Morningstar DBRS Assigned Credit Ratings to Prodigy Finance CM2021-2 DAC

DBRS, Inc. (Morningstar DBRS) assigned credit ratings to the Senior Loans issued by Prodigy Finance CM2021-2 Designated Activity Company:

-- $197,530,000 Senior Loans at AA (sf)

CREDIT RATING RATIONALE/DESCRIPTION

The credit rating on the Senior Loans is based upon a review by Morningstar DBRS of the following considerations:
-- The transaction's capital structure and the form and sufficiency of available credit enhancement.

-- Overcollateralization, subordination, the reserve fund, and excess spread create credit enhancement levels that are commensurate with the credit rating of AA (sf).

-- Transaction cash flows are sufficient to repay investors under all credit rating stress scenarios in accordance with the terms of the Prodigy Finance CM2021-2 transaction documents.

-- The quality and credit characteristics of the loan borrowers.

-- Structural features of the transaction that require the Senior Loans to enter into full turbo principal amortization if performance deteriorates or if other conditions are met.

-- Prodigy Finance Limited's experience, origination, and underwriting capabilities.

-- The ability of the Servicer to perform collections on the collateral pool and other required activities.

-- The legal structure and expected legal opinions are consistent with Morningstar DBRS' Legal and Derivative Criteria for European Structured Finance Transactions.

-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update published on March 26, 2025. 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 Senior Loans addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for the rated Senior Loans are the related Senior Interest Amount and Senior Outstanding Balance.

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. The associated contractual payment obligation that is not a financial obligation is the related unpaid Compound Rate Interest Payment for the Senior Loans.

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.

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 (May 16, 2025) https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in US dollars unless otherwise noted.

The principal methodologies applicable to the credit rating are Rating European Consumer and Commercial Asset-Backed Securitisations (September 18, 2024) https://dbrs.morningstar.com/research/439583.

Rating U.S. Private Student Loan Securitizations (November 11, 2024) https://dbrs.morningstar.com/research/442835

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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.

Operational Risk Assessment for European Structured Finance Originators and Servicers (September 18, 2024).
https://dbrs.morningstar.com/research/439571

Legal and Derivative Criteria for European Structured Finance Transactions (November 19, 2024).
https://dbrs.morningstar.com/research/443196

Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025).
https://dbrs.morningstar.com/research/450750

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