NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns a preliminary rating to one class of notes from Oasis 2020-2 LLC, a $68 million securitization collateralized by litigation finance receivables.
The Oasis 2020-2 LLC transaction represents the second ABS securitization collateralized by litigation finance receivables to be sponsored by Oasis Intermediate Holdco, LLC (“Oasis” or the “Company”). The previous transaction, Oasis 2020-1 LLC, closed on February 11, 2020. Oasis, through its operating subsidiaries, has a long history as an originator, underwriter and servicer of litigation finance receivables. The Company is a wholly owned subsidiary of Oasis Parent, L.P. which is majority owned by Parthenon Investors IV, L.P.
The portfolio securing the transaction has an aggregate discounted receivable balance (“ADPB”) of approximately $65.0 million as of the statistical cutoff date. The ADPB is the aggregate discounted cash flows of the collections associated with the Oasis 2020-2 LLC portfolio’s litigation funding receivables, litigation loan receivables (“Litigation Receivables”) and medical receivables (“Medical Receivables” and, collectively, “Receivables”). The discount rate used to calculate the ADPB is a percentage equal to the sum of the interest rate on the notes, the servicing fee rate of 1.50%, and an additional 0.10%. As of the statistical cutoff date, Litigation Receivables comprise approximately 41.8% of the portfolio by count and 82.0% by advance amount and have an average advance to expected settlement case value (“Expected Worth Ratio”) of approximately 9.0%. Medical Receivables comprise the remaining 58.2% of the portfolio by count and 18.0% by advance amount and have an Expected Worth Ratio of approximately 28.9%.
The notes benefit from credit enhancement in the form of overcollateralization and a cash reserve account. The transaction also features a $17 million pre-funding account that may be used to purchase additional Receivables during the three-months after closing.
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Disclosures
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
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