DBRS Morningstar Confirms Ratings on Oasis 2020-2 LLC and Oasis 2021-1 LLC

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

-- Oasis 2020-2 LLC, Fixed Rate Asset Backed Notes at A (low) (sf)
-- Oasis 2021-1 LLC, Fixed Rate Asset Backed Notes at A (low) (sf)

The rating confirmations are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update,” published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect DBRS Morningstar’s view that recent coronavirus developments, particularly the new omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in the coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.

-- 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 and a liquidity reserve.

-- Overall, the collateral performance of both transactions has been in line with expectations.

-- The transaction parties’ capabilities regarding origination and servicing.

-- While the coronavirus pandemic has had an adverse effect on U.S. borrowers in general, DBRS Morningstar expects the performance of the underlying receivables in these transactions to remain resilient because litigation funding receivables and medical funding receivables are underwritten on the strength of the case to reach a successful resolution rather than on the plaintiff's ability to repay.

-- While the coronavirus pandemic has slowed court systems throughout the U.S., many of Oasis’ cases are settled out of court. DBRS Morningstar stressed monthly payment collections by applying an additional 5% haircut in the A (sf) rating category stress scenarios at closing.

-- Insurance companies most often repay the advances, and many of these companies carry strong ratings. While there is some exposure to the insurance industry in these transactions, DBRS Morningstar does not expect the economic stress caused by the pandemic to adversely affect an insurance carrier's ability to pay in the short to medium term.

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 U.S. ABS General Ratings Methodology (December 12, 2018), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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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