--Senior class A notes affirmed at 'AAAsf', Outlook Stable;
--Subordinate class B notes upgraded to 'AAAsf' from '
The rating actions reflect the notes' sufficient credit enhancement and passing cash flow stresses at their respective rating levels. The Rating Outlook remains Stable as the notes are performing within expectations.
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 16.5% and a 49.4% 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 constant default rate, utilized in the maturity stress is 3.5%. The trailing 12 month levels of deferment, forbearance, income-based repayment (before adjustment) and constant prepayment rate (voluntary and involuntary) are 5.8%, 4.4%, 15.5%, and 10.1% 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 0.1% 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. As of the
Maturity Risk: Fitch's student loan ABS cash flow model indicates that the 2012-1 notes are paid in full on or prior to their respective legal final maturity in Fitch's 'AAAsf' credit and maturity stresses.
Operational Capabilities: Day-to-day servicing is provided by
Under Fitch's 'Counterparty Criteria for Structured Finance and Covered Bonds', dated
Under Fitch's criteria 'Rating
Since FFELP student loan ABS rely on the
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to Fitch, 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
ABS Due Diligence Form 15E 1
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Source: Fitch Ratings