DBRS Morningstar Assigns Provisional Ratings to Lendmark Funding Trust 2023-1

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the classes of notes to be issued by Lendmark Funding Trust 2023-1 (Lendmark 2023-1), as follows:

-- $199,940,000 Class A Notes at AAA (sf)
-- $42,150,000 Class B Notes at AA (sf)
-- $21,840,000 Class C Notes at A (sf)
-- $36,070,000 Class D Notes at BBB (sf)

The provisional ratings are 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 December 2022 Update, published on December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.
-- DBRS Morningstar's projected losses do not include any additional stress from the coronavirus impact; The DBRS Morningstar cumulative net loss assumption is 9.90% based on the worst-case loss pool constructed, giving consideration to the concentration limits present in the structure.
--This is the second DBRS Morningstar AAA (sf) rated transaction for the Lendmark ABS platform.
-- The transaction’s form and sufficiency of available credit enhancement.
-- Overcollateralization, note subordination, reserve account amounts, and excess spread create credit enhancement levels that are commensurate with the proposed ratings.
-- 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 ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date.
-- Lendmark’s capabilities with regard to originations, underwriting, and servicing.
-- The credit quality and performance of the Lendmark’s consumer loan portfolio.
-- DBRS Morningstar has performed an operational review of Lendmark and considers the entity an acceptable originator and servicer of unsecured personal loans with an acceptable back-up servicer.
-- The legal structure and expected legal opinions that will address the true sale of the assets, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's “Legal Criteria for U.S. Structured Finance.”

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance (ESG) factors 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 (May 17, 2022).

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

The principal methodology applicable to the rating is Rating U.S. Structured Finance Transactions at https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions (February 06, 2023)
and Rating U.S. Credit Card Asset-Backed Securities at https://www.dbrsmorningstar.com/research/401145/rating-us-credit-card-asset-backed-securities (August 8, 2022)

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.
The rated entity or its related entities did participate in the rating process for this rating action.
DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023)
https://www.dbrsmorningstar.com/research/412303/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023)
https://www.dbrsmorningstar.com/research/412302/operational-risk-assessment-for-us-abs-originators

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].