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

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

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

-- Transaction capital structure, current credit ratings, and sufficient cash flow from the underlying trusts.

-- Credit enhancement levels are sufficient to support the Morningstar DBRS-expected default and loss severity assumptions under various stress scenarios. Credit enhancement in the form of overcollateralization, reserve account, and excess spread with senior notes benefiting from subordination provided by the junior notes.

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

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

-- The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2024 Update," published on June 28, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

Morningstar DBRS's credit ratings on the securities referenced herein address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Noteholders' Interest Distribution Amount and the related Outstanding Principal Balance.

Morningstar DBRS's credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations. The associated contractual payment obligation that is not a financial obligation for each of the rated notes is the related interest on any unpaid Noteholders' Interest Distribution Amount.

Morningstar DBRS's 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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) 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) 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 Morningstar DBRS Master U.S. ABS Surveillance (August, 06 2024) https://dbrs.morningstar.com/research/437535

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.

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

-- Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024)
https://dbrs.morningstar.com/research/437545
-- 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 (April 15, 2024)
https://dbrs.morningstar.com/research/431205
-- Rating U.S. Structured Finance Transactions (August 6, 2024)
https://dbrs.morningstar.com/research/437571
-- Rating U.S. Private Student Loan Securitizations (August 6, 2024)
https://dbrs.morningstar.com/research/437560

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