DBRS Morningstar Confirms Ratings on Six Structured Settlements Transactions

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on the following securities from various Structured Settlements issuers:

-- NV Funding LLC, Series 2013-A, Class A at A (sf)
-- NV Funding LLC, Series 2014-A, Class A at A (sf)
-- NYLIMAC 2010-SS-1, LLC, Series 2010-1 Notes, Class A at A (sf)
-- Novation Receivables Funding, LLC, Series 2010-A Notes at A (sf)
-- Structured Asset Funding Securitization I LLC, Series 2015-A, Class A Notes at A (sf)
-- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1, Class A Notes at AAA (sf)
-- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1, Class B Notes at BBB (sf)
-- Stone Street Receivables Funding 2015-1, LLC, Series 2015-1, Class C Notes at BB (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: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, 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 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 structured settlements ABS for any impact from the coronavirus pandemic.

-- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

-- The transaction’s capital structure, and form and sufficiency of available credit enhancement.

-- The transaction’s performance to date, with minimal defaults and losses.

ESG CONSIDERATIONS
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/373262.

Notes:
The principal methodology is the 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 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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