DBRS Morningstar Assigns Rating to J.G. Wentworth XLVIII, LLC, Series 2020-E2 Notes

DBRS, Inc. (DBRS Morningstar) assigned a rating of A (sf) to the $212,528,061 Fixed Rate Asset Backed Notes, Series 2020-E2 (the Notes) issued by J.G. Wentworth XLVIII, LLC.

The rating is based on DBRS Morningstar’s review of the following analytical considerations:

-- Collateral for the Notes comprises guaranteed and life contingent structured settlements and annuity receivables.

-- Transaction capital structure and form and sufficiency of available credit enhancement. The initial hard credit enhancement for the Notes is 7.70% and is in the form of an unrated issuer invested amount and a cash reserve.

-- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. For this transaction, the rating addresses timely payment of interest on a monthly basis and repayment of principal by the legal final maturity date.

-- The J.G. Wentworth Company (the Company) is an established originator and servicer of structured settlements, life-contingent structured settlements, annuity contracts, and lottery receivables. Over the years, the Company has sponsored and acted as the servicer of multiple ABS transactions secured by such collateral.

-- Vervent Inc. (formerly known as Portfolio Financial Servicing Company) is a backup servicer and, if needed, could assume primary servicing.

-- The collateral pool mix and credit quality of the collateral pool at closing. At closing, approximately 81.25% of collateral (by aggregate mortality-adjusted discounted receivables balance) was represented by exposure to annuity providers with a rating equivalent of A (low) or better.

-- The transaction is supported by an established structure and is consistent with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology. Legal opinions covering, among other things, true sale and nonconsolidation were also provided.

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/ Social/ Governance factor(s) that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

The principal methodology is Rating U.S. Structured Settlements Asset-Backed Securitizations (January 27, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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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