DBRS Morningstar Confirms Ratings on Oasis 2020-1 LLC and Oasis 2020-2 LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the following publicly rated securities issued by two Oasis transactions:

-- Oasis 2020-1 LLC, Fixed Rate Asset Backed Notes at A (sf)
-- Oasis 2020-2 LLC, Fixed Rate Asset Backed Notes at A (low) (sf)

The confirmations are based on 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: January 2021 Update,” published on January 28, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on January 28, 2021, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

-- While the impact of the coronavirus pandemic has had an adverse effect on the U.S. borrower in general, DBRS Morningstar expects the performance of the underlying receivables in the transactions 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.

-- While the coronavirus pandemic has slowed many court systems throughout the United States, many of Oasis’ cases are settled out of court. Also, DBRS Morningstar stressed monthly payment collections by applying additional haircut stresses to account for potential delays.

-- Insurance companies most often repay the advances, and many of them 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.

-- Performance of both transactions are within expectations. Credit enhancement levels are sufficient to support the DBRS Morningstar-expected default and loss severity assumptions under various stress scenarios. Credit enhancement is in the form of overcollateralization, a liquidity reserve, and excess spread.

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:
The principal methodology is the U.S. ABS General Ratings Methodology (October 19, 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 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 [email protected].

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