Approximately $5.1 billion of securities affected
New York, March 11, 2009 -- Moody's has placed under review for possible downgrade 31 notes
from nine SLM Private Credit Student Loan Trusts sponsored, serviced
and administered by Sallie Mae, Inc. The underlying collateral
consists of alternative student loans that are not guaranteed or reinsured
under the Federal Family Education Loan Program (FFELP) or any other federal
student loan program. The majority of the loans included in the
collateral pools were originated through school financial aid offices.
The review of the notes was prompted by worse than expected performance
of the underlying collateral pools as indicated by rising defaults and
delinquencies. The notes were assessed on the adequacy of the available
credit enhancement for each class of notes relative to Moody's expected
pool loss and assumed loss volatility. In its review, Moody's
considered the available overcollateralization, reserve fund,
subordination and excess spread, as well as the protection provided
by structural features. Significant structural features include
note parity triggers, floor level to the reserve fund and overcollateralization,
clean up call or no release of excess spread at 10% pool factor,
and the change of cash flow allocations among the senior classes under
the occurrence of certain events.
During the review period, Moody's will assess whether the
available credit enhancement is sufficient to support the current ratings
of the affected tranches in light of Moody's estimation of future performance.
In finalizing the ratings, Moody's analysis will include the
following:
1. Lifetime gross defaults based on the pool composition and seasoning;
2. Lifetime recoveries (net of recovery costs);
3. Total credit enhancement such as the reserve, overcollateralization,
subordination and excess spread;
4. The swap agreements that protect noteholders against basis risk
associated with the mismatch between prime-based student loans
and LIBOR-based notes;
5. Structural protections built into each transaction;
6. Cashflow modeling results.
Other methodologies and factors that may have been considered in the process
of rating these securities can also be found at www.moodys.com
in the Credit Policy & Methodologies directory.
The complete rating actions are as follows:
SLM Private Credit Student Loan Trust 2003-C
Cl. A-3, Aaa and Placed Under Review for Possible
Downgrade; previously on 10/10/2003 Assigned Aaa
Cl. A-4, Aaa and Placed Under Review for Possible
Downgrade; previously on 10/10/2003 Assigned Aaa
Cl. A-5, Aaa and Placed Under Review for Possible
Downgrade; previously on 10/10/2003 Assigned Aaa
Cl. B, Aa3 and Placed Under Review for Possible Downgrade;
previously on 3/2/2007 Upgraded to Aa3
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 3/2/2007 Upgraded to A3
SLM Private Credit Student Loan Trust 2004-A
Cl. A-3, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/29/2004 Assigned Aaa
Cl. B, Aa3 and Placed Under Review for Possible Downgrade;
previously on 3/2/2007 Upgraded to Aa3
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 3/2/2007 Upgraded to A3
SLM Private Credit Student Loan Trust 2004-B
Cl. A-4, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/2/2004 Assigned Aaa
Cl. B, Aa3 and Placed Under Review for Possible Downgrade;
previously on 3/2/2007 Upgraded to Aa3
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 3/2/2007 Upgraded to A3
SLM Private Credit Student Loan Trust 2005-A
Cl. A-4, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/29/2005 Assigned Aaa
Cl. B, Aa3 and Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned Aa3
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 4/29/2005 Assigned A3
SLM Private Credit Student Loan Trust 2005-B
Cl. A-3, Aaa and Placed Under Review for Possible
Downgrade; previously on 10/28/2005 Assigned Aaa
Cl. A-4, Aaa and Placed Under Review for Possible
Downgrade; previously on 10/28/2005 Assigned Aaa
Cl. B, Aa3 and Placed Under Review for Possible Downgrade;
previously on 10/28/2005 Assigned Aa3
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 10/28/2005 Assigned A3
SLM Private Credit Student Loan Trust 2006-A
Cl. A-5, Aaa and Placed Under Review for Possible
Downgrade; previously on 4/7/2006 Assigned Aaa
Cl. B, Aa3 and Placed Under Review for Possible Downgrade;
previously on 4/7/2006 Assigned Aa3
Cl. C, A3 and Placed Under Review for Possible Downgrade;
previously on 4/7/2006 Assigned A3
SLM Private Credit Student Loan Trust 2006-B
Cl. A-5, Aaa and Placed Under Review for Possible
Downgrade; previously on 6/8/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 6/8/2006 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 6/8/2006 Assigned A2
SLM Private Credit Student Loan Trust 2006-C
Cl. A-5, Aaa and Placed Under Review for Possible
Downgrade; previously on 9/28/2006 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 9/28/2006 Assigned Aa2
Cl. C, A2 and Placed Under Review for Possible Downgrade;
previously on 9/28/2006 Assigned A2
SLM Private Credit Student Loan Trust 2007-A
Cl. A-4, Aaa and Placed Under Review for Possible
Downgrade; previously on 3/29/2007 Assigned Aaa
Cl. B, Aa2 and Placed Under Review for Possible Downgrade;
previously on 3/29/2007 Assigned Aa2
Cl. C-1, A2 and Placed Under Review for Possible Downgrade;
previously on 3/29/2007 Assigned A2
Cl. C-2, A2 and Placed Under Review for Possible Downgrade;
previously on 3/29/2007 Assigned A2
New York
John Park
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
HaVi Jacobs
Senior Associate
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's reviews for possible downgrade 31 notes from nine Sallie Mae securitizations