--Class A-5 affirmed at 'AAAsf'; Outlook Stable;
--Class A-6 downgraded from 'AAAsf' to 'Asf'; removed from Rating Watch Negative and assigned Stable Rating Outlook;
--Class B affirmed at 'Asf'; Outlook Stable.
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 17.25% and a 52.00% default rate under the 'AAAsf' credit stress scenario. The claim reject rate is assumed to be 0.25% in the base case and 2% in the 'AAAsf' case. Fitch applies the standard default timing curve, in its credit cash flow analysis.
Trailing 12 month average constant default rate, utilized in the maturity stresses, is 2.3%. The trailing 12 month average of deferment, forbearance, Income based repayment (before adjustment) and constant prepayment rate (voluntary and involuntary) are 6.3%, 7.3%, 10.8% and 7.9%, 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 0.27%, 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 overcollateralization and excess spread and the class A notes benefit from subordination provided by the class B note. As of the
Maturity Risk: Fitch's SLABS 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.
Operational Capabilities: Day-to-day servicing is provided by Nelnet Inc. Fitch believes Nelnet to be acceptable servicers of FFELP student loans.
'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 'Asf'; class B 'BBBsf'
--Default increase 50%: class A 'Asf'; class B 'BBBsf'
--Basis Spread increase 0.25%: class A 'Asf'; class B 'Asf'
--Basis Spread increase 0.50%: class A 'Asf'; class B 'Asf'
Maturity Stress Rating Sensitivity
--CPR decrease 50%: class A 'AAAsf'; class B '
--CPR increase 100%: class A 'AAAsf'; class B '
--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
No third-party due diligence was provided or reviewed 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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Source: Fitch Ratings