DBRS Morningstar Publishes Four Final Structured Finance Methodologies Including Rating U.S. Structured Settlements Asset-Backed Securitizations and Confirms Ratings on Two Transactions

DBRS, Inc. (DBRS Morningstar) finalized its “Rating U.S. Structured Settlements Asset-Backed Securitizations” methodology (the Structured Settlements Methodology).

The Structured Settlements Methodology presents the criteria for which the U.S. structured settlements asset-backed securitizations’ ratings are assigned.

The Structured Settlements Methodology supersedes the prior version published on October 29, 2020, and is effective as of January 27, 2022.

In addition, DBRS Morningstar finalized the following methodologies:

(1) “DBRS Morningstar Master U.S. ABS Surveillance,”
(2) “Operational Risk Assessment for U.S. ABS Servicers,” and
(3) “Operational Risk Assessment for U.S. ABS Originators.”

The three methodologies listed above supersede their respective prior versions published on May 26, 2021; April 28, 2021; and April 28, 2021; respectively, and are effective as of January 27, 2022.

There were no comments received during the request for comment period.

The annual review of the following outstanding ratings coincided with the finalization of the Request for Comments. As a result of the application of the relevant methodologies during its annual review surveillance process, DBRS Morningstar confirmed the ratings on the classes of debt indicated below:

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

Following the update of the above-referenced DBRS Morningstar credit ratings in the U.S. ABS mixed-pool structured settlements asset class, DBRS Morningstar will no longer use the “U.S. ABS General Ratings Methodology” to assign or monitor any credit ratings in this asset class.

All comments received during the request for comment period would have been published, if any were received, to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

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 for the rating confirmations is DBRS Morningstar Master U.S. ABS Surveillance (January 27, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

DBRS Morningstar methodologies are publicly available on its website www.dbrsmorningstar.com under Methodologies & Criteria.

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277