Fitch Ratings has affirmed the class A-6 notes and upgraded the class B notes of
RATING ACTIONS
Entity / Debt
Rating
Prior
A-6 92978JAF0
LT
AAAsf
Affirmed
AAAsf
B 92978JAH6
LT
AAsf
Upgrade
Asf
Page
of 1
VIEW ADDITIONAL RATING DETAILS
The affirmation of the class A-6 notes reflects their stable performance and increasing parity level, which can sustain Fitch's 'AAAsf' credit and maturity stresses. The Outlook remains Stable.
The class B notes have been upgraded to 'AAsf' from 'Asf'. The upgrade reflects high and increasing total parity available to the bonds (at 101.07%, as of last reporting date, including the
For this transaction, Fitch modelled transaction-specific servicing fees instead of Fitch's criteria-defined assumption of
KEY RATING DRIVERS
Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 13.75% under the base case scenario and a default rate of 41.25% under the '
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 31-60 DPD and the 91-120 DPD have declined from one year ago and are currently 2.09% for 31 DPD and 0.60% for 91 DPD compared to 3.99% and 0.64% 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
Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread, and for the class A notes, subordination provided by the class B notes. As of
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-6 'AAAsf'; class B 'Asf'
Current Model-Implied Ratings: class A-6 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'AAsf';
Default increase 50%: class A 'AAAsf'; class B 'AAsf';
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 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 'AAsf'; class B 'Asf'.
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-6 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'.
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
(C) 2023 Electronic News Publishing, source