DBRS Morningstar Finalizes Provisional Rating on Libra Solutions 2022-1 LLC

DBRS, Inc. (DBRS Morningstar) finalized its provisional rating on the following class of notes (the Notes) issued by Libra Solutions 2022-1 LLC (the Issuer):

-- $105,307,000 Fixed Rate Asset Backed Notes at A (low) (sf).

The rating is based on DBRS Morningstar’s review of 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 March 2022 Update,” published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. Despite several new or increasing risks, including the Russian invasion of Ukraine, rising inflation, and new COVID-19 variants, the overall outlook for growth and employment in the United States remains relatively positive.
-- Transaction capital structure, proposed rating, and sufficiency of available credit enhancement.
-- Overcollateralization and a fully funded reserve account provide credit enhancement levels that are commensurate with the rating on the Notes. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest and ultimate principal of the Notes by the Legal Final Payment Date.
-- The full-turbo feature included in the transaction provides further protection for the Notes.
-- Libra Solutions Intermediate Holdco, LLC (Libra or the Company) is an experienced originator in the litigation and medical receivable business with an acceptance backup servicer.
-- Assessment of payment sources.
-- DBRS Morningstar’s expected loss assumption for the underlying collateral is 13.20%, which is based on an analysis of the Company’s static pool loss data.
-- The credit quality of the collateral.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Libra, that the trust has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

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:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is U.S. ABS General Ratings Methodology (March 19, 2021), 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/394150/baseline-macroeconomic-scenarios-for-rated-sovereigns-march-2022-update.

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].

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