NAVIENT CORPORATION
Fitch Ratings has affirmed the ratings of all outstanding classes of
The Rating Outlooks for all classes of the three transactions have also been maintained.
RATING ACTIONS
Entity / Debt
Rating
Prior
A-3 78442GJG2
LT
AAAsf
Affirmed
AAAsf
A-4 78442GJH0
LT
AAAsf
Affirmed
AAAsf
B 78442GJF4
LT
Asf
Affirmed
Asf
A 78445UAA0
LT
AAAsf
Affirmed
AAAsf
B 78445UAD4
LT
AAAsf
Affirmed
AAAsf
A-3 78447KAC6
LT
Bsf
Affirmed
Bsf
B 78447KAD4
LT
Bsf
Affirmed
Bsf
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VIEW ADDITIONAL RATING DETAILS
SLM 2003-10: The class A-3 and class A-4 notes passed all of Fitch's credit and maturity stresses in cash flow modeling, and Fitch has affirmed them at 'AAAsf'. The Negative Outlook on these classes is due to the Negative Outlook assigned to the
In the cash flow modeling analysis for SLM 2003-10, Fitch used higher transaction-specific servicing fees rather than the standard fees from Fitch's FFELP rating criteria.
SLM 2011-3: The class A and class B notes passed all of Fitch's credit and maturity stresses in cash flow modeling, and Fitch has affirmed them at 'AAAsf'. The Negative Outlooks are due to the Outlook assigned to the
SLM 2012-7: The class A-3 notes did not pass Fitch's base case stresses in cash flow modeling due to the notes not paying in full prior to their legal final maturity date. The rating of the class B notes is constrained by the rating of the senior notes, because in an event of default (EOD) caused by the class A-3 notes not paying in full prior to their legal final maturity date, the class B notes will not receive principal or interest payments.
Fitch has affirmed the class A-3 and class B notes at 'Bsf', supported by qualitative factors such as
KEY RATING DRIVERS
Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 17.00%, 19.50% and 30.00% under the base case scenario and a default rate of 51.00%, 58.50% and 90.00% under the '
Fitch is maintaining its sustainable constant default rate assumption (sCDR) at 2.5%, 3.0% and 4.1% for SLM 2003-10, 2011-3 and 2012-7, respectively, in cash flow modeling. Fitch is also maintaining its sustainable constant repayment rate assumption (sCPR; voluntary and involuntary prepayments) at 8.0%, 9.5% and 10.0% for SLM 2003-10, 2011-3 and 2012-7, respectively. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the '
The TTM levels of deferment are 3.13%, 3.95% and 5.97% for SLM 2003-10, 2011-3 and 2012-7, respectively. The TTM levels of forbearance are 9.87%, 11.64% and 17.03% for SLM 2003-10, 2011-3 and 2012-7, respectively. The TTM levels of income-based repayment (IBR; prior to adjustment) are 21.63%, 21.43% and 26.80% for SLM 2003-10, 2011-3 and 2012-7, respectively. These assumptions are used as the starting point in cash flow modeling, and subsequent declines and increases are modeled as per criteria. The borrower benefits are assumed to be approximately 0.18%, 0.15% and 0.04% for SLM 2003-10, 2011-3 and 2012-7, respectively, based on information provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent distribution dates, approximately 88.54%, 99.76% and 99.82% of the student loans in SLM 2003-10, SLM 2011-3 and SLM 2012-7, respectively, are indexed to LIBOR, and the balance of the loans is indexed to the 91-day T-bill rate. The outstanding notes in SLM 2003-10 are indexed to three-month LIBOR. All notes in SLM 2011-3 and SLM 2012-7 are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria.
Payment Structure: Credit enhancement (CE) is provided by over-collateralization (OC), excess spread and for the class A notes, subordination. As of the most recent collection period, the senior parity ratios (including the reserve account) are 111.11% (10.00% CE), 119.63% (16.41% CE) and 111.92% (10.65% CE) for SLM 2003-10, 2011-3 and 2012-7, respectively. The total parity ratios (including the reserve account) are 100.31% (0.31% CE), 106.37% (5.99% CE) and 101.33% (1.31% CE) for SLM 2003-10, 2011-3 and 2012-7, respectively.
Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance. As of the most recent collection period, the reserve accounts are at their floors of
Operational Capabilities: Day-to-day servicing is provided by
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the
This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance.
Current Ratings: class A 'AAAsf'; class B 'Asf'
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'BBBsf' (Credit Stress) / 'Asf' (Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'BBBsf';
Default increase 50%: class A 'AAAsf'; class B 'BBsf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'Bsf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'Asf';
CPR decrease 50%: class A 'AAAsf'; class B 'Asf';
IBR usage increase 25%: class A 'AAAsf'; class B 'Asf';
IBR usage increase 50%: class A 'AAAsf'; class B 'Asf';
Remaining term increase 25%: class A 'AAAsf'; class B 'Asf';
Remaining term increase 50%: class A 'AAAsf'; class B 'Asf'.
Current Ratings: class A 'AAAsf'; class B 'AAAsf'
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'AAAsf';
Default increase 50%: class A 'AAAsf'; class B 'AAAsf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'AAAsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 50%: class A 'AAAsf'; class B 'AAAsf';
Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining term increase 50%: class A 'AAAsf'; class B 'AAAsf'.
Current Ratings: class A 'Bsf'; class B 'Bsf'
Current Model-Implied Ratings: class A 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'CCCsf'; class B 'CCCsf';
Default increase 50%: class A 'CCCsf'; class B 'CCCsf';
Basis spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf';
Basis spread increase 0.50%: class A 'CCCsf; class B 'CCCsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf';
CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf';
IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf';
IBR usage increase 50%: class A 'CCCsf; class B 'CCCsf';
Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf';
Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
Fitch has revised its global economic outlook forecasts as a result of the war in
Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption and thus portfolio performance is uncertain and is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide some support in the near term to households faced with falling real incomes.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible model-implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'BBBsf';
Basis Spread decrease 0.25%: class B 'Asf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'Asf';
IBR usage decrease 25%: class B 'Asf';
Remaining Term decrease 25%: class B 'Asf'.
No upgrade credit or maturity stress sensitivity is provided for either the class A or class B notes, as they are already at their highest possible model-implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class A 'CCCsf'; class B 'CCCsf';
Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'CCCsf'; class B 'CCCsf';
IBR usage decrease 25%: class A 'CCCsf'; class B 'CCCsf';
Remaining Term decrease 25%: class A 'CCCsf'; class B 'CCCsf'.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
PARTICIPATION STATUS
The rated entity (and/or its agents) or, in the case of structured finance, one or more of the transaction parties participated in the rating process except that the following issuer(s), if any, did not participate in the rating process, or provide additional information, beyond the issuer's available public disclosure.
APPLICABLE CRITERIA
Structured Finance and Covered Bonds Interest Rate Stresses Rating Criteria (pub.
Global Structured Finance Rating Criteria (pub.
Structured Finance and Covered Bonds Counterparty Rating Criteria (pub.
APPLICABLE MODELS
Numbers in parentheses accompanying applicable model(s) contain hyperlinks to criteria providing description of model(s).
FFELP SL CF Model, v2.19.3 (1)
ADDITIONAL DISCLOSURES
Dodd-Frank Rating Information Disclosure Form
Solicitation Status
Endorsement Policy
ENDORSEMENT STATUS
SLM Student Loan Trust 2003-10EU Endorsed,UK Endorsed
SLM Student Loan Trust 2011-3EU Endorsed,UK Endorsed
SLM Student Loan Trust 2012-7EU Endorsed,UK Endorsed
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