NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms all ratings of the outstanding student loan notes issued by SLM Private Credit Student Loan Trust 2005-B (SLM 2005-B) as follows:
--Class A-2 at 'AAsf'; Outlook Stable;
--Class A-3 at 'AAsf'; Outlook Stable;
--Class A-4 at 'AAsf'; Outlook Stable;
--Class B at 'Asf'; Outlook Stable;
--Class C at 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS
Adequate Collateral Quality: The trust is collateralized by approximately $681.1 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 11%-14%. A recovery rate of 10% was applied which was determined to be appropriate based on data provided by the issuer.
Sufficient Credit Enhancement (CE): CE is provided by excess spread, and the senior notes benefits from subordination provided by the junior notes. As of the June 15, 2016 distribution, the senior, subordinate and total parity ratios are 118.29%, 111.88% and 105.87% respectively.
Adequate Liquidity Support: Liquidity support is provided by a reserve account sized at approximately $3.75 million.
Satisfactory Servicing Capabilities: Day-to-day servicing is provided by Navient Solutions Inc., which has demonstrated satisfactory servicing capabilities.
Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated May 14, 2014, Fitch looks to its own ratings in analysing counterparty risk and assessing a counterparty's creditworthiness. The definition of permitted investments for this deal allows for the possibility of using investments not rated by Fitch, which represents a criteria variation. Since the only available funds to invest in are those held in the Collection Account, and the funds can only be invested for a short duration given the payment frequency of the notes, Fitch doesn't believe such variation has a measurable impact upon the ratings assigned.
Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated May 14, 2014, the swap counterparty for the trust, the Royal Bank of Scotland (RBS), currently rated 'BBB+/F2' by Fitch, does not meet Fitch's minimum rating requirement needed to support the 'AAsf' ratings of the SLM 2005-B bonds. In order to satisfy the rating difference, collateral has been posted to the trust, and Fitch is in the process of determining whether the amount posted is sufficient. Given this is a basis swap, Fitch considers the counterparty exposure to be immaterial. Therefore, Fitch doesn't believe it has a measurable impact on the ratings assigned.
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.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum (pub. 14 May 2014)
Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
U.S. Private Student Loan ABS Criteria (pub. 31 Jul 2015)
Dodd-Frank Rating Information Disclosure Form