--Class A note affirmed at 'AAAsf'; Outlook Stable;
--Class B note upgraded to 'AAAsf' from '
The actions are due to the notes passing Fitch's credit and maturity stresses at the commensurate rating level. The upgrade is also based on sufficient hard credit enhancement that lessens the subordinate note's dependency on excess spread.
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 12.50% and a 37.50% default rate under the 'AAAsf' credit stress scenario. The base case default assumption of 12.50% implies a constant default rate of 3.5% (assuming a weighted average life of 3.5 years), lower than the trailing 12-month (TTM) constant default rate, utilized in the maturity stresses, of 5.3%. 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% in the 'AAAsf' case.
The TTM average levels of deferment, forbearance, income-based repayment (before adjustment) and constant prepayment rate (voluntary and involuntary) are 7.4%, 3.7%, 12.6% and 12.1%, respectively, which are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.08%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this trust as per the agency's criteria.
Payment Structure: Credit Enhancement (CE) is provided by excess spread, overcollateralization, and for the class A note, subordination of the class B note. As of the
The interest paid on the principal of the class B notes (1-month LIBOR + 4.24%) is split into a 'current interest portion' (1-month LIBOR + 1.85%, which is paid before any principal distributions in the flow of funds) and a 'deferred interest portion' (a fixed rate of 2.39% per annum). The 'deferred interest portion' is paid only after the class A notes have been paid in full and all but
Maturity Risk: Fitch's student loan ABS cash flow model indicates that the notes, in addition to the deferred interest on the class B notes, are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario.
Operational Capabilities: Day-to-day servicing is provided by
Under Fitch's criteria 'Rating
Under the Counterparty Criteria for Structured Finance and Covered Bonds, dated
Since the FFELP student loan ABS relies on the
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.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub.
Global Structured Finance Rating Criteria (pub.
Dodd-Frank Rating Information Disclosure Form
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Source: Fitch Ratings