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.
- Global General Rating Methodology for Asset-Backed Securities
- Global Structured Finance Counterparty Methodology
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.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.