DBRS Morningstar Confirms Ratings on Four ELFI Graduate Loan Program LLC Trusts

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on all classes of securities included in four ELFI Graduate Loan Program LLC Trusts.

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 March 2022 Update,” published on March 24, 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. Despite several new or increasing risks including the Russian invasion of Ukraine, rising inflation, and new coronavirus variants, the overall outlook for growth and employment in the United States remains relatively positive.

-- Transaction capital structure and credit enhancement levels are sufficient for the current ratings.

-- Credit enhancement is in the form of overcollateralization, reserve accounts, liquidity accounts and excess spread, with senior notes 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 and cumulative defaults remain low. Forbearance and delinquency levels remain stable. Currently, there are no performance triggers in effect.

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 DBRS Morningstar Master U.S. ABS Surveillance (January 27, 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.

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

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