NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the outstanding student loan notes issued by SLM Private Credit Student Loan Trust 2004-A (SLM 2004-A) as follows:
--Class A-3 at 'AAsf'; Outlook Stable;
--Class B at 'Asf'; Outlook Stable;
--Class C at 'BB-sf'; Outlook Stable.
KEY RATING DRIVERS
Collateral Quality: The trust is collateralized by approximately $350.08 million of private student loans originated by Navient Corp. under the Signature Education Loan Program, LAWLOANS program, MBA Loans program, and MEDLOANS program. The projected remaining defaults are expected to range between 8% - 11% of the current principal balance. A recovery rate of 13% was assumed in Fitch's cash flow analysis.
Credit Enhancement (CE): CE is provided by excess spread, and the senior class notes benefit from subordination provided by the junior class notes. As of the June 2016 distribution, the senior, subordinate, and total parity ratios are 118.70%, 112.26%, and 105.38%, respectively, compared to 118.55%, 112.12%, and 103.00% for the same time last year. The trust also benefits from a specified over-collateralization amount that is required to be maintained at 2% of the initial asset balance.
Liquidity Support: Liquidity support is provided by a reserve account sized at approximately $3.13 million.
Servicing Capabilities: Day-to-day servicing is provided by Navient Solutions Inc., which has demonstrated satisfactory servicing capabilities.
Under the "Counterparty Criteria for Structured Finance and Covered Bonds", dated July 18, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of the permitted investment for this deal allows the possibility of using investments not rated by Fitch; this represents a criteria variation. Fitch does not believe that such variation has a measurable impact on the ratings assigned.
Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated July 18, 2016, the transaction's swap documents do not address the replacement of the swap counterparty when the swap agreement terminates before the bonds' legal final maturities, which represents a criteria variation. Given the transaction's basis risk swap, Fitch considers the counterparty exposure to be immaterial; therefore, Fitch does not believe it has a measurable impact on the ratings assigned.
RATING SENSITIVITIES
As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case. This will result in a decline in CE and remaining loss coverage levels available to the notes and may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch will continue to monitor the performance of the trust.
DUE DILIGENCE USAGE
No third-party due diligence was provided or reviewed in relation to this rating action.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963
Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 18 Jul 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884964
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130
U.S. Private Student Loan ABS Criteria (pub. 31 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868836
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010318
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010318
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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