DBRS Morningstar Assigns Provisional Rating to Libra Solutions 2022-2 LLC

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes (the Notes) to be issued by Libra Solutions 2022-2 LLC (the Issuer):

-- $70,500,000 Class A Fixed Rate Asset Backed Notes at A (low) (sf)
-- $16,700,000 Class B Fixed Rate Asset Backed Notes at BB (sf)

The ratings are based on DBRS Morningstar’s review of 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 September 2022 Update,” published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse (COVID-19) pandemic scenarios, which were first published in April 2020.
-- Transaction capital structure, proposed ratings, and sufficiency of available credit enhancement.
-- Overcollateralization, subordination, and a fully funded reserve account provide credit enhancement levels that are commensurate with the ratings on the Notes. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative loss assumptions under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest and ultimate principal of the Notes by the Legal Final Payment Date.
-- The full-turbo feature included in the transaction provides further protection for the Notes.
-- Libra Solutions Intermediate Holdco, LLC (Libra or the Company) is an experienced originator in the litigation and medical receivable business with an acceptance backup servicer.
-- Assessment of payment sources.
-- DBRS Morningstar’s expected loss assumption for the underlying collateral is 9.65%, which is based on an analysis of the Company’s static pool loss data.
-- The credit quality of the collateral.
-- The expected legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Libra, that the trust will have a valid first-priority security interest in the assets, and consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

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

The principal methodology is U.S. ABS General Ratings Methodology (March 19, 2021), 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/402907/baseline-macroeconomic-scenarios-for-rated-sovereigns-september-2022-update.

The rated entity or its related entities did 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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