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.
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.
Fitch has affirmed the following:
--Class A note at 'AAAsf'; Outlook Stable.
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