DBRS Morningstar Confirms Ratings on Three Higher Education Loan Authority of the State of Missouri Transactions

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on all classes of securities included in the following three Higher Education Loan Authority of the State of Missouri transactions:

-- Higher Education Loan Authority of the State of Missouri Series 2021-1
-- Higher Education Loan Authority of the State of Missouri Series 2021-2
-- Higher Education Loan Authority of the State of Missouri Series 2021-3

The 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: 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 transaction capital structure and credit-enhancement levels are sufficient for the current ratings.

-- Credit enhancement is in the form of overcollateralization, a reserve account, a capitalized interest fund, and excess spread, with senior notes also benefiting from the subordination of junior notes.

-- Credit enhancement levels are sufficient to support the DBRS Morningstar-expected default and loss severity assumptions under various stress scenarios.

-- Collateral performance is within expectations. Forbearance, deferment, and delinquency levels remain stable. Cumulative net losses remain low.

-- Federal Family Education Loan Program student loans benefit from guarantees provided by the U.S. Department of Education for at least 97% of principal and accrued interest of defaulted student loans.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no environmental, social, and 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/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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 these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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