Morningstar DBRS Assigns Credit Rating to the Series 2020-F1 Notes Issued by J.G. Wentworth XLIX, LLC

DBRS, Inc. (Morningstar DBRS) assigned a credit rating of A (sf) to the $45,389,718 Fixed Rate Asset Backed Notes, Series 2020-F1 (the Notes) issued by J.G. Wentworth XLIX, LLC.

CREDIT RATING RATIONALE/DESCRIPTION
-- Transaction capital structure and form and sufficiency of available credit enhancement. The initial hard credit enhancement for the Notes is 7.72%, provided through an issuer invested amount and a cash reserve account.
-- 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 credit rating addresses timely payment of interest on a monthly basis and repayment of principal by the legal final maturity date.
-- The collateral pool mix and credit quality of the collateral pool at closing. At closing, approximately 86.6% of collateral (by aggregate discounted receivables balance) was represented by exposure to annuity providers with a credit rating equivalent of “A (low)” or better.
-- Collateral for the Notes comprises guaranteed structured settlements receivables and annuity receivables. No lottery receivables or life contingent structured settlement receivables are included in the transaction.
-- The J.G. Wentworth Company (the Company) is an established originator and servicer of structured settlements, annuity contracts, and lottery receivables. Over the years, the Company has sponsored and acted as the servicer of multiple asset-backed securities (ABS) transactions secured by such collateral.
-- Vervent Inc. is a backup servicer and, if needed, could assume primary servicing.
-- The transaction is supported by an established structure and is consistent with Morningstar DBRS’ “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 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.

Morningstar DBRS’ credit rating on the Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Interest Distribution Amount and the Aggregate Principal Balance of the Notes.

Morningstar DBRS’ credit rating does not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the Interest on Interest Distribution Amount not being paid in the prior periods and reimbursement to the Noteholders of the Series 2020-F1 for expenses related to failure to maintain the original public rating.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk
that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 (January 23, 2024), https://dbrs.morningstar.com/research/427030/)

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

The principal methodology applicable to the credit rating is Rating U.S. Structured Settlements Asset-Backed Securitizations (October 30, 2023), https://www.dbrsmorningstar.com/research/422570.

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

The credit rating was 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.

DBRS, Inc.
140 Broadway, 43rd Floor
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://www.dbrsmorningstar.com/research/417415

-- Operational Risk Assessment for U.S. ABS Originators (July 20, 2023),
https://www.dbrsmorningstar.com/research/417416

-- 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://www.dbrsmorningstar.com/research/422592

Global Methodology for Rating CLOs and Corporate CDOs and the CLO Insight Model v1.0.1.0 (October 22, 2023), https://dbrs.morningstar.com/research/422269.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.