Morningstar DBRS Maintains Under Review With Negative Implications Designation on SuttonPark Transactions

DBRS, Inc. (Morningstar DBRS) maintained its Under Review with Negative Implications (URN) on nine credit ratings from four SuttonPark Structured Settlement transactions.

The credit rating actions are based on the following analytical considerations:

-- The maintaining of the Under Review with Negative Implications (URN) designation is primarily due to the ongoing servicing transfer to Vervent which is expected to be finalized over the next several months. SuttonPark, Vervent, and the relevant investors have been in negotiations with respect to the servicing transfer to Vervent. The current plan is to stagger the servicing transfer separately for each transaction. SuttonPark is expected to be engaged as sub-servicer to ensure a more seamless transition.

-- Additionally, the 2012-1 and 2021-A transactions have experienced recent asset deterioration with increasing delinquencies and unresolved aged defaulted payments. Thus, SuttonPark has identified a number of open receivables whereby collections were received but not identified and deposited to the respective collection accounts. SuttonPark is currently in the process of resolving these open receivables, which is expected to result in increased collections and reduced aged defaulted payments over the next several months which will benefit the transactions. In certain cases, the payors with outstanding past missed payments are making current payments. Morningstar DBRS will continue to monitor the servicing transfer and evaluate collateral performance and collections available to each transaction to resolve the URN designation.

-- 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 assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) 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 Factors in Credit Ratings (May 16, 2025) https://dbrs.morningstar.com/research/454196.

Notes:
The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025) https://dbrs.morningstar.com/research/451793.

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

The credit ratings were initiated at the request of the rated entity.

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

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

These are solicited credit ratings.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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 Originators and Servicers (March 26, 2025)
https://dbrs.morningstar.com/research/450709

-- Legal Criteria for U.S. Structured Finance (December 03, 2024)
https://dbrs.morningstar.com/research/444064

-- Rating U.S. Structured Finance Transactions (March 10, 2025)
https://dbrs.morningstar.com/research/449616

-- Rating U.S. Structured Settlements Asset-Backed Securitizations (October 28, 2024)
https://dbrs.morningstar.com/research/441881

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