DBRS Morningstar Confirms Ratings on Three Structured Settlement ABS Transactions

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on five securities issued by three U.S. structured settlement asset-backed securities transactions as follows:

SuttonPark Structured Settlements 2011-1 LLC
-- Class A confirmed at AAA (sf)
-- Class B confirmed at BBB (sf)

SuttonPark Structured Settlements 2012-1 LLC
-- Class A confirmed at A (sf)

SuttonPark Structured Settlements 2017-1 LLC
-- Class A confirmed at AAA (sf)
-- Class B confirmed at BBB (high) (sf)

The rating actions are based on 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: September 2022 Update,” published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

-- The generally high credit quality of annuity providers and their improved capitalization positions and risk-management frameworks, which have been enhanced since the global financial crisis of 2008–09.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

-- The transactions’ capital structure and form and sufficiency of available credit enhancement.

-- The transactions’ performance to date, with minimal defaults and zero losses.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance (ESG) factors that had a significant or relevant effect on the credit analysis.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929 (May 17, 2022).

Notes:
The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (November 8, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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