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

DBRS, Inc. (Morningstar DBRS) upgraded the credit ratings on eight classes of securities and confirmed the credit ratings on 24 other classes included in 12 Navient Private Education 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: March 2024 Update,” published on March 27, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- Upgrades are due to increasing credit enhancement and multiples commensurate with the respective ratings.

-- 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, and cumulative net losses are low. Forbearance and delinquency levels remain relatively stable.

ENVIRONMENTAL, SOCIAL, AND 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://dbrs.morningstar.com/research/427030 (January 23, 2024).

Notes:
The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (February 22, 2024), https://dbrs.morningstar.com/research/428506.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings were 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.
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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 (March 21, 2024),
https://dbrs.morningstar.com/research/430003

Operational Risk Assessment for U.S. ABS Originators (March 21, 2024),
https://dbrs.morningstar.com/research/430004

Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024)
https://dbrs.morningstar.com/research/428623

Legal Criteria for U.S. Structured Finance (December 7, 2023)
https://dbrs.morningstar.com/research/425081

Rating U.S. Structured Finance Transactions (February 22, 2024)
https://dbrs.morningstar.com/research/428503

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.