DBRS Morningstar Confirms Two DRB Capital Securitization Transactions

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on the following classes of securities issued by two DRB Capital Securitization transactions:

-- DRB Capital Securitization, Series 2017-A, Class A Notes, confirmed at AAA (sf)
-- DRB Capital Securitization, Series 2017-A, Class B Notes, confirmed at A (high) (sf)
-- DRB Capital Securitization, Series 2018-A, Class A Notes, confirmed at AAA (sf)
-- DRB Capital Securitization, Series 2018-A, Class B Notes, confirmed at A (sf)

The rating actions are based on the following analytical considerations:

-- The transaction analysis considers DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: December Update,” published on December 2, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on December 2, 2020, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

-- 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. DBRS Morningstar does not expect the performance of the mixed pools structured settlements asset-backed securities (ABS) transactions to be materially affected by the coronavirus in the near term as a result of those factors. As a result, DBRS Morningstar did not adjust any analytical inputs to its analysis of the mixed pools structured settlements ABS for any impact from the coronavirus pandemic.

-- 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 zero defaults and no losses.

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.

This press release was amended on March 3, 2021, to reflect the U.S. ABS General Ratings Methodology (December 2018), as the previously released press release inadvertently mislabeled the methodology used.

Notes:
The principal methodology is the U.S. ABS General Ratings Methodology (December 2018), 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 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.

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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