DBRS Morningstar Assigns Provisional Ratings to FREED ABS Trust 2021-3FP.
ENPNewswire-September 16, 2021--DBRS Morningstar Assigns Provisional Ratings to FREED ABS Trust 2021-3FP
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Release date- 15092021 - DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes (the Notes) to be issued by FREED ABS Trust 2021-3FP (FREED 2021-3FP).
$113,890,000 Class A Notes at AA (high) (sf)
$52,880,000 Class B Notes at AA (sf)
$26,440,000 Class C Notes at A (low) (sf)
The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations:
(1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns, published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although COVID-19 remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to COVID-19 may nonetheless bring other risks to the forefront in coming months and years.
(2) The assumptions consider the baseline macroeconomic scenario outlined in the commentary.
DBRS Morningstar's projected losses include the assessment of the impact of the coronavirus. The DBRS Morningstar CNL assumption is 12.92% based on the Cutoff Date pool composition.
DBRS Morningstar incorporated in its analysis a hardship deferment stress as a result of an increase in utilization related to the impact of the coronavirus on borrowers. DBRS Morningstar stressed hardship deferments to test liquidity risk early in the life of the transaction's cash flows.
(3) The transaction's form and sufficiency of available credit enhancement.
Subordination, overcollateralization, amounts held in the Reserve Fund, and excess spread create credit enhancement levels that are commensurate with the proposed ratings.
Transaction cash flows are sufficient to repay investors under all AA (high) (sf), AA (sf) and A (low) (sf) stress scenarios in accordance...
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