DBRS Morningstar Confirms and Upgrades Ratings on Four LFS Transactions in Relation to Methodology Updates

DBRS, Inc. (DBRS Morningstar) finalized its Appendix XI: U.S. Consumer Litigation Finance of the “Rating U.S. Structured Finance Transactions” methodology on November 8, 2022, after the closure of a request for comment period. DBRS Morningstar also finalized its new exhibits in the “Operational Risk Assessment for U.S. ABS Originators,” and “Operational Risk Assessment for U.S. ABS Servicers” methodologies for the U.S. Consumer Litigation Finance asset class and a new Appendix XXVI: U.S. Consumer Litigation Finance of the “DBRS Morningstar Master U.S. ABS Surveillance” methodology (collectively, the Methodology Appendices).

As a result of the application of the finalized Methodology Appendices, DBRS Morningstar took the following rating actions on the classes of debt as follows:

LFS 2020A, LLC:
-- Fixed Rate Asset Backed Notes, confirmed at A (sf)

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

LFS 2021B, LLC:
-- Class A Notes, confirmed at A (sf)

LFS 2022A, LLC:
-- Fixed Rate Asset Backed Notes, Class A, confirmed at A (sf)
-- Fixed Rate Asset Backed Notes, Class B, upgraded to BBB (sf) from BB (sf)

ENVIRONMENTAL, SOCIAL, GOVERNANCE 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:
The principal methodologies are DBRS Morningstar Master U.S. ABS Surveillance (November 8, 2022) and Rating U.S. Structured Finance Transactions (November 8, 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.

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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