DBRS Morningstar Confirms Ratings on Six Structured Settlements ABS Transactions

DBRS, Inc. (DBRS Morningstar) confirmed eight ratings on securities issued by six structured settlements asset-backed security (ABS) transactions. The reviewed transactions include:

-- Structured Asset Funding Securitization I LLC, Series 2015-A
-- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1
-- Novation Receivables Funding, LLC, Series 2010-A
-- NV Funding LLC, Series 2013-A
-- NV Funding LLC, Series 2014-A
-- NYLIMAC 2010-SS-1, LLC, Series 2010-1

The confirmations by DBRS Morningstar are based on the following analytical considerations:

(1) DBRS Morningstar's assessment as to how collateral performance could deteriorate due to macroeconomic stresses brought about by the Coronavirus Disease (COVID-19) pandemic.
(A) In the moderate scenario described in its commentary "Global Macroeconomic Scenarios: Implications for Credit Ratings" published on April 16, 2020, DBRS Morningstar currently expects that the coronavirus will begin to be contained during Q2 2020, resulting in a gradual relaxation of stay-at-home measures and nonessential business closures, allowing a gradual economic recovery to begin starting in Q3 2020. Additional information regarding DBRS Morningstar's set of macroeconomic scenarios for select economies related to the coronavirus pandemic can be found in its publication "Global Macroeconomic Scenarios: Implications for Credit Ratings.”
(B) In DBRS Morningstar’s view, compared with other asset classes, structured settlements ABS is better protected from recessionary stresses because of the generally high credit quality of the annuity providers. In the short term, the credit quality of insurance carriers is not expected to be materially affected due to their improved capitalization positions and risk management frameworks enhanced since the global financial crisis of 2008–09.
(C) The reported collateral performance in all transactions has been in line with original expectations, and the credit rating mix of the annuity providers has remained steady, with a high proportion of insurance carriers with investment-grade credit ratings.

(2) A modest buildup in credit enhancement for the reviewed transactions, as they continue to season.

(3) The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is the DBRS Master U.S. ABS Surveillance Methodology (July 31, 2019), which can be found on dbrs.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The rated entity or its related entities did 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.

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

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