Morningstar DBRS Finalizes Provisional Credit Ratings on Calvert Impact Climate Inc., Series 2024-1

DBRS, Inc. (Morningstar DBRS) finalized its provisional credit ratings on the following notes to be issued by Calvert Impact Climate Inc., Series 2024-1 (the Issuer or the Transaction):

-- $17,484,000 Class A rated AAA (sf)
-- $564,000 Class B rated AA (sf)
-- $752,000 Class C rated BBB (sf)

CREDIT RATING RATIONALE/DESCRIPTION
The credit ratings are based on Morningstar DBRS' review of the following considerations:
-- Transaction capital structure, proposed credit ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement in the form of overcollateralization, liquidity reserve, and excess spread.
-- Credit enhancement levels sufficient to support the Morningstar DBRS-expected delinquency and loss severity assumptions under various stress scenarios.
-- The value of the commercial properties that secure the underlying assessments relative to the outstanding balance of the assessments and the priority of each assessment being senior to a first-lien mortgage.
-- Review of specific properties (e.g., properties securing larger assessments and/or nonstandard property types) and review of the construction status of existing properties.
-- The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents. For this transaction, the credit ratings address the timely payment of interest and the payment of principal by the Legal Final Maturity.
-- Morningstar DBRS performed an operational review of Calvert Impact, Inc. (the Company) and considers the Company to be an acceptable Master Servicer for property assessed clean energy (PACE) transactions which typically do not include the collection of cash and investor level reporting.
-- Morningstar DBRS performed an operational review of PACE Equity LLC and considers it to be an acceptable originator and servicer of PACE assessments.
-- The legal structure and presence of legal opinions that address that the Issuer has a valid first-priority security interest and consistency with Morningstar DBRS' "Legal Criteria for U.S. Structured Finance" methodology.
-- Review of legal considerations specific to PACE.
-- Performance of servicing, primarily by local county tax collection offices.
-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns June 2024 Update," published on June 28, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

Morningstar DBRS' credit ratings on the Class A, Class B, and Class C Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the Note Interest Amount and Principal Balance.

Morningstar DBRS' credit ratings do not address nonpayment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. None of which were identified for this transaction.

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 credit 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 factor(s) 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 US Dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Rating U.S. Property Assessed Clean Energy (PACE) Securitizations (August 6, 2024), https://dbrs.morningstar.com/research/437561

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.
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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.

-- Rating U.S. Structured Finance Transactions (August 6, 2024),
https://dbrs.morningstar.com/research/437571
-- Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024),
https://dbrs.morningstar.com/research/437545
-- Legal Criteria for U.S. Structured Finance (April 15, 2024),
https://dbrs.morningstar.com/research/431205

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