Morningstar DBRS Confirms Credit Ratings on Thirteen HERO Funding Transactions

DBRS, Inc. (Morningstar DBRS) confirmed the credit ratings on all classes of securities included in Thirteen
HERO Funding Transactions.

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: March 2024 Update," published on March 27, 2024 These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

-- Transaction capital structure, current ratings and available credit enhancement.

-- Adequate credit enhancement in the form of overcollateralization, liquidity reserve accounts (class A notes), and excess spread.

-- The ratings address the payment of timely interest on an semiannual basis and the payment of principal by their scheduled maturities. PACE Assessments have equal-lien priority with such property taxes or other special taxes/assessments secured by the same property.

-- Legal considerations specific to PACE including validity in all relevant jurisdictions. The obligation to pay the PACE assessments is transferable. When a property is sold, the new owner is responsible for any outstanding PACE assessments and payment penalties as part of the purchase of the property. Additionally, protections are afforded to special revenue collections under Chapter 9 of the U.S. Bankruptcy Code and certain structural features, including a county reserve account, mitigate commingling risks associated with the servicing of PACE assessments by local county tax collection offices..

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental, Social, or 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 Morningstar DBRS Master U.S. ABS Surveillance (February 22, 2024), https://dbrs.morningstar.com/research/428506.

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

The credit ratings were initiated at the request of the rated entity.

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

Morningstar DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with these rating actions.

These are solicited credit ratings.

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

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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 (March 21, 2024),
https://dbrs.morningstar.com/research/430003
-- Operational Risk Assessment for U.S. ABS Originators (March 21, 2024),
https://dbrs.morningstar.com/research/430004
-- Legal Criteria for U.S. Structured Finance (April 15, 2024),
https://dbrs.morningstar.com/research/431205
-- Rating U.S. Structured Finance Transactions (April 15, 2024),
https://dbrs.morningstar.com/research/431204
-- Rating U.S. Property Assessed Clean Energy (PACE) Securitizations (May 24, 2022)
https://dbrs.morningstar.com/research/397234

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