirus.
-- Transaction capital structure, current rating, and form and sufficiency of available credit enhancement.
-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.
-- The credit quality of the collateral pool and stable performance.
-- Accuracy of original cash flows projected by the originator relative to actual receipts.
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:
The principal methodology is the DBRS Morningstar Master U.S. ABS Surveillance (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 not participate in the rating process. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities.
Please see the related appendix for additional information regarding 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 [email protected].
DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277
ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.