Morningstar DBRS Confirms Credit Ratings on JGW V, LLC

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on two securities issued by the JGW V, LLC transaction as follows:

-- Class A Variable Rate Loans at AA (low) (sf)
-- Class B Variable Rate Loans at A (low) (sf)

The credit rating confirmations are based on the following analytical considerations:

-- The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008–09.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

-- The transaction’s capital structure and form and sufficiency of available credit enhancement.

-- The transaction’s performance to date, with zero defaults and losses.

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

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (October 22, 2023), https://dbrs.morningstar.com/research/422279.

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

The credit rating was not initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

These credit ratings are endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed credit ratings:

The last credit rating action on this transaction took place on February 13, 2023, when Morningstar DBRS confirmed the credit ratings on all classes for this transaction.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Arti Mattu, Vice President
Rating Committee Chair: Du Trieu, Senior Vice President, Sector Lead
Initial Rating Date: May 15, 2012

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

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

-- Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023), https://dbrs.morningstar.com/research/417415
-- Operational Risk Assessment for U.S. ABS Originators (July 20, 2023), https://dbrs.morningstar.com/research/417416
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023), https://dbrs.morningstar.com/research/415687
-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081
-- Rating U.S. Structured Finance Transactions (October 30, 2023), https://dbrs.morningstar.com/research/422592
-- Rating U.S. Structured Settlements Asset-Backed Securitizations (October 30, 2023), https://dbrs.morningstar.com/research/422570

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