Morningstar DBRS Upgrades and Assigns Credit Ratings On Lendmark Funding Trust 2021-A

DBRS, Inc. (Morningstar DBRS) upgrades credit ratings on the Group I-A Advances and Group I-B Advances and assigned credit ratings on the Group I-C Advances and Group I-D Advances issued by Lendmark Funding Trust 2021-A (or the Issuer) as follows:

--Group I-A Advances at AAA (sf)
--Group I-B Advances at AA (sf)
--Group I-C Advances at A (sf)
--Group I-D Advances at BBB (sf)

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

-- The transaction assumptions consider Morningstar DBRS’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2023 Update, published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.
-- The transaction’s capital structure and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support Morningstar DBRS’s stressed projected finance yield, principal payment rate, and charge-off 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 timely payment of interest on a monthly basis and principal by the legal final maturity date.
-- Lendmark’s capabilities with regard to originations, underwriting, and servicing.
-- Morningstar DBRS has performed an operational review of Lendmark and considers the entity to be an acceptable originator and servicer of unsecured personal loans with an acceptable back-up servicer.
-- Lendmark’s senior management team has considerable experience and a successful track record within the consumer loan industry.
-- The credit quality of the collateral and performance of Lendmark’s consumer loan portfolio. Morningstar DBRS has used a hybrid approach in analyzing the Lendmark portfolio that incorporates elements of static pool analysis employed for assets such as consumer loans and revolving asset analysis for assets such as credit card master trusts.
-- The 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 Lendmark, that the trust has a valid first-priority security interest in the assets, and is consistent with the Morningstar DBRS “Legal Criteria for U.S. Structured Finance.”

Morningstar DBRS’s credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Monthly Interest Amount, Group I-A Advance Amount, Group I-B Advance Amount, Group I-C Advance Amount, and Group I-D Advance Amount.

Morningstar DBRS’s credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligation that is not a financial obligation is the portion of interest on any unpaid Monthly Interest Amount for each of the rated notes.

Morningstar DBRS’s long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings https://dbrs.morningstar.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. unless otherwise noted.

The principal methodologies applicable to the credit rating are Rating U.S. Structured Finance Transactions – Appendix I: U.S. consumer Loan ABS Transaction (October 30, 2023) https://dbrs.morningstar.com/research/422592/rating-us-structured-finance-transactions and Rating U.S. Credit Card Asset-Backed Securities (July 24, 2023) https://dbrs.morningstar.com/research/417562/rating-us-credit-card-asset-backed-securities.

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

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

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

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed credit ratings:

Each of the principal asset class methodologies employed in the analysis addressed one or more particular risks or aspects of the credit rating and were factored into the credit rating decision, specifically:
Rating U.S. Structured Finance Transactions – Appendix I: U.S. Consumer Loan ABS Transaction (October 30, 2023)
Rating U.S. Credit Card Asset-Backed Securities (July 24, 2023)

The last credit rating action on this transaction took place on February 9, 2023, when Morningstar DBRS confirmed its ratings on the Group I-A Advances at A (sf) and Group I-B Advances at BBB (sf).

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Christopher O’Connell, Senior Vice President, U.S. ABS
Rating Committee Chair: Tim O’Neil, Managing Direct, Head of Canadian Structured Finance
Initial Rating Date: March 4, 2021

DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023), https://dbrs.morningstar.com/research/417415.

-- Operational Risk Assessment for U.S. ABS Originators (July 20, 2023), https://dbrs.morningstar.com/research/417416.

-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081.

-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (July 4, 2023), https://dbrs.morningstar.com/research/416784/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.