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Rating Action:

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

13 Feb 2018

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

No Related Data.
© 2022 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 CREDIT RATINGS AFFILIATES ARE THEIR CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY’S (COLLECTIVELY, “PUBLICATIONS”) MAY INCLUDE SUCH CURRENT OPINIONS. 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 APPLICABLE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS (“ASSESSMENTS”), AND OTHER 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. AND/OR ITS AFFILIATES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY’S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES ITS 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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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 credit rating, agreed to pay to Moody’s Investors Service, Inc. for credit ratings opinions and services rendered by it fees ranging from $1,000 to approximately $5,000,000. MCO and Moody’s Investors Service also maintain policies and procedures to address the independence of Moody’s Investors Service credit ratings and credit rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold credit ratings from Moody’s Investors Service 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.”

Additional terms for Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail investors.

Additional terms for Japan only: Moody's Japan K.K. (“MJKK”) is a wholly-owned credit rating agency subsidiary of Moody's Group Japan G.K., which is wholly-owned by Moody’s Overseas Holdings Inc., a wholly-owned subsidiary of MCO. Moody’s SF Japan K.K. (“MSFJ”) is a wholly-owned credit rating agency subsidiary of MJKK. MSFJ is not a Nationally Recognized Statistical Rating Organization (“NRSRO”). Therefore, credit ratings assigned by MSFJ are Non-NRSRO Credit Ratings. Non-NRSRO Credit Ratings are assigned by an entity that is not a NRSRO and, consequently, the rated obligation will not qualify for certain types of treatment under U.S. laws. MJKK and MSFJ are credit rating agencies registered with the Japan Financial Services Agency and their registration numbers are FSA Commissioner (Ratings) No. 2 and 3 respectively.

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 credit rating, agreed to pay to MJKK or MSFJ (as applicable) for credit ratings opinions and services rendered by it fees ranging from JPY100,000 to approximately JPY550,000,000.

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

​
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