Fitch Affirms Academic Loan Funding Trust 2013-1
Despite the affirmation, the issuer did not provide Fitch with collateral data the agency typically requests, and conservative assumptions were implemented. Future lapses in data reporting may impact Fitch's ability to perform its analysis and maintain a rating on the outstanding notes.
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 54.25% and a 100% default rate under the 'AAAsf' credit stress scenario. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The base case default assumption of 54.25% implies a constant default rate of 11.7% (assuming a weighted average life of 4.6 years), higher than the trailing 12-month (TTM) constant default rate (CDR), utilized in the maturity stresses, of 10.3%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case.
The TTM average levels of deferment and forbearance are 10.2% and 19.1%, respectively. Income-based repayment (before adjustment) was not provided by the issuer and the TTM average was assumed to be a conservative 35.0% due to lack of information; Fitch's cash flow model indicates the transaction can withstand IBR levels of up to 45.0%. The constant prepayment rate (voluntary and involuntary) with the above assumptions is 16.7%. Subsequent declines or increases are modelled as per criteria. There are no borrower benefits, as rehabilitated loans are precluded from receiving them.
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 and overcollateralization. Liquidity support is provided by a reserve account currently sized at
Maturity Risk: Fitch's student loan ABS cash flow model indicates that the note is paid in full on or prior to the legal final maturity dates under the commensurate rating scenario.
Operational Capabilities:
CRITERIA VARIATIONS
Under Fitch's criteria 'Rating
Under the Counterparty Criteria for Structured Finance and Covered Bonds, dated
RATING SENSITIVITIES
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.
Fitch has affirmed the following:
--Class A note at 'AAAsf'; Outlook Stable.
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/881705
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1014484
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1014484
Endorsement Policy
https://www.fitchratings.com/regulatory
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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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