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Fitch Affirms SLM Private Credit Student Loan Trust 2002-A; Outlook StableFitch Ratings has affirmed all ratings of the outstanding student loan notes issued by SLM Private Credit Student Loan Trust 2002-A (SLM 2002-A) as follows: --Class A-2 at 'AAAsf'; Outlook Stable; --Class B at 'AAsf'; Outlook Stable. KEY RATING DRIVERS Collateral Quality: The trust is collateralized by approximately $125.89 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% as of 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 A notes benefit from subordination provided by the class B notes. As of the June 2016 distribution, the senior and subordinate parity ratios are 119.26% and 114.68% respectively, compared to 118.96% and 112.51% 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 initial the asset balance. Liquidity Support: Liquidity support is provided by a reserve account sized at approximately $1.726 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 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 of three months 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 July 18, 2016, the transaction's swap documents do not address the replacement of the swap counterparty when the counterparty rating is downgraded below 'BBB+' or 'F2', which represents a criteria variation. Given the transaction's basis risk swaps, Fitch considers the counterparty exposure to be immaterial; therefore, Fitch doesn't 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)
Counterparty Criteria for Structured Finance and Covered Bonds:
Derivative Addendum (pub. 18 Jul 2016)
Criteria for Interest Rate Stresses in Structured Finance Transactions
and Covered Bonds (pub. 17 May 2016)
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 (News - Alert) Criteria (pub. 31 Jul 2015) Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
Solicitation Status
Endorsement Policy 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 (News - Alert) 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. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. View source version on businesswire.com: http://www.businesswire.com/news/home/20160811005744/en/ |
