NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms 41 classes and downgrades two classes from ten SLM Private Credit Student Loan Trusts. Outlooks were assigned commensurate with the trust's performance and Fitch's view of the private student loan sector in general. Fitch's Global Structured Finance Rating Criteria and Private Student Loan Asset-Backed Securities (ABS) Criteria were used to review the transaction. The rating actions are based on the individual trust performance and are detailed at the end of this press release.
The affirmations are based on sufficient loss coverage multiples commensurate with the current ratings. As of November 2011, for those notes which are affirmed, senior parity ratios ranged between 112.66% and 152.83%, subordinate parity ratios ranged between 107.07% and 110.79% and total parity ratios ranged between 101.00% and 103.02%. The Stable Outlook is maintained for those notes where the trust's performance and parity ratios have been stable, defaults have been within Fitch's expectations, and credit enhancement levels have been sufficient, providing loss coverage multiples that cover future defaults and decreases in excess spread. However, Class 2006-A notes are an exception; they have experienced a positive trend in performance and significant increases in parity, which warrants a change in Outlook to Positive from Stable.
The downgrades reflect further deterioration of private student loan collateral. Losses are accumulating at a faster pace than anticipated and have resulted in erosion of total parity over the last year. The loss multiples calculated were indicative of lower ratings for the downgraded junior subordinate notes. For those junior subordinate notes including series 2004-A and series 2005-A, which are downgraded, the parity ratios were 99.99% and 99.86% respectively. A Negative Outlook is assigned to these classes of notes due to declining parities, and are in-line with Fitch's view of the overall private student loan sector in general.
Loss multiples based on the latest performance data were derived to determine the appropriate ratings. The projected net loss amounts were compared to available credit enhancement to determine the loss multiples for each rating category. Fitch used data provided by Sallie Mae to form a loss timing curve representative of each pool depending on loan composition. After giving credit for seasoning of loans in repayment, Fitch applied the trust's current cumulative gross loss level to this loss timing curve to derive the expected gross losses over the projected remaining life. A recovery rate of 15% was applied, which was the level assumed during the transaction's initial review. The Global SF Criteria, U.S. Private SL ABS Criteria, and Counterparty Criteria for Structured Finance Transactions were used to review the transaction.
Credit enhancement consists of a combination of excess spread, overcollateralization, and subordination.
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 what the FFELP affords.
Fitch has taken the following rating actions, including revising Outlooks, on the following notes:
SLM Private Credit Student Loan Trust 2004-A:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Subordinate Class B affirmed at 'AAsf'; Outlook Stable;
-- Junior Subordinate Class C downgraded to 'BBB-sf' from 'BBB+sf'; Outlook to Negative from Stable.
SLM Private Credit Student Loan Trust 2004-B:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-4 affirmed at 'AAAsf'; Outlook Stable;
-- Subordinate Class B affirmed at 'AA-sf'; Outlook Stable;
-- Junior Subordinate Class C affirmed at 'BBB+sf'; Outlook Stable.
SLM Private Credit Student Loan Trust 2005-A:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-3 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-4 affirmed at 'AA-sf'; Outlook Stable;
-- Subordinate Class B affirmed at 'Asf'; Outlook Stable;
-- Junior Subordinate Class C downgraded to 'BBB-sf' from 'BBBsf'; Outlook to Negative from Stable.
SLM Private Credit Student Loan Trust 2005-B:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-4 affirmed at 'AAAsf'; Outlook Stable;
-- Subordinate Class B affirmed at 'AAsf'; Outlook Stable;
-- Junior Subordinate Class C affirmed at 'Asf'; Outlook Stable.
SLM Private Credit Student Loan Trust 2006-A:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 has been paid in full;
-- Senior Class A-3 affirmed at 'AAsf'; Outlook to Positive from Stable;
-- Senior Class A-4 affirmed at 'AAsf'; Outlook to Positive from Stable;
-- Senior Class A-5 affirmed at 'AAsf'; Outlook to Positive from Stable;
-- Subordinate Class B affirmed at 'AA-sf'; Outlook to Positive from Stable;
-- Junior Subordinate Class C affirmed at 'A-sf'; Outlook to Positive from Stable.
SLM Private Credit Student Loan Trust 2006-B:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 has been paid in full;
-- Senior Class A-3 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-4 affirmed at 'AAAsf'; Outlook Stable;
-- Senior Class A-5 affirmed at 'AAAsf'; Outlook Stable;
-- Subordinate Class B affirmed at 'AAsf'; Outlook Stable;
-- Junior Subordinate Class C affirmed at 'Asf'; Outlook Stable.
SLM Private Credit Student Loan Trust 2006-C:
-- Senior Class A-1 has been paid in full;
-- Senior Class A-2 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-3 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-4 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-5 affirmed at 'AA-sf'; Outlook Stable;
-- Subordinate Class B affirmed at 'A+sf'; Outlook Stable;
-- Junior Subordinate Class C affirmed at 'A-sf'; Outlook Stable.
SLM Private Credit Student Loan Trust 2007-A:
-- Senior Class A-1 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-2 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-3 affirmed at 'AA-sf'; Outlook Stable;
-- Senior Class A-4 affirmed at 'AA-sf'; Outlook Stable;
-- Subordinate Class B affirmed at 'A+sf'; Outlook Stable;
-- Junior Subordinate Class C-1 affirmed at 'A-sf'; Outlook Stable;
-- Junior Subordinate Class C-2 affirmed at 'A-sf'; Outlook Stable.
SLM Private Credit Education Loan Trust 2009-C:
-- 2009-C Senior class notes have been paid in full.
SLM Private Education Loan Trust 2009-D:
-- Senior Class A affirmed at 'AAAsf'; Outlook Stable.
Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);
--'U.S. Private Student Loan ABS Criteria'(July 19, 2011);
--'Counterparty Criteria for Structured Finance Transactions' (March 14, 2011).
Applicable Criteria and Related Research:
Counterparty Criteria for Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=605425
U.S. Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=667570
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.