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Rating Action:

Moody's Upgrades Multiple Classes of Structured Settlement Securitizations

20 Dec 2018

Approximately $445 million of asset-backed securities affected

New York, December 20, 2018 -- Moody's Investors Service ("Moody's") has upgraded twenty-eight tranches from twenty-two structured settlement securitizations. The securitizations are collateralized by pools of structured settlement and annuity payments.

The complete rating actions are as follows:

Issuer: 321 Henderson Receivables I LLC, Series 2004-A

Cl. A-2, Upgraded to Aaa (sf); previously on Jul 23, 2014 Upgraded to Aa1 (sf)

Issuer: 321 Henderson Receivables I LLC, Series 2005-1

Cl. A-1, Upgraded to Aaa (sf); previously on Jul 23, 2014 Upgraded to Aa1 (sf)

Cl. A-2, Upgraded to Aa1 (sf); previously on Oct 29, 2015 Upgraded to Aa2 (sf)

Issuer: 321 Henderson Receivables II LLC, Series 2006-1

Cl. A-2, Upgraded to Aa1 (sf); previously on Jul 23, 2014 Upgraded to A1 (sf)

Issuer: 321 Henderson Receivables II LLC, Series 2006-2

Cl. A-1, Upgraded to Aa1 (sf); previously on Jul 23, 2014 Upgraded to Aa2 (sf)

Cl. A-2, Upgraded to A1 (sf); previously on Jul 23, 2014 Confirmed at A2 (sf)

Issuer: 321 Henderson Receivables II LLC, Series 2006-3

Cl. A-1, Upgraded to Aaa (sf); previously on Jul 23, 2014 Upgraded to Aa2 (sf)

Cl. A-2, Upgraded to Aa2 (sf); previously on Jul 23, 2014 Upgraded to A1 (sf)

Issuer: 321 Henderson Receivables II LLC, Series 2006-4

Cl. A-1, Upgraded to Aaa (sf); previously on Jul 23, 2014 Upgraded to Aa1 (sf)

Cl. A-2, Upgraded to Aa3 (sf); previously on Jul 23, 2014 Confirmed at A2 (sf)

Issuer: 321 Henderson Receivables II LLC, Series 2007-1

Cl. A-1, Upgraded to Aa3 (sf); previously on Jul 23, 2014 Confirmed at A2 (sf)

Cl. A-2, Upgraded to A2 (sf); previously on Jul 23, 2014 Confirmed at Baa1 (sf)

Issuer: 321 Henderson Receivables II LLC, Series 2007-3

Cl. A, Upgraded to Aaa (sf); previously on Oct 29, 2015 Upgraded to Aa2 (sf)

Issuer: 321 Henderson Receivables V LLC, Series 2008-3

Class A-2 Fixed Rate Asset Backed Notes, Upgraded to Aaa (sf); previously on Jul 13, 2017 Upgraded to Aa1 (sf)

Class B Fixed Rate Asset Backed Notes, Upgraded to Baa1 (sf); previously on Sep 10, 2015 Assigned Baa3 (sf)

Issuer: 321 Henderson Receivables VI LLC, Series 2010-1

Class B Notes, Upgraded to Aaa (sf); previously on Jul 13, 2017 Upgraded to Aa1 (sf)

Issuer: J.G. Wentworth XXI LLC, Series 2010-2

Class B Notes, Upgraded to Aaa (sf); previously on Jul 13, 2017 Upgraded to Aa1 (sf)

Issuer: J.G. Wentworth XXII, LLC, Series 2010-3

Cl. B, Upgraded to Aaa (sf); previously on Jul 13, 2017 Upgraded to Aa1 (sf)

Issuer: J.G. Wentworth XXIII, LLC, Series 2011-1

Cl. B, Upgraded to A2 (sf); previously on Dec 3, 2015 Upgraded to A3 (sf)

Issuer: JGWPT XXIV LLC, Series 2011-2

Class B, Upgraded to A2 (sf); previously on Dec 3, 2015 Upgraded to A3 (sf)

Issuer: JGWPT XXV LLC, Series 2012-1

Class B, Upgraded to A2 (sf); previously on Dec 3, 2015 Upgraded to A3 (sf)

Issuer: JGWPT XXVI LLC, Series 2012-2

Class B, Upgraded to A2 (sf); previously on Jul 13, 2017 Upgraded to A3 (sf)

Issuer: JGWPT XXVII LLC, Series 2012-3

Class B, Upgraded to A2 (sf); previously on Jul 13, 2017 Upgraded to A3 (sf)

Issuer: JGWPT XXVIII LLC, Series 2013-1

Class B, Upgraded to A2 (sf); previously on Jul 13, 2017 Upgraded to A3 (sf)

Issuer: JGWPT XXIX LLC, Series 2013-2

Class B, Upgraded to A3 (sf); previously on Jul 13, 2017 Upgraded to Baa1 (sf)

Issuer: JGWPT XXX LLC, Series 2013-3

Class B, Upgraded to A3 (sf); previously on Oct 18, 2013 Definitive Rating Assigned Baa2 (sf)

Issuer: JGWPT XXXI LLC, Series 2014-1

Class B Fixed Rate Asset Backed Notes, Upgraded to A3 (sf); previously on Feb 18, 2014 Definitive Rating Assigned Baa2 (sf)

Issuer: JGWPT XXXII LLC, Series 2014-2

Class B Fixed Rate Asset Backed Notes, Upgraded to Baa1 (sf); previously on Jul 23, 2014 Definitive Rating Assigned Baa2 (sf)

RATINGS RATIONALE

Today's rating actions on the transactions were prompted by increases in credit enhancement for the notes. Since Moody's last took rating actions on these notes, the credit enhancement for each of the Class A notes of the 2004-A through 2007-1 and 2007-3 transactions has increased by over 4.5 percentage points as of the December 2018 distribution date. Additionally, as of the December 2018 distribution date, credit enhancement for the Class B notes of the 2010-1, 2010-2, and 2010-3 transactions has also increased by over 4.5 percentage points.

The credit enhancement for the Class B notes of the 2008-3 and 2011-1 through 2014-2 has increased by roughly 1 to 3 percentage points as of December 2018 distribution date, when compared to the credit enhancement when Moody's last took action. In addition, rating actions for 2013-3, 2014-1, and 2014-2 transactions were also prompted by the Class B notes having begun to receive principal payments.

Moody's notes that Series 2004-A through 2007-3 are wrapped by MBIA Insurance Corp. (Caa1, developing outlook) and the current rating reflects Moody's policy of rating to the higher of the financial guarantor rating and the underlying rating.

The principal methodology used in these ratings was "Moody's Approach to Rating Transactions Backed by Structured Settlements" published in November 2018. Please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the ratings if the credit enhancement on the notes improves and the obligor pool quality does not deteriorate, or if the obligor pool quality were to improve significantly

Down

Moody's could downgrade the ratings if the credit risk profile of the obligors were to deteriorate significantly, as reflected by a downgrade of one of more of the obligors' credit ratings, or if the amount of defaults were to increase significantly, causing credit enhancement for the transaction to drop.

REGULATORY DISCLOSURES

For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions of the disclosure form.

The analysis relies on a Monte Carlo simulation that generates a large number of collateral loss or cash flow scenarios, which on average meet key metrics Moody's determines based on its assessment of the collateral characteristics. Moody's then evaluates each simulated scenario using model that replicates the relevant structural features and payment allocation rules of the transaction, to derive losses or payments for each rated instrument. The average loss a rated instrument incurs in all of the simulated collateral loss or cash flow scenarios, which Moody's weights based on its assumptions about the likelihood of events in such scenarios actually occurring, results in the expected loss of the rated instrument.

In rating this transaction, Moody's used a cash flow model to model cash flow stress scenarios to determine the extent to which investors would receive timely payments of interest and principal in the stress scenarios, given the transaction structure and collateral composition.

Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Benjamin Shih
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Amelia (Amy) Tobey
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

No Related Data.
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