DBRS Morningstar Confirms Ratings on CB WH BRW 2015-1 SPV LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the CB WH BRW 2015-1 SPV LLC Class A Loans and Class B Loans based on a review of the Sixteenth Amendment of the Warehouse Note Purchase and Security Agreement between CB WH BRW 2015-1 SPV LLC as Borrower, Barclays Bank PLC as Lender and Facility Agent, Sheffield Receivables Company LLC as Conduit Lender, and Wilmington Trust National Association as Trustee and Lender Trustee, dated as of April 13, 2021. The confirmations of ratings are based on a review of certain amendments to the terms of the transaction.

The confirmations are based upon a review by DBRS Morningstar 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: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on March 17, 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.
-- Transaction structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay the Class A Loans and Class B Loans according to their terms as detailed in the transaction documents.
-- Overconcentration limits and eligibility criteria, which will help maintain the characteristics of the revolving loan pool at a level commensurate with the AAA (sf) and AA (sf) rating levels.
-- The warehouse facility has certain performance triggers that, if violated, will result in an early amortization event.
-- The experience, underwriting, and origination capabilities of CommonBond Lending, LLC.
-- The ability of Nelnet Servicing, LLC to perform collections on the collateral pool.
-- The soundness of the legal structure and presence of legal opinions that address the true sale of the assets to the issuer, the non-consolidation of the special-purpose vehicle, and the trust’s valid first-priority security interest in the assets and consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance” methodology.

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 Rating U.S. Private Student Loan Securitizations (November 5, 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 [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277