Fitch Affirms SLM Private Credit Student Loan Trust 2003-B; Outlook Stable
--Class A-2 at 'A-sf'; Revised to Outlook Stable from Negative;
--Class A-3 at 'A-sf'; Revised to Outlook Stable from Negative;
--Class A-4 at 'A-sf'; Revised to Outlook Stable from Negative;
--Class B at 'BBsf'; Revised to Outlook Stable from Negative;
--Class C at 'CCCsf'; Recovery Estimate (RE) revised to 30% from 15%.
The Rating Outlook for class A and class B bonds has been revised to Stable from Negative based upon the stabilized performance, and improved outlook based on Fitch's projection of the trust's future performance.
KEY RATING DRIVERS
Adequate Collateral Quality: The trust is collateralized by approximately $335.8 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.
Sufficient Credit Enhancement (CE): CE is provided by excess spread, and the senior class A and class B notes benefit from subordination provided by the junior notes. As of the June 15, 2016 distribution, the senior, subordinate and total parity ratios are 118.74%, 112.30%, and 94.93%, respectively, compared to 118.58%, 111.54%, and 96.02% for the same time last year.
Adequate Liquidity Support: Liquidity support is provided by a reserve account sized at approximately $3.12 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 June 18, 2016, 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. 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.
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.