DBRS Morningstar Assigns Provisional Ratings to SMB Private Education Loan Trust 2022-A

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes (the Notes) to be issued by SMB Private Education Loan Trust 2022-A (SMB 2022-A):

-- $462,900,000 Fixed Rate Class A-PT Notes rated AAA (sf)*
-- $148,152,000 Fixed Rate Class A-1 Notes rated AAA (sf)*
-- $314,748,000 Fixed Rate Class A-2 Notes rated AAA (sf)*
-- $87,250,000 Fixed Rate Class B Notes rated AA (low) (sf)
-- $46,500,000 Fixed Rate Class C Notes rated A (low) (sf)
-- $62,600,000 Fixed Rate Class D Notes rated BBB (low) (sf)

• The allocation of the aggregate initial principal balance of the Class A Notes between the Class A-PT Notes, the Class A-1 Notes, and the Class A-2 Notes will be determined on or before the date of pricing. The aggregate initial principal balance of the Class A Notes will be equal to $925,800,000, of which the issuing entity expects that the initial principal balance of the Class A-PT Notes will be an amount not less than $92,500,000, the Class A-1 Notes will be an amount not to exceed $266,700,000, and the Class A-2 Notes will be an amount not to exceed $566,600,000.

DBRS Morningstar based the Notes’ provisional ratings on its review of the following 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 December 2021 Update,” published on December 9, 2021. 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 baseline macroeconomic scenarios reflect the view that recent pandemic-related developments, particularly the new omicron variant with subsequent restrictions, combined with rising inflation pressures in some regions, may dampen near-term growth expectations in coming months. However, DBRS Morningstar expects the baseline projections will continue to point to an ongoing, gradual recovery.
-- The transaction’s form and sufficiency of available credit enhancement.
-- Overcollateralization, note subordination, reserve account amounts, and excess spread create credit enhancement levels and liquidity that are commensurate with the proposed ratings.
-- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (low) (sf), A (low) (sf), and BBB (low) (sf) stress scenarios in accordance with the terms of the SMB 2022-A transaction documents.
-- The quality and credit characteristics of the student loans and underlying borrowers.
-- Sallie Mae Bank’s (SMB) capabilities with regard to originations and underwriting.
-- DBRS Morningstar has performed an operational review of SMB’s origination platform and has determined the bank to be an acceptable student loan originator.
-- The ability of the Servicer to perform collections on the collateral pool and other required activities.
-- DBRS Morningstar has performed an operational review of SMB as the servicer and considers the entity to be an acceptable servicer of private student loans.
-- The legal structure and expected legal opinions that will address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and consistency with DBRS Morningstar's “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
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/373262.

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

The principal methodology is Rating U.S. Private Student Loan Securitizations (October 26, 2021), 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 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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