Fitch Ratings has affirmed the ratings on outstanding classes of
RATING ACTIONS
Entity / Debt
Rating
Prior
A 64033DAA6
LT
AAAsf
Affirmed
AAAsf
B 64033DAB4
LT
AAsf
Affirmed
AAsf
A 64033CAA8
LT
AAAsf
Affirmed
AAAsf
B 64033CAB6
LT
AAsf
Affirmed
AAsf
A 64033GAA9
LT
AAAsf
Affirmed
AAAsf
B 64033GAB7
LT
Asf
Affirmed
Asf
Page
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VIEW ADDITIONAL RATING DETAILS
NELF 2004-1: The class A-2 notes are affirmed at 'Bsf' despite not passing Fitch's base case cash flow stresses and in-line with Fitch's (Federal Family Education Loan Program) FFELP criteria. The affirmation is based on historical performance with higher prepayments from increased consolidation activity during the last twelve months, structural considerations (i.e. transaction can be called at 10% pool factor), and potential for sponsor support at maturity. The legal final maturity date of the notes is over seven years away, and the notes have stable credit enhancement with no material changes to the credit or maturity profile since the last review. The Rating Outlook remains Stable.
The sustainable constant default rate (sCDR) assumption was increased to 3.75% and 5.3%, for
KEY RATING DRIVERS
Collateral Performance
Fitch is revising the sCDR upwards to 3.75% from 3.50% and maintaining the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 11.50% in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.00% in the '
The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 4.87% (5.71% at
The TTM levels of deferment, forbearance and IBR are 5.80% (5.90% at
The TTM levels of deferment, forbearance and IBR are 6.92% (6.79% at
NELF 2004-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 11.00% under the base case scenario and a default rate of 33.00% under the '
The TTM levels of deferment, forbearance and IBR are 3.62% (3.80% at
Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the most current reporting period, for
Payment Structure
NELF 2004-1: CE is provided by excess spread and OC. As of the
Operational Capabilities: Day-to-day servicing is provided by
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the
This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread.
The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.
Current Ratings: class A 'AAAsf'; class B 'AAsf'
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress)
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 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf';
Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'.
Current Ratings: class A 'AAAsf'; class B 'AAsf'
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'Asf';
Default increase 50%: class A 'AAAsf'; class B 'BBBsf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf';
Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'.
Current Ratings: class A 'AAAsf'; class B 'Asf'
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'Asf' (Credit Stress)
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 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf';
Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining Term increase 50%: class A 'Asf'; class B 'Asf'.
Current Ratings: class A-2 'Bsf'
Current Model-Implied Ratings: class A-2 'CCCsf' (Credit and Maturity Stress)
The current ratings reflect the risk the senior notes miss their legal final maturity date under Fitch's base case maturity scenario. If the margin by which these classes miss their legal final maturity date increases, or does not improve as the maturity date nears, the ratings may be downgraded further. Additional defaults, increased basis spreads beyond Fitch's published stresses, lower-than-expected payment speed or loan term extension are factors that could lead to future rating downgrades.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining Term decrease 25%: class B 'AAAsf'.
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining Term decrease 25%: class B 'AAAsf'.
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining Term decrease 25%: class B 'AAAsf'.
The current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of credit enhancement from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead positive rating action.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
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.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg.
Additional information is available on www.fitchratings.com
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