DBRS Morningstar Confirms Ratings on Four Structured Settlement ABS Transactions

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

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

SPSS 2021-A LLC
-- Class A Notes confirmed at AAA (sf)
-- Class B Notes confirmed at A (sf)
-- Class C Notes confirmed at BBB (sf)
-- Class D Notes confirmed at BB (sf)

The rating confirmations 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: April 2023 Update,” published on April 28, 2023. 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, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance 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 applicable to the ratings is DBRS Morningstar Master U.S. ABS Surveillance (May 16, 2023; https://www.dbrsmorningstar.com/research/414028).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023)
https://www.dbrsmorningstar.com/research/412303

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023)
https://www.dbrsmorningstar.com/research/412302

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449

Rating U.S. Structured Settlements Asset-Backed Securitizations (November 2, 2022)
https://www.dbrsmorningstar.com/research/404541

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