DBRS Morningstar Confirms Ratings of JGW V, LLC

DBRS, Inc. (DBRS Morningstar) confirmed at AA (low) (sf) and A (low) (sf), respectively, the ratings on the Class A Loan Notes and Class B Loan Notes issued by the JGW V, LLC, which may be secured by eligible personal annuities, eligible settlements, and eligible lottery receivables.

This rating action is based on the following analytical considerations:

-- The transaction’s analytical inputs consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: June Update,” published on June 1, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on June 1, 2020, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). The moderate scenario assumes some success in containment of the coronavirus within Q2 2020 and a gradual relaxation of restrictions, enabling most economies to begin a gradual economic recovery in Q3 2020.

-- DBRS Morningstar does not expect the performance of the structured settlements asset-backed securities (ABS) transactions to be materially affected in the near term because of the generally high credit quality of annuity providers and their improved capitalization positions and risk management frameworks enhanced since the global financial crisis of 2008–09. Furthermore, given the relatively “light-touch” servicing requirements, structured settlements ABS transactions have not experienced any servicing challenges related to coronavirus. Therefore, at this point, DBRS Morningstar does not adjust any analytical inputs to its analysis of the structured settlements ABS for any impact from coronavirus.

-- Required credit enhancement and performance triggers in the transaction.

-- The eligibility criteria and the limitations imposed by the overconcentration amount ensure high credit quality of collateral in the transaction.
-- 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.

DBRS Morningstar notes that the above press release was amended on July 6, 2020, to include a link to the principal methodology and to remove certain disclosures not applicable to this transaction.

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

The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.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.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar did have 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.

This rating is endorsed by DBRS Ratings Limited (DBRS Morningstar) for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

The last rating action on this transaction took place on June 20, 2019, when the ratings were confirmed at AA (low) (sf) and A (low) (sf).

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Sergey Moiseenko, Senior Vice President – Global Structured Finance
Rating Committee Chair: Chris D’Onofrio, Managing Director, U.S. ABS – Global Structured Finance
Initial Rating Date: May 15, 2012

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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-- DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020)
https://www.dbrsmorningstar.com/research/361480/dbrs-morningstar-master-us-abs-surveillance