DBRS Morningstar Assigns Rating to the Series 2023-E Notes Issued by JG Wentworth LVI, LLC, Series 2023-E

DBRS, Inc. (DBRS Morningstar) assigned a rating of A (sf) to the $50,000,000 Fixed Rate Asset Backed Notes, Series 2023-E (the Notes) issued by JG Wentworth LVI, LLC, Series 2023-E.

The rating is based on DBRS Morningstar’s review of the following analytical considerations:

-- Transaction capital structure and form and sufficiency of available credit enhancement. The initial hard credit enhancement for the Notes is 9.00%, provided through the Issuer Invested Amount (6.00%) and an amount on deposit in the cash reserve account (3.00%). The Applicable Reserve Percentage may be decreased to 2.00%.

-- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. For this transaction, the rating addresses timely payment of interest on a monthly basis and repayment of principal by the legal final maturity date.

-- The potential credit quality migration during the prefunding period. The collateral pool was unfunded at closing, and the transaction will include a four-month prefunding period. The Notes will benefit from excess concentration limits mitigating the risk of funded collateral being of the lower credit quality than expected. The collateral for the Notes may comprise structured settlements receivables, annuity receivables, and lottery receivables; no life-contingent collateral is included in the transaction.

-- The J.G. Wentworth Company (the Company) is an established originator and servicer of structured settlements, annuity contracts, and lottery receivables. Over the years, the Company has sponsored and acted as the servicer of multiple asset-backed security transactions secured by such collateral. DBRS Morningstar conducted operational review of JGW and determined it to be acceptable originator and servicer of structured settlements, annuity and lottery receivables.

-- Vervent Inc. is a backup servicer and, if needed, could assume primary servicing.

-- The transaction is supported by an established structure and is consistent with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology. Legal opinions covering, among other things, true sale and nonconsolidation were also provided.

--The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2023 Update,” published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

DBRS Morningstar’s 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.

DBRS Morningstar’s credit rating does not address non-payment 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 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.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar 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 DBRS Morningstar 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, GOVERNANCE 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/416784 (July 4, 2023).

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the rating is Rating U.S. Structured Settlements Asset-Backed Securitizations (October 31, 2022; https://www.dbrsmorningstar.com/research/404541).

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.

DBRS Morningstar 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://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023),
https://www.dbrsmorningstar.com/research/417415

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023),
https://www.dbrsmorningstar.com/research/417416

Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008

Rating U.S. Structured Finance Transactions (February 6, 2023),
https://www.dbrsmorningstar.com/research/409449

Rating CLOs and CDOs of Large Corporate Credit (February 7, 2023)
https://www.dbrsmorningstar.com/research/409498

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