Approximately $1.2 billion of asset backed securities affected.
New York, January 19, 2016 -- Moody's Investors Service, ("Moody's") placed
on review for downgrade 17 classes of notes in 6 SLM Private Credit Student
Loan Trusts. The securitizations are backed by private (i.e.
not government-guaranteed) student loans. Navient Solutions,
Inc. is the sponsor, administrator and servicer of the transactions.
The complete rating actions are as follow:
Issuer: SLM Private Credit Student Loan Trust 2002-A
Class A-2, Aaa (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aaa (sf)
Class B, Aa1 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa1 (sf)
Issuer: SLM Private Credit Student Loan Trust 2003-A
Class A-3, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa3 (sf)
Class A-4, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa3 (sf)
Class B, A1 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed A1 (sf)
Issuer: SLM Private Credit Student Loan Trust 2003-B
Class A-3, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa3 (sf)
Class A-4, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa3 (sf)
Class B, A1 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed A1 (sf)
Issuer: SLM Private Credit Student Loan Trust 2003-C
Cl. A-3, Aa3 (sf) Placed Under Review for Possible
Downgrade; previously on May 5, 2014 Affirmed Aa3 (sf)
Cl. A-4, Aa3 (sf) Placed Under Review for Possible
Downgrade; previously on May 5, 2014 Affirmed Aa3 (sf)
Cl. A-5, Aa3 (sf) Placed Under Review for Possible
Downgrade; previously on May 5, 2014 Affirmed Aa3 (sf)
Cl. B, A3 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed A3 (sf)
Issuer: SLM Private Credit Student Loan Trust 2004-A
Cl. A-3, Aa1 (sf) Placed Under Review for Possible
Downgrade; previously on May 5, 2014 Affirmed Aa1 (sf)
Cl. B, Aa3 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa3 (sf)
Issuer: SLM Private Credit Student Loan Trust 2004-B
Cl. A-4, Aaa (sf) Placed Under Review for Possible
Downgrade; previously on May 5, 2014 Affirmed Aaa (sf)
Cl. B, Aa2 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed Aa2 (sf)
Cl. C, A1 (sf) Placed Under Review for Possible Downgrade;
previously on May 5, 2014 Affirmed A1 (sf)
RATINGS RATIONALE
The rating actions reflect the correction of an error in the calculation
of net losses on the outstanding collateral pools that were used to run
Aaa and other rating levels cash flow scenarios. In its previous
rating actions Moody's gave too much benefit to future recoveries from
the previously defaulted loans, which resulted in the underestimation
of the credit enhancement needed to achieve the respective ratings on
the notes. Recoveries from previous defaults are a one-time
benefit; however, we incorrectly applied a multiple to these
recoveries in stressed scenarios, potentially resulting in insufficient
credit enhancement given the expected loss.
During the review period, Moody's will conduct detailed performance
and cash flow analyses of the transactions to assess whether the available
credit enhancement is sufficient to support the current ratings
The principal methodology used in these ratings was "Moody's Approach
to Rating U.S. Private Student Loan-Backed Securities"
published in January 2010. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Among the factors that could drive the ratings up are a decrease in defaults
rates, higher recoveries on defaulted loans and/or lower net losses
on the underlying assets than Moody's expects.
Down
Among the factors that could drive the ratings down are an increase in
defaults rates, lower recoveries on defaulted loans and/or higher
net losses on the underlying assets than Moody's expects.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
In rating this transaction, Moody's used a cash flow model
to model cash flow stress scenarios to determine the extent to which investors
would receive timely payments of interest and principal in the stress
scenarios, given the transaction structure and collateral composition.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Caroline Pichon
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Dev Chatterjee
Associate Managing Director
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews for downgrade 17 classes of notes in 6 private student loan securitizations sponsored by Navient