DBRS Morningstar Confirms Ratings on LFS 2020A, LLC and LFS 2021A, LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the following securities issued by two LFS transactions:

-- LFS 2020A, LLC, Fixed Rate Asset Backed Notes at A (sf)
-- LFS 2021A, LLC, Fixed Rate Asset Backed Notes, Class A at A (sf)

The rating confirmations are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update,” published on December 9, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect DBRS Morningstar’s view that recent coronavirus developments, particularly the new omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in the coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.

-- Credit enhancement level, in the form of overcollateralization and a reserve account, is sufficient to support DBRS Morningstar-projected expected cumulative loss assumptions (i.e., percentage of cases lost) under various stress scenarios.

-- Overall performance is in line with expectations and is within covenant limits.

--The Company's experience as an originator in the litigation receivable business.

-- Insurance carrier’s ability to pay in the short to medium term to remain unaffected due to the economic stress.

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 U.S. ABS General Ratings Methodology (December 2018), 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.

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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