KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 14.5% and a 43.25% default rate under the 'AAAsf' credit stress scenario. The claim reject rate is assumed to be 0.5% in the base case and 3% in the 'AAAsf' case. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The trailing 12 month (TTM) average constant default rate, utilized in the maturity stresses, is 3.3%. TTM average levels of deferment, forbearance, income-based repayment (before adjustment) and constant prepayment rate (voluntary and involuntary) are 13.6%, 3.7%, 35.1% and 11.1%, 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 0.4%, 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 and overcollateralization. As of the
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. Additionally, Fitch's model indicates that the notes, which follow a mandatory sinking fund redemption schedule as per the trust indenture, adhere to the required principal amounts on the stated redemption dates.
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.
Fitch has affirmed the following ratings:
--Class A-2 note at 'AAAsf'; Outlook Stable;
--Class A-3 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
Source: Fitch Ratings