Morningstar DBRS Confirms Credit Ratings on Vine 2020-1 and Removes Under Review With Negative Implications

DBRS, Inc. (Morningstar DBRS) confirmed credit ratings and removed Under Review with Negative Implications on the credit ratings for three securities issued by the Vine 2020-1 asset-backed securities (ABS) transaction as detailed in the summary chart below.

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

-- The transaction entered into early amortization beginning on August 9, 2023 due to noncompliance with the Annual Series 2020-1 debt service coverage ratio (DSCR) and Quarterly Series 2020-1 DSCR triggers. These triggers were cured on November 9, 2023 (Quarterly DSCR trigger) and February 9, 2024 (Annual DSCR trigger).

-- The trigger breaches were driven by steep declines in the transaction's film library collections during Q1 2023 and Q2 2023. It was determined that the collections declines were primarily driven by delayed distributions resulting from operational limitations of a counterparty.

-- Since Morningstar DBRS placed the transaction on Under Review with Negative Implications (UR-Neg) on March 12, 2024, collections have reverted back to historical levels, resulting in adequate collections to pay transaction specific liabilities. Furthermore, all transaction specific triggers remain in compliance.

-- The increased collections was primarily attributed to the implementation of enhanced systems of a counterparty to ensure collections are tracked and identified in a timely manner. Additionally, audits of film revenue receipts are ongoing that are expected to further ensure that cashflows due to the transaction are identified and transferred to the transaction's collection account.

-- Given collections have returned to historical levels and the operational limitations of a counterparty have been resolved, Morningstar DBRS has confirmed the ratings and removed the UR-Neg

-- 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.

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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:

The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (August 6, 2024) https://dbrs.morningstar.com/research/437535

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 these credit rating actions.

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

These are solicited credit ratings.

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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 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

-- Rating U.S. Structured Finance Transactions (August 6, 2024),
https://dbrs.morningstar.com/research/437571

-- Rating Film Rights Securitizations (August 6, 2024),
https://dbrs.morningstar.com/research/437537

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