Morningstar DBRS Confirms Credit Ratings on 11 SMB Private Education Loan Trust Transactions

DBRS, Inc. (Morningstar DBRS) confirmed the credit ratings on all classes of securities included in 11 SMB Private Education Loan Trust transactions.

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

-- The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns: December 2023 Update,” published on December 19, 2023. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- Transactions capital structure, current credit ratings, and sufficient credit enhancement levels.

-- Credit enhancement is in the form of overcollateralization, reserve accounts, and excess spread with senior notes benefiting from subordination of junior notes.

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

-- Collateral performance is within expectations with no triggers in effect. Forbearance, deferment, and delinquency levels remain stable.

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

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 (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

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

The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (22 October 2023), https://dbrs.morningstar.com/research/422279.

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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

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 (July 20, 2023),
https://www.dbrsmorningstar.com/research/417415
-- Operational Risk Assessment for U.S. ABS Originators (July 20, 2023),
https://www.dbrsmorningstar.com/research/417416
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
https://www.dbrsmorningstar.com/research/415687
--Legal Criteria for U.S. Structured Finance (December 7, 2023),
https://www.dbrsmorningstar.com/research/425081
-- Rating U.S. Structured Finance Transactions (October 30, 2023),
https://www.dbrsmorningstar.com/research/422592
-- Rating U.S. Private Student Loan Securitizations (October 25, 2023),
https://www.dbrsmorningstar.com/research/422385

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