Morningstar DBRS Places Four SuttonPark Structured Settlements Transactions Under Review with Negative Implications

DBRS, Inc. (Morningstar DBRS) placed nine credit ratings Under Review with Negative Implications from four SuttonPark Structured Settlements transactions.

The rating actions are based on the following analytical considerations:

-- All outstanding notes across the transactions noted above have been placed on Under Review with Negative Implications due to the presence of less than sufficient data and information related to the availability of the lock box account. Specifically, Morningstar DBRS has not yet received sufficient data or information from the lock box provider or the indenture trustee upon request. The termination or transfer of the lock box account could lead to untimely or insufficient cashflow to the transactions. Morningstar DBRS will continue to try to obtain information related to the availability or transfer of the lock box account in order to resolve the Under Review with Negative Implications.

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

-- The transactions' performance to date, with zero to minimal defaults.

-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2024 Update," published on June 28, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no environmental, social, or governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (May 08, 2024), https://dbrs.morningstar.com/research/432485

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

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

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

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

Operational Risk Assessment for U.S. ABS Servicers (March 21, 2024)
https://dbrs.morningstar.com/research/430003

Operational Risk Assessment for U.S. ABS Originators (March 21, 2024)
https://dbrs.morningstar.com/research/430004

Legal Criteria for U.S. Structured Finance (April 15, 2024)
https://dbrs.morningstar.com/research/431205

Rating U.S. Structured Finance Transactions (April 15, 2024)
https://dbrs.morningstar.com/research/431204

Rating U.S. Structured Settlements Asset-Backed Securitizations (October 30, 2023)
https://dbrs.morningstar.com/research/422570

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.