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Rating Action:

Moody's takes rating actions on SLM Private Credit Student Loan Securitizations

21 Mar 2017

Approximately $3.1 billion of asset backed securities affected

New York, March 21, 2017 -- Moody's Investors Service, ("Moody's") upgraded 19 classes and downgraded two classes from nine private student loan securitizations sponsored, administered and serviced by Navient Solutions LLC. The securitizations are backed by private (i.e. not government-guaranteed) student loans.

The complete rating actions are as follow:

Issuer: SLM Private Credit Student Loan Trust 2002-A

Class B, Upgraded to Aaa (sf); previously on Apr 21, 2016 Confirmed at Aa1 (sf)

Issuer: SLM Private Credit Student Loan Trust 2003-A

Class B, Downgraded to B1 (sf); previously on Apr 21, 2016 Downgraded to Ba3 (sf)

Issuer: SLM Private Credit Student Loan Trust 2003-B

Class B, Downgraded to B1 (sf); previously on Apr 21, 2016 Downgraded to Ba3 (sf)

Issuer: SLM Private Credit Student Loan Trust 2005-A

Cl. A-4, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf)

Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf)

Issuer: SLM Private Credit Student Loan Trust 2005-B

Cl. A-4, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf)

Cl. B, Upgraded to Aa2 (sf); previously on May 5, 2014 Affirmed Aa3 (sf)

Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf)

Issuer: SLM Private Credit Student Loan Trust 2006-A

Cl. A-5, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf)

Cl. B, Upgraded to Aa1 (sf); previously on May 5, 2014 Affirmed A1 (sf)

Cl. C, Upgraded to A1 (sf); previously on May 5, 2014 Affirmed A3 (sf)

Issuer: SLM Private Credit Student Loan Trust 2006-B

Cl. A-5, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf)

Cl. B, Upgraded to Aa2 (sf); previously on May 5, 2014 Affirmed A1 (sf)

Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf)

Issuer: SLM Private Credit Student Loan Trust 2006-C

Cl. A-5, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa1 (sf)

Cl. B, Upgraded to Aa1 (sf); previously on Dec 22, 2016 A2 (sf) Placed Under Review for Possible Upgrade

Cl. C, Upgraded to A2 (sf); previously on May 5, 2014 Affirmed Baa1 (sf)

Issuer: SLM Private Credit Student Loan Trust 2007-A

Cl. A-2, Upgraded to Aaa (sf); previously on May 5, 2014 Affirmed Aa2 (sf)

Cl. A-3, Upgraded to Aa1 (sf); previously on May 5, 2014 Affirmed A1 (sf)

Cl. C-1, Upgraded to A3 (sf); previously on May 5, 2014 Affirmed Baa1 (sf)

Cl. C-2, Upgraded to A3 (sf); previously on May 5, 2014 Affirmed Baa1 (sf)

RATINGS RATIONALE

The primary rationale for the upgrades is the improved performance of the underlying collateral pools with the ratios of total assets to total liabilities (total parity levels) increasing for most of the transactions over the 12-month period ending in December 2016. In addition, the top-pay senior classes are benefiting from rapid deleveraging.

The downgrades are a result of the continuous deterioration in the total parity levels. The 2003-A, and 2003-B transactions suffer from high funding costs, because they are partially funded with auction rate securities. The high funding cost of auction-rate securities that are currently in the failed auction mode erode excess spread and expose the subordinated classes of notes in these transactions to a significant default risk.

Moody's expected lifetime defaults as a percentage of original pool balance are approximately 14.0%, 16.5%, 18.5%, 26.0%, 23.0%, 24.25%, 26.75%, 29.5% and 29.5% for the 2002-A, 2003-A, 2003-B, 2005-A, 2005-B, 2006-A, 2006-B, 2006-C and 2007-A trusts, respectively.

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 Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

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 credit rating action on the support provider and in relation to each particular credit 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 credit rating action, and whose ratings may change as a result of this credit 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
Vice President - Senior 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

Michael Labuskes
VP - Senior Credit Officer
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

No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information.

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Moody’s Investors Service, Inc., a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by Moody’s Investors Service, Inc. have, prior to assignment of any rating, agreed to pay to Moody’s Investors Service, Inc. for ratings opinions and services rendered by it fees ranging from $1,000 to approximately $2,700,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Investor Relations — Corporate Governance — Director and Shareholder Affiliation Policy.”

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

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