Fitch Affirms Brazos Higher Education Authority Inc., Series 2011-1; Outlook Stable
--Class A-2 at 'AAAsf'; Outlook Stable;
--Class A-3 at 'AAAsf'; Outlook Stable.
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of approximately 21.7% and a 65.2% default rate under the 'AAAsf' credit stress scenario. The weighted average claim reject rate is assumed to be 0.26% for the base case and 2.05% for the 'AAAsf' case. Fitch applies the standard default timing curve in its credit stress cash flow analysis. Trailing 12 month average constant default rate, utilized in the maturity stresses, is 4.98%. Trailing 12 month levels of deferment, forbearance, Income-based repayment (before adjustment) and constant prepayment rate (voluntary and involuntary) are approximately 8%, 10.7%, 14.2% and 12.1% respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The weighted average borrower benefit is assumed to be approximately 0.19% based on information provided by the sponsor.
Basis and Interest Rate Risk: Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement is provided by overcollateralization and excess spread. In addition, the class A notes benefits from subordination from the class B notes. As of
Maturity Risk: Fitch's student loan ABS cash flow model indicates that the notes are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario.
Servicing Capabilities: Day-to-day servicing is provided by
Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated
Further, transaction documents provide for deposits of collections into trust accounts in two to three business days on average. Since Fitch considers commingling exposure of two business days or less to be immaterial; there is the possibility of commingling exposure that is longer than Fitch's counterparty criteria. Fitch conducted sensitivity to size the impact of the commingling exposure and there is no measurable impact upon the ratings assigned.
RATING SENSITIVITIES
'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the
Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate.
The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables.
Credit Stress Rating Sensitivity
--Default increase 25%: class A 'AAAsf'.
--Default increase 50%: class A 'AAAsf'.
--Basis Spread increase 0.25%: class A 'AAAsf'.
--Basis Spread increase 0.50%: class A 'AAAsf'.
Maturity Stress Rating Sensitivity
--CPR decrease 50%: class A 'AAAsf'.
--CPR increase 100%: class A 'AAAsf'.
--IBR Usage increase 100%: class A 'AAAsf'.
--IBR Usage decrease 50%: class A 'AAAsf'.
The stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance.
DUE DILIGENCE USAGE
Fitch was not provided due diligence information from any third parties.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01
https://www.fitchratings.com/site/re/886006
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub.
https://www.fitchratings.com/site/re/888492
Global Structured Finance Rating Criteria (pub.
https://www.fitchratings.com/site/re/883130
Rating
https://www.fitchratings.com/site/re/889777
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1014864
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1014864
Endorsement Policy
https://www.fitchratings.com/regulatory
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTPS://WWW.FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT 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.
Copyright © 2016 by Fitch Ratings, Inc.,
The information in this report is provided "as is" without any representation or warranty of any kind, and Fitch does not represent or warrant that the report or any of its contents will meet any of the requirements of a recipient of the report. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion and reports made by Fitch are based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings and reports are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating or a report. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at any time for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from
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