DBRS Morningstar Finalizes Provisional Ratings on Calvert Impact Climate Inc., Series 2023-1

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following notes to be issued by Calvert Impact Climate Inc., Series 2023-1 (the Issuer or the Transaction):

-- $27,579,000 Class A rated AAA (sf)
-- $909,000 Class B rated AA (sf)
-- $1,212,000 Class C rated BBB (sf)

The credit ratings are based on DBRS Morningstar’s review of the following considerations:

-- Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.
-- Credit enhancement in the form of overcollateralization, liquidity reserve, and excess spread.
-- Credit enhancement levels sufficient to support the DBRS Morningstar-expected delinquency and loss severity assumptions under various stress scenarios.
-- The value of the commercial properties that secure the underlying assessments relative to the outstanding balance of the assessments and the priority of each assessment being senior to a first-lien mortgage.
-- Review of specific properties (e.g., properties securing larger assessments and/or nonstandard property types) and review of the construction status of existing properties.
-- The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents. For this transaction, the rating addresses the timely payment of interest and the payment of principal by the Legal Final Maturity.
-- DBRS Morningstar performed an operational review of Calvert Impact, Inc. (the Company) and considers the Company an acceptable Master Servicer for property assessed clean energy (PACE) transactions, which typically do not include the collection of cash and investor level reporting.
-- DBRS Morningstar performed an operational review of PACE Equity LLC and considers it an acceptable originator and servicer of PACE assessments.
-- The legal structure and presence of legal opinions that address that the Issuer has a valid first-priority security interest and consistency with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance” methodology.
-- Review of legal considerations specific to PACE.
-- Performance of servicing, primarily by local county tax collection offices.
-- 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 2023 Update, published on September 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse 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 at https://www.dbrsmorningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings
(July 4, 2023).

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

The principal methodology applicable to the ratings is Rating U.S. Property Assessed Clean Energy (PACE) Securitizations (May 24, 2022; https://www.dbrsmorningstar.com/research/397234).

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.

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 (September 25, 2023)
https://www.dbrsmorningstar.com/research/421053/rating-us-structured-finance-transactions

Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023)
https://www.dbrsmorningstar.com/research/417415/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (July 20, 2023)
https://www.dbrsmorningstar.com/research/417416/operational-risk-assessment-for-us-abs-originators

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

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