--Class A downgraded to '
--Class B affirmed at '
The class A notes fail the '
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 23.25% and a 61.00% default rate under the 'AAAsf' credit stress scenario. The base case default assumption of 23.25% implies a constant default rate of 3.6% (assuming a weighted average life of 19.4 years) consistent with the trailing 12 month (TTM) average constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3% in the 'AAAsf' case.
The trailing 12 month average of deferment, forbearance, Income-based repayment (prior to adjustment) and constant prepayment rate (voluntary and involuntary) are 7.1%, 15.2%, 11.1% and 9.2%, respectively, which are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.16%, 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 (CE) is provided by excess spread, overcollateralization and for the class A note, subordination provided by the class B note. 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 their respective legal final maturities.
Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated
'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'; class B 'AAAsf'
--Default increase 50%: class A 'AAAsf'; class B 'Asf'
--Basis Spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf'
--Basis Spread increase 0.50%: class A 'AAAsf'; class B 'AAAsf'
Maturity Stress Rating Sensitivity
--CPR decrease 50%: class A '
--CPR increase 100%: class A 'AAAsf'; class B 'AAAsf'
--IBR Usage increase 100%: class A '
--IBR Usage decrease 50%: class A '
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.
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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