Approximately $1.4 billion of asset backed securities affected
New York, February 13, 2018 -- Moody's Investors Service, ("Moody's") upgraded
15 classes and downgraded two classes of notes from eight 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 2003-B
Class A-3, Downgraded to Baa1 (sf); previously on Apr
21, 2016 Downgraded to A3 (sf)
Class A-4, Downgraded to Baa1 (sf); previously on Apr
21, 2016 Downgraded to A3 (sf)
Issuer: SLM Private Credit Student Loan Trust 2004-A
Cl. C, Upgraded to A3 (sf); previously on May 5,
2014 Affirmed Baa2 (sf)
Issuer: SLM Private Credit Student Loan Trust 2005-A
Cl. B, Upgraded to Aa1 (sf); previously on May 5,
2014 Affirmed Aa3 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Mar 21,
2017 Upgraded to A2 (sf)
Issuer: SLM Private Credit Student Loan Trust 2005-B
Cl. B, Upgraded to Aa1 (sf); previously on Mar 21,
2017 Upgraded to Aa2 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Mar 21,
2017 Upgraded to A2 (sf)
Issuer: SLM Private Credit Student Loan Trust 2006-A
Cl. C, Upgraded to Aa3 (sf); previously on Mar 21,
2017 Upgraded to A1 (sf)
Issuer: SLM Private Credit Student Loan Trust 2006-B
Cl. B, Upgraded to Aa1 (sf); previously on Mar 21,
2017 Upgraded to Aa2 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Mar 21,
2017 Upgraded to A2 (sf)
Issuer: SLM Private Credit Student Loan Trust 2006-C
Cl. B, Upgraded to Aaa (sf); previously on Mar 21,
2017 Upgraded to Aa1 (sf)
Cl. C, Upgraded to Aa3 (sf); previously on Mar 21,
2017 Upgraded to A2 (sf)
Issuer: SLM Private Credit Student Loan Trust 2007-A
Cl. A-3, Upgraded to Aaa (sf); previously on
Mar 21, 2017 Upgraded to Aa1 (sf)
Cl. A-4, Upgraded to Aa3 (sf); previously on
May 5, 2014 Affirmed A1 (sf)
Cl. B, Upgraded to A1 (sf); previously on May 5,
2014 Affirmed A2 (sf)
Cl. C-1, Upgraded to A2 (sf); previously on Mar
21, 2017 Upgraded to A3 (sf)
Cl. C-2, Upgraded to A2 (sf); previously on Mar
21, 2017 Upgraded to A3 (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 by approximately
1% to 4% for the affected transactions over the 12-month
period ending in December 2017.
The downgrades in the SLM Private Credit Student Loan Trust 2003-B
("SLM 2003-B") transaction are a result of the continuous
deterioration in the total parity level. The 2003-B transaction
suffers from high funding cost, because it is partially funded with
auction rate securities. The high funding cost of auction-rate
securities that are currently in failed auction mode erodes excess spread
and exposes the Class A-3 and Class A-4 to higher default
risk in stress scenarios.
Moody's expected lifetime defaults as a percentage of original pool balance
are approximately 18.5%, 21.5%,
26.0%, 23.0%, 24.25%,
26.75%, 29.5% and 29.5%
for the 2003-B, 2004-A, 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.
Donald Lee
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Jinwen Chen
Asst Vice President - Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653