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Fitch Rates SMB Private Education Loan Trust 2016-BFitch Ratings assigns ratings to SMB Private Education Loan Trust 2016-B as follows: --$184,000,000 class A-1 notes 'AAAsf'; Outlook Stable; --$259,000,000 class A-2A notes 'AAAsf'; Outlook Stable; --$164,000,000 class A-2B notes 'AAAsf'; Outlook Stable; --$50,000,000 class B notes 'Asf'; Outlook Stable. KEY RATING DRIVERS Strong Collateral Quality: The 2016-B trust pool consists of credit-tested private student loans originated under SMB's private student loan programs and underwritten to the respective guidelines. As of the May 30, 2016 statistical cutoff date, the weighted average (WA) Fair Isaac Corp. (FICO) score at origination was 747; 95% of the loans in the pool were made to four-year schools; 92% of the loans in the pool were co-signed; and none of the loans were more than 30 days past due or involved in a bankruptcy proceeding. Fitch assigned a WA base case default rate of 12.2% for the statistical pool. Additionally, a recovery rate of 13% was applied, based on the data provided by SMB. Sufficient Credit Enhancement (CE): Transaction cash flows were satisfactory under all stressed scenarios at Fitch's 'AAAsf' and 'Asf' rating categories. CE is provided by overcollateralization (OC) and excess spread, and, for class A notes, the subordination of class B notes. The initial CE (including the reserve account) for the senior and subordinate notes is expected to be 19.05% and 12.36%, respectively. Funds cannot be released from the trust unless the OC (excluding the reserve fund) builds up to 30% of the outstanding pool balance or 11% of the initial pool balance, whichever is higher. Adequate Liquidity Support: Liquidity support is provided by a reserve account, which will be fully funded at closing at 0.25% of the initial pool balance and maintained at a balance equal to the lesser of $1,868,916 or the aggregate outstanding balance of the note. As of the statistical cutoff date, approximately 64% of the loans were required to make repayments. Satisfactory Servicing Capabilities: Sallie Mae Bank will service all the loans in the 2016-B trust. Fitch has reviewed the servicing operations of Sallie Mae Bank and considers it to be an effective private student loan servicer. Satisfactory Servicing Capabilities: Sallie Mae Bank will service all the loans in the 2016-B trust. Fitch has reviewed the servicing operations of Sallie Mae Bank and considers it to be an effective private student loan servicer. 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 and/or prepayment speeds than the base case. This will result in a decline in available CE and the remaining loss coverage levels available to the notes. Therefore, note ratings may be susceptible to potential negative rating actions, depending on the extent of the decline in the coverage. Rating sensitivity results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. Rating sensitivity should not be used as an indicator of future rating performance. Key Rating Drivers and Rating Sensitivities are further described in the pre-sale report titled 'SMB Private Education Loan Trust 2016-B', dated July 11, 2016, on www.fitchratings.com. DUE DILIGENCE USAGE No third-party due diligence was provided or reviewed in relation to this rating action. Fitch's analysis of the Representations and Warranties (R&W) of this transaction can be found in SMB Private Education Loan Trust 2016-A - Appendix'. These R&Ws are compared to those of typical R&W for the asset class as detailed in the special report 'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions' dated May 31, 2016. Additional information is available at www.fitchratings.com. Applicable Criteria Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016) https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963 Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016) https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815 Criteria for Servicing Continuity Risk in Structured Finance (pub. 17 Dec 2015) https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=875586 Global Structured Finance Rating Criteria (pub. 27 Jun 2016) https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130 U.S. Private Student Loan ABS (News - Alert) Criteria (pub. 31 Jul 2015) https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868836 Related Research SMB Private Education Loan Trust 2016-B -- Appendix https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884787 Additional Disclosures Dodd-Frank Rating Information Disclosure Form https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1009243 Solicitation Status https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1009243 Endorsement Policy https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31 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/20160721006174/en/ |
