Navient's Latest Private SLABS Refinances 2010 Deal

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Navient is marketing a $700 million private student loan securitization, according to Standard & Poor’s.

Navient Private Education Loan Trust 2015-B is backed partly by loans now held in SLM Private Education Loan Trust 2010-B (73% of the pool); the remainder of the collateral was also originated by Sallie Mae (27% of the pool) but are not currently held in a securitization trust.

Navient acquired the unsecuritized loans from VL Funding and Shenandoah Funding.

Standard & Poor’s has assigned a preliminary ‘AAA’ rating to three tranches of floating-rate notes to be issued by the new securitization trust.

Barclays Capital, Goldman Sachs, and J.P. Morgan Securities are the underwriters.

Borrowers in the combined pool had a weighted average FICO score of 730 at the time of the loan application, and 64.5% of the loans have co-borrowers.

Borrowers used the loans to finance traditional, four-year programs (71.5% of the pool), two-year programs (13.7%), and proprietary and vocational programs (14.8%).

Based on the information that the issuer provided and comparisons to similar loan characteristics over time, S&P expects the default rate on the loans obtained from the 2010 securitization trust to be in the 9.0%-10.0% range and the default rate on the loans acquired from VL Funding and Shenandoah Funding to be in the 38.0%-39.0% range. That results in an overall cumulative default rate in the 17.0%-18.0% range.

The issuer provided data supporting recoveries of approximately 25%, which would reduce cumulative net loss rate to be in the 12.5%-13.5% range.

The three ‘AAA’ tranches benefit 35.89% initial overcollateralization, which S&P expect to reach 40.00% of the current pool balance.

The deal complies with European risk retention rules, according to S&P. Navient, in its role as depositor, will retain a 5% material net economic interest in the transaction. This entire interest in the first loss tranche will be represented by the RC certificate equal to 5% of the initial pool balance issued by the trust and held by the depositor.

The RC certificate will not bear interest and distributions on it, if any, will be made only after the principal balance of each class of notes has been reduced to zero.

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