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Rating Action:

Moody's reviews for downgrade 17 classes of notes in 6 private student loan securitizations sponsored by Navient

19 Jan 2016

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
No Related Data.
© 2020 Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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