Sallie Mae Bank is returning to the securitization market with a $1 billion securitization deal that will have the highest concentration of fixed-rate loans the program since the one that it sponsored two years ago.
Bank of America Merrill Lynch is the manager on the transaction, the SMB Private Education Loan Trust, 2023-D, which is slated to close on November 7, according to Asset Securitization Report's deal database. SMB 2023D will issue
Five classes of floating-rate notes rated by DBRS Morningstar and Moody's Investors Service. All of the notes, except for the A1B, will issue notes based on the three-month Secured Overnight Financing Rate (SOFR), according to the database.
DBRS expects to assign 'AAA' to the A1A and A1B notes; 'AA' to the class B notes; 'A' to the class C notes and 'BBB' to the class D notes, according to the database. Moody's will rate just the class A notes, it says, and assigns them 'Aaa'.
Loans in active payment and in-school account for a combined 75.3% of the pool, according to DBRS, while loans in grace, deferment or forbearance account for the rest, according to ratings analysts. A vast majority of the pool, 92.7%, was extended to borrowers at four-year schools, DBRS said.
Loans originated under the Smart Option Student Loan Program collateralize the deal exclusively, according to Moody's. These are private student loans that do not benefit from a U.S. government guarantee, Moody's said. Borrowers under this program generally have higher FICO scores and a higher percentage of co-signers, according to Moody's. For this particular deal, the underlying loans have a weighted average (WA) FICO score of
DBRS notes that the 2023-D deal has a much higher loan count, 76,440, compared with 46,671 on the 2023-C deal. The average balance per borrower, however, didn't seem much higher, proportionally, and was $14,657, compared with the $14,430 on the 2023-C deal. Moody's notes that the WA annual interest rate is 11.5%, with a WA remaining term of 161 months, according to Moody's.
The notes have a pro-rata payment allocation structure between the senior and subordinated notes. The classes A, B and C notes have subordination levels of 22.7%, 8.8% and 5.9%, respectively.
Also, the notes have -0.9% in initial total overcollateralization, excluding a cash reserve account, the rating agency said.
