NEW YORK--(BUSINESS WIRE)--Fitch Ratings has taken various rating actions on the private student loan asset-backed notes issued by SLM Corp. Fitch has upgraded two classes, affirmed 35 classes and downgraded 30 classes of the portfolio. Fitch's review allows for loss coverage multiple compression given the current weak economic conditions. A Stable Outlook has been assigned to all transactions, based on Fitch's expectation that the current ratings will remain stable for the next 12-24 months. The Global SF Criteria and U.S. Private SL ABS Criteria were used to review the transactions. The ratings actions, which are detailed at the end of this release, follow the placement of various classes on Rating Watch Negative in June 2010.
The upgrades are due to increases in the loss coverage multiples which are indicative of higher ratings. Except for the SLM 2009-B, 2009-C and 2009-D transactions, the affirmations are based on loss coverage multiples commensurate with the notes' current ratings. The 2009-B, 2009-C and 2009-D rating affirmations are based on Fitch's view that collateral performance to date remains in line with original assumptions and the relatively recent issuance of those transactions.
The downgrades are the result of lower loss coverage multiples which are indicative of lower ratings. Most of the downgraded classes were placed under rating watch negative during Fitch's review in June 2010. At the time, Fitch recognized that SLM's new, tighter forbearance policy had caused a significant increase in default levels over the past year. However, Fitch expects this policy change will result in a more front-loaded default curve and that the default accumulation should significantly slow down and loss coverage multiples should improve. Even when taking the changing shape of the default timing curve into consideration, certain tranches still have lower coverage multiples currently. Therefore downgrades are warranted.
Loss coverage multiples were determined by comparing the projected net loss amount to available credit enhancement based on the performance data as of Dec. 15, 2010. Fitch has reviewed the historical vintage loss data provided by SLM Corp. and applied the updated default timing curve representative of collateral pool. After giving credit for seasoning of loans in repayment, Fitch applied the current cumulative gross loss level to the loss timing curve to derive the expected gross losses over the remaining life. A recovery rate was applied, which was determined to be appropriate based on the latest data provided by the issuer.
Credit enhancement consists of excess spread and overcollateralization. In certain cases, senior notes benefit from subordination. Fitch assumed excess spread to be the lesser of the average historical excess spread (earning on the assets minus interest payments to bondholders and fees) and the most recent 12-month average excess spread, and applied that same rate over the remaining life.
The collateral securing the notes are private student loans originated to undergraduate, graduate, law, 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 what the FFELP affords. The private loans are credit-tested with minimum FICO score requirements and a portion of the loans originated to borrowers with a co-borrower. A majority of the loans are risk based priced and indexed to the prime rate plus a margin, with fees paid at origination and/or repayment.
Fitch has taken the following rating actions and has assigned a Stable Outlook to these trusts:
SLM Private Credit Student Loan Trust 2002-A
--Class A-2 affirmed
at 'AAA';
--Class B upgraded to 'AAA' from 'AA+';
--Class C
upgraded to 'AA' from 'A+'.
SLM Private Credit Student Loan Trust 2003-A
--Class A-2 affirmed
at 'AAA';
--Class A-3 affirmed at 'AAA';
--Class A-4 affirmed
at 'AAA';
--Class B affirmed at 'AA';
--Class C downgraded to
'A-' from 'A'.
SLM Private Credit Student Loan Trust 2003-B
--Class A-2 affirmed
at 'AAA';
--Class A-3 affirmed at 'AAA';
--Class A-4 affirmed
at 'AAA';
--Class B affirmed at 'AA';
--Class C downgraded to
'A-' from 'A'; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2003-C
--Class A-2 affirmed
at 'AAA';
--Class A-3 affirmed at 'AAA';
--Class A-4 affirmed
at 'AAA';
--Class A-5 affirmed at 'AAA';
--Class B affirmed at
'AA';
--Class C downgraded to 'BBB+' from 'A'; removed from Rating
Watch Negative.
SLM Private Credit Student Loan Trust 2004-A
--Class A-2 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class A-3 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class B affirmed at
'AA' ; removed from Rating Watch Negative;
--Class C downgraded to
'BBB+' from 'A'; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2004-B
--Class A-1 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class A-2 affirmed
at 'AAA'; removed from Rating Watch Negative
--Class A-3 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class A-4 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class B downgraded
to 'AA-' from 'AA'; removed from Rating Watch Negative;
--Class C
downgraded to 'BBB+' from 'A; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2005-A
--Class A-2 downgraded
to 'AA-' from 'AAA'; removed from Rating Watch Negative;
--Class
A-3 downgraded to 'AA-' from 'AAA'; removed from Rating Watch Negative;
--Class
A-4 downgraded to 'AA-' from 'AAA'; removed from Rating Watch Negative;
--Class
B downgraded to 'A' from 'AA'; removed from Rating Watch Negative;
--Class
C downgraded to 'BBB' from 'A'; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2005-B
--Class A-2 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class A-3 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class A-4 affirmed
at 'AAA'; removed from Rating Watch Negative;
--Class B affirmed at
'AA'; removed from Rating Watch Negative;
--Class C affirmed at
'A'; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2006-A
--Class A-2 downgraded
to 'AA' from 'AAA'; removed from Rating Watch Negative;
--Class A-3
downgraded to 'AA' from 'AAA'; removed from Rating Watch Negative;
--Class
A-4 downgraded to 'AA' from 'AAA; removed from Rating Watch Negative;
--Class
A-5 downgraded to 'AA' from 'AAA; removed from Rating Watch Negative;
--Class
B downgraded to 'AA-' from 'AA; removed from Rating Watch Negative;
--Class
C downgraded to 'A-' from 'A/; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2006-B
--Class A-2 affirmed
at 'AAA' ; removed from Rating Watch Negative;
--Class A-3 affirmed
at 'AAA'; ; removed from Rating Watch Negative;
--Class A-4
affirmed at 'AAA'; removed from Rating Watch Negative;
--Class A-5
affirmed at AAA'; removed from Rating Watch Negative;
--Class B
affirmed at 'AA'; removed from Rating Watch Negative;
--Class C
affirmed at 'A'; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2006-C
--Class A-2 downgraded
to 'AA-' from 'AAA'; removed from Rating Watch Negative.
--Class
A-3 downgraded to 'AA-' from 'AAA/; removed from Rating Watch Negative.
--Class
A-4 downgraded to 'AA-' from 'AAA/; removed from Rating Watch Negative.
--Class
A-5 downgraded to 'AA-' from 'AAA'; removed from Rating Watch Negative.
--Class
B downgraded to 'A+' from 'AA; removed from Rating Watch Negative.
--Class
C downgraded to 'A-' from 'A; removed from Rating Watch Negative.
SLM Private Credit Student Loan Trust 2007-A
--Class A-1 downgraded
to 'AA-' from 'AAA/; removed from Rating Watch Negative.
--Class
A-2 downgraded to 'AA-' from 'AAA; removed from Rating Watch Negative.
--Class
A-3 downgraded to 'AA-' from 'AAA/; removed from Rating Watch Negative.
--Class
A-4 downgraded to 'AA-' from 'AAA; removed from Rating Watch Negative.
--Class
B downgraded to 'A+' from 'AA/; removed from Rating Watch Negative.
--Class
C-1 downgraded to 'A-' from 'A; removed from Rating Watch Negative.
--Class
C-2 downgraded to 'A-' from 'A/; removed from Rating Watch Negative.
SLM Private Education Loan Trust 2009-B
--Class A affirmed at 'AAA'.
SLM Private Education Loan Trust 2009-C
--Class A affirmed at 'AAA'.
SLM Private Education Loan Trust 2009-D
--Class A affirmed at 'AAA'.
Additional information is available on Fitch's web site at 'www.fitchratings.com'
Applicable Criteria and Related Research:
'Global Structured
Finance Rating Criteria' dated Sept. 30, 2009;
'U.S. Private
Student Loan ABS Criteria' dated Aug. 24, 2009.
Applicable Criteria and Related Research:
Global Structured Finance
Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
U.S.
Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=463174
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