Morningstar DBRS Takes Credit Rating Actions on 12 Navient Private Education Refi Loan Trust Transactions

DBRS, Inc. (Morningstar DBRS) confirmed 21 and upgraded four of its credit ratings on all classes of securities included in 12 Navient Private Education Refi Loan Trust Transactions.

The credit rating actions 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.

-- Transaction capital structure, current 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 transaction parties’ capabilities with regard to origination, underwriting, and servicing.

-- Class B upgrades for 2018-A, 2018-C, 2020-E and 2020-F due to significant note amortization, increasing credit enhancement and strong multiples commensurate with the respective ratings.

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, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/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://www.dbrsmorningstar.com/research/427030 (January 23, 2024).

Notes:
The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (October 22, 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.

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