Morningstar DBRS Confirms Credit Ratings on Three Higher Education Loan Authority of the State of Missouri Transactions

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on all classes of securities included in three Higher Education Loan Authority of the State of Missouri transactions.

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating confirmations are based on the following analytical considerations:

-- Transaction capital structure, current ratings, and sufficient credit enhancement levels.

-- Credit enhancement is sufficient to support the Morningstar DBRS cash flow assumptions under various stress scenarios. Credit enhancement is in the form of overcollateralization, a reserve account, a capitalized interest fund and excess spread, with senior notes also benefiting from the subordination of junior notes.

-- Parity ratios have increased since their issuances, which provides sufficient credit enhancement for the transactions. Credit enhancement levels are expected to increase as overcollateralization levels continues to build up to its specified overcollateralization targets. The reserve account balances have maintained its required levels.

-- Collateral performance in terms of cumulative net losses (CNLs) is within expectations and remains low as Federal Family Education Loan Program (FFELP) student loans benefit from guarantees that are ultimately provided by the U.S. government for at least 97% of principal and accrued interest.

-- The transaction assumptions consider Morningstar DBRS's 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's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:

The principal methodology applicable to the credit ratings is Morningstar DBRS Master U.S. ABS Surveillance (August 6, 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 ratings process for these credit rating actions.

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.

These are solicited credit ratings.

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.

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. Federal Family Education Loan Program Securitizations (August 6, 2024),
https://dbrs.morningstar.com/research/437553

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