DBRS Morningstar Assigns Provisional Ratings to NCL Business Loan Trust 2022-1.
ENPNewswire-January 13, 2022--DBRS Morningstar Assigns Provisional Ratings to NCL Business Loan Trust 2022-1
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Release date- 12012022 - DBRS, Inc. (DBRS Morningstar) assigned provisional rating to the following class of notes to be issued by NCL Business Loan Trust 2022-1 (NCL 2022-1).
$56,313,000 Class A Notes rated A (sf)
The provisional rating is based on DBRS Morningstar's review of the following analytical considerations:
The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update, published on December 9, 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 recent COVID-19 developments, particularly the new Omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.
DBRS Morningstar's stressed cumulative net loss (CNL) hurdle rate of 34.96% in the cash flow scenarios commensurate with an A (sf) rating, which gave no credit for the 24 months of seasoning for the collateral pool.
DBRS Morningstar's cash flow analysis tested the ability of the transaction to generate cash flows sufficient to service the interest and principal payments on the Class A Notes under two different default timing scenarios and with zero prepayment and 10% (of initial loan balance) prepayment in the beginning of Year 2.
The transaction's capital structure, and form and sufficiency of available credit enhancement. The subordinated Ownership Certificates, cash held in the Reserve Account, available excess spread, and other structural provisions create credit enhancement levels that are commensurate with the rating for the Class A Notes.
The collateral for the transaction is represented by a discrete, amortizing pool of loans.
The collateral pool loans were sourced, reviewed, and underwritten relying on the same personnel and consistent with practices and on the terms utilized by Newtek Business Services Corp. (Newtek) and its affiliates for conforming SBA 7(a) loans.
The...
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