Fitch Affirms Ratings on SLC Student Loan Trust 2007-1 Notes
KEY RATING DRIVERS
Collateral Performance: Fitch assumes a base case default rate of 18.7% and a 56.0% default rate under the '
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 (OC), excess spread and, for the class A notes, subordination. As of
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
RATING SENSITIVITIES
'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 'Asf'
--Default increase 50%: class A 'AAAsf'; class B 'Asf'
--Basis Spread increase 0.25%: class A 'AAAsf'; class B 'Asf'
--Basis Spread increase 0.50%: class A 'AAAsf'; class B 'Asf'
Maturity Stress Rating Sensitivity
--CPR decrease 50%: class A 'BBsf'; class B 'BBsf'
--CPR increase 100%: class A 'AAAsf'; class B 'Asf'
--IBR Usage increase 100%: class A 'Asf'; class B 'Asf'
--IBR Usage decrease 50%: class A 'AAAsf'; class B 'Asf'
It is important to note that the 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.
Fitch has affirmed the following ratings for
--Class A-4 at 'AAAsf'; removed from Rating Watch Negative and assigned a Stable Outlook;
--Class A-5 at 'AAAsf'; removed from Rating Watch Negative and assigned a Stable Outlook;
--Class B at 'Asf'; removed from Rating Watch Negative and assigned a Stable Outlook.
Additional information is available at www.fitchratings.com.
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01
https://www.fitchratings.com/site/re/886006
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub.
https://www.fitchratings.com/site/re/888492
Global Structured Finance Rating Criteria (pub.
https://www.fitchratings.com/site/re/883130
Rating
https://www.fitchratings.com/site/re/889777
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1015917
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1015917
Endorsement Policy
https://www.fitchratings.com/regulatory
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Copyright © 2016 by Fitch Ratings, Inc.,
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Source: Fitch Ratings
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