Press Release

DBRS Morningstar Confirms Ratings on 21 J.G. Wentworth Transactions

Other
February 13, 2023

DBRS, Inc. (DBRS Morningstar) confirmed 38 ratings on 21 J.G. Wentworth transactions.

The rating confirmations are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s 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 minimal defaults and losses.

ESG CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is DBRS Morningstar Master U.S. ABS Surveillance (February 6, 2023; https://www.dbrsmorningstar.com/research/409444).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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

DBRS, Inc.
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The rating methodologies used in the analysis of this transaction can be found at:
https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (February 06, 2023)
https://www.dbrsmorningstar.com/research/409447/operational-risk-assessment-for-us-abs-servicers
Operational Risk Assessment for U.S. ABS Originators (November 08, 2022)
https://www.dbrsmorningstar.com/research/405082/operational-risk-assessment-for-us-abs-originators
Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022)
https://www.dbrsmorningstar.com/research/402153/interest-rate-stresses-for-us-structured-finance-transactions
Legal Criteria for U.S. Structured Finance (December 07, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance
Rating U.S. Structured Finance Transactions (February 06, 2023)
https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions
Rating U.S. Structured Settlements Asset-Backed Securitizations (October 31, 2022)
https://www.dbrsmorningstar.com/research/404541/rating-us-structured-settlements-asset-backed-securitizations

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.