DBRS Methodology Update Results in No Impact on U.S. ABS Deals

DBRS, Inc. (DBRS) has today concluded a review of asset-backed security (ABS) transactions that could have been affected by material updates to one of the methodologies used to rate the transactions (see “Rating CLOs and CDOs of Large Corporate Credit” published April 7, 2015).

Key changes to “Rating Methodology for CLOs and CDOs of Large Corporate Credit” include the following:
-- Additional recovery rates for non-investment grade rating categories;
-- Minor updates to country tiers; and
-- A new DBRS CLO Asset Model, which is publicly available on www.dbrs.com.

The assets underlying the transactions reviewed generally include amortizing U.S. domiciled obligations or receivables, all of which were analyzed utilizing proprietary recovery rates developed from the historical performance of the respective assets. As such, they would not be affected by the updates of the methodology. The transactions reviewed and deemed not be affected by the methodology update are as follows:

-- NYLIMAC 2010-SS-1, LLC, Series 2010-1
-- Novation Receivables Funding LLC, Series 2010-A
-- J.G. Wentworth XXIII LLC, Fixed Rate Asset-Backed Notes, Series 2011-1
-- SuttonPark Structured Settlements 2011-1 LLC
-- JGWPT XXIV LLC, Fixed Rate Asset-Backed Notes, Series 2011-2
-- JGWPT XXV LLC Fixed Rate Asset-Backed Notes, Series 2012-1
-- JGW V, LLC
-- JGWPT XXVI LLC Fixed Rate Asset-Backed Notes, Series 2012-2
-- JGWPT XXVII LLC Fixed Rate Asset-Backed Notes, Series 2012-3
-- SuttonPark Structured Settlements 2012-1 LLC
-- JGWPT XXVIII LLC Fixed Rate Asset-Backed Notes, Series 2013-1
-- Novation Ventures 2013-A Structured Settlement Notes
-- JGWPT XXIX LLC Fixed Rate Asset-Backed Notes, Series 2013-2
-- JGWPT XXX LLC Fixed Rate Asset-Backed Notes, Series 2013-3
-- JGWPT XXXI LLC Fixed Rate Asset-Backed Notes, Series 2014-1
-- NV Funding LLC, Series 2014-A Fixed Rate Asset Backed Notes
-- JGWPT XXXII LLC Fixed Rate Asset-Backed Notes, Series 2014-2
-- J.G. Wentworth XXXIII LLC Fixed Rate Asset-Backed Notes, Series 2014-3
-- HFG Healthco-4 LLC, Healthcare Receivables-Backed Notes, Series 2011-1
-- Nations Equipment Finance Funding I, LLC - Equipment Contract Backed Notes, Series 2013-1
-- Nations Equipment Finance Funding II, LLC

Notes:
The applicable methodologies are the DBRS Master U.S. ABS Surveillance Methodology and Rating CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies. DBRS criteria and methodologies are publicly available on its website at http://www.dbrs.com/methodologies.