Fitch Ratings has affirmed the ratings of all outstanding classes of
The Rating Outlooks for all classes across the two transactions have been maintained.
RATING ACTIONS
Entity / Debt
Rating
Prior
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
Transaction Summary
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'.
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 of 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: For all transactions, after applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, consolidation from the Public Service Loan Forgiveness Program, which ended in
SLM 2011-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 20.00% under the base case scenario and a default rate of 60.00% under the '
The 31-60 DPD and the 91-120 DPD have decreased at
SLM 2012-7: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 38.25% under the base case scenario and a default rate of 100.00% under the '
The TTM levels of deferment, forbearance, and IBR are 5.71% (5.97% at
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 99.78% and 99.86% of the student loans in SLM 2011-3 and SLM 2012-7, respectively, are indexed to LIBOR, with the rest indexed to the 91-day T-bill rate. 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 123.44% (18.99% CE) and 113.83% (12.15% CE) for SLM 2011-3 and 2012-7, respectively. The total parity ratios (including the reserve account) are 106.49% (6.10% CE) and 101.37% (1.36% CE) for SLM 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
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 'AAsf'.
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'
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
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
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