Morningstar DBRS Confirms Credit Ratings on 10 J.G. Wentworth Transactions

DBRS, Inc. (Morningstar DBRS) confirmed 11 credit ratings on 10 J.G. Wentworth 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 Disease (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 transactions' capital structure and form and sufficiency of available credit enhancement.

-- The transactions' performance to date, with zero to minimal defaults and losses.

Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the Notes are the related Interest Distribution Amount and the Aggregate Principal Balance of the Notes payable to the Noteholders.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligations that are not a financial obligation are: (i) the interest on unpaid Interest Distribution Amount for the Notes, any compensation due to the Series 2023-E Noteholders related to the failure of the Issuer to maintain the rating on the Notes by an approved rating agency, and any indemnities due to the Series 2023-E Noteholders; (ii) the interest on unpaid Class A Interest Distribution Amount for the Class A Notes, any compensation due to the Series 2023-D Noteholders related to the failure of the Issuer to maintain the rating on the Notes by an approved rating agency, and any indemnities due to the Series 2023-D Noteholders; and (iii) the Interest on Interest Distribution Amount not being paid in the prior periods and reimbursement to the Noteholders of the Series 2023-A1 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, 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 (May 8, 2024), https://dbrs.morningstar.com/research/432485.

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 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.

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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. 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 info-DBRS@morningstar.com.