Fitch Ratings has affirmed all outstanding classes of
The Rating Outlook of the A-3 and A-4 classes remain on Negative and the B-2 class remains on Stable.
RATING ACTIONSENTITY/DEBT RATING PRIOR
A-3 64032EAC1
LT AAAsf Affirmed AAAsf
A-4 64032EAD9
LT AAAsf Affirmed AAAsf
B-2 64032EAJ6
LT Asf Affirmed Asf
VIEW ADDITIONAL RATING DETAILS
Transaction Summary
The affirmations of all outstanding classes reflects the stable performance of the transaction since the last review. Class A-3 notes pass the 'AAAsf' credit and maturity stresses with sufficient hard credit enhancement (CE). Class A-4 notes marginally fail to pay in full prior to maturity under the '
The Negative Outlook on class A-3 and A-4 notes stems from Fitch's revision of the
KEY RATING DRIVERS
Collateral Performance: Based on transaction-specific performance to date, Fitch assumed a base case cumulative default rate of 17.50% and a 52.50% default rate under the '
Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of most current servicing report, approximately 99.0% of the student loans are indexed to one-month LIBOR. The balance of the loans is indexed to T-bill. All the notes are currently indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria.
Payment Structure: CE is provided by excess spread, overcollateralization, and for the Series A notes, subordination provided by the Series B notes. As of the most current servicing report, the total parity ratio (including the reserve account) is 100.67%. The senior parity ratio (including the reserve account) is 105.74%. Liquidity support is provided by the reserve fund which is at the floor 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 transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'AAsf';
Default increase 50%: class A 'AAAsf'; class B 'Asf';
Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf';
Basis Spread increase 0.5%: class A 'AAAsf'; class B 'AAsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'Asf'; class B 'AAAsf';
CPR decrease 50%: class A 'BBsf'; class B 'AAAsf';
IBR Usage increase 25%: class A 'Asf'; class B 'AAAsf';
IBR Usage increase 50%: class A 'Asf'; class B 'AAsf';
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 rating sensitivity was performed since the class A notes are rated at the highest rating level of 'AAAsf' and the Fitch calculated total parity for the transaction is less than the required threshold for an upgrade to the rating assigned to the class B notes. If the total parity for the transaction is maintained a level higher than 101%, the class B notes may be upgraded to 'AAsf'.
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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