Fitch Takes Various Rating Actions on SLM Private Student Loan Trusts
NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms and assigns Stable Rating Outlooks to all outstanding student loan notes issued by SLM Private Credit Student Loan Trust 2004-B (SLM 2004-B). In addition, Fitch affirms the senior and subordinate notes issued by SLM Private Credit Student Loan Trust 2005-A (SLM 2005-A) and downgrades the junior subordinate note. The Outlook remains Negative on all SLM 2005-A outstanding notes. A detailed list of rating actions follows at the end of this press release.
Fitch's Global Structured Finance Rating Criteria and Private Student Loan Asset-Backed Securities (ABS) Criteria were used to review the transaction.
Key Rating Drivers:
As of the December 2013 distribution date, the trusts are collateralized by private student loans originated by Sallie Mae, which for the SLM 2005-A, are performing worse than initially expected. The current cumulative gross defaults as a% of the repayment balance range from 16%-21% with approximately 42%-55% pool factors for SLM 2004-B and SLM 2005-A. Based on current default levels, the revised projected lifetime base case gross defaults levels range from 19%-27%, with remaining defaults ranging from 8%-14%.
Credit Enhancement (CE):
Credit enhancement is provided by overcollateralization and excess spread. The class A and B notes also benefit from subordination of class C notes. As of the December 2013 date, the current senior parity for the SLM 2004-B and SLM 2005-A trust are 118.21% and 118.19%, respectively. Current subordinate and junior subordinate parity have also increased. SLM 2004-B and SLM 2005-A subordinate parity is at 111.80% and 111.78%; junior subordinate parity is at 103.19% and 101.68%, respectively.
Although the parity levels have increased for SLM 2005-A, the junior subordinate note was downgraded due to credit enhancement levels that were insufficient to maintain current ratings. SLM 2004-B and SLM 2005-A notes that were affirmed were due to sufficient levels of credit enhancement to maintain current ratings. The Negative Outlook for SLM 2005-A is due to continued deterioration in the collateral performance and compressed loss coverage.
Liquidity support is provided by a reserve account sized at approximately $3.21 million for SLM 2004-B and $3.76 million for 2005-A.
Day-to-day servicing is provided by Sallie Mae Servicing, L.P. Sallie Mae Servicing, L.P has demonstrated satisfactory servicing capabilities.
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 credit enhancement 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.
The collateral securing the notes are private student loans originated to undergraduate, graduate, law, Med and MBA students under the Signature and EXCEL programs. The private student loans are intended to assist individuals in financing their undergraduate or graduate education beyond FFELP limits.
Fitch has taken the following rating actions:
SLM Private Credit Student Loan Trust 2004-B:
--Class A-2 affirmed at 'AAsf'; to Outlook Stable from Negative;
--Class A-3 affirmed at 'AAsf'; to Outlook Stable from Negative;
--Class A-4 affirmed at 'AAsf'; to Outlook Stable from Negative;
--Class B affirmed at 'Asf'; to Outlook Stable from Negative;
--Class C affirmed at 'BBsf'; to Outlook Stable from Negative.
SLM Private Credit Student Loan Trust 2005-A:
--Class A-2 affirmed at 'AA-sf'; Outlook Negative;
--Class A-3 affirmed at 'AA-sf'; Outlook Negative;
--Class A-4 affirmed at 'AA-sf'; Outlook Negative;
--Class B affirmed at 'Asf'; Outlook Negative;
--Class C downgraded to 'BBsf' from 'BBB-sf'; Outlook Negative.
Additional information is available at 'www.fitchratings.com'
Applicable Criteria and Related Research:
--'U.S. Private Student Loan ABS Criteria' Jan. 29, 2014;
--'Global Structured Finance Rating Criteria' May 24, 2013.
Applicable Criteria and Related Research:
U.S. Private Student Loan ABS Criteria
Global Structured Finance Rating Criteria