DBRS Morningstar Assigns Rating to the Series 2022-C1 Notes Issued by J.G. Wentworth LII, LLC

DBRS, Inc. (DBRS Morningstar) assigned a rating of A (sf) to the $75,000,000 Fixed Rate Asset Backed Notes, Series 2022-C1 (the Notes) issued by J.G. Wentworth LII, LLC.

The rating is based on DBRS Morningstar’s review of the following analytical considerations:

-- Transaction capital structure, and form and sufficiency of available credit enhancement. The initial hard credit enhancement for the Notes is 8.60%, provided through an issuer-invested amount and a cash reserve account.

-- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. For this transaction, the rating addresses timely payment of interest on a monthly basis and repayment of principal by the legal final maturity date.

-- The collateral pool mix and credit quality of the collateral pool at closing. At closing, approximately 87.1% of collateral (by aggregate discounted receivables balance) was represented by exposure to annuity providers with a rating equivalent of A (low) or better, and approximately 93.5% of annuity providers had an investment-grade rating.

-- Collateral for the Notes comprises structured settlements receivables, annuity receivables, and lottery receivables; no life contingent collateral is included in the transaction. Lottery receivables account for approximately 4.7% of the aggregate discounted receivables balance.

-- The J.G. Wentworth Company (the Company) is an established originator and servicer of structured settlements, annuity contracts, and lottery receivables. Over the years, the Company has sponsored and acted as the servicer of multiple ABS transactions secured by such collateral.

-- Vervent Inc. is a backup servicer and, if needed, could assume primary servicing.

-- The transaction is supported by an established structure and is consistent with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology. Legal opinions covering, among other things, true sale and nonconsolidation were also provided.

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: April 2023 Update,” published on April 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

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 (May 17, 2022; https://www.dbrsmorningstar.com/research/396929).

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

The principal methodology applicable to the rating is Rating U.S. Structured Settlements Asset-Backed Securitizations (October 31, 2022; https://www.dbrsmorningstar.com/research/404541).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Rating U.S. Structured Finance Transactions (February 6, 2023) https://www.dbrsmorningstar.com/research/409449

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023) https://www.dbrsmorningstar.com/research/412303

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023) https://www.dbrsmorningstar.com/research/412302

Legal Criteria for U.S. Structured Finance (December 7, 2022) https://www.dbrsmorningstar.com/research/407008

Rating CLOs and CDOs of Large Corporate Credit (February 7, 2023) https://www.dbrsmorningstar.com/research/409498

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