Fitch Ratings has affirmed the ratings of all classes of
The Rating Outlooks for all classes remain Stable.
RATING ACTIONS
Entity / Debt
Rating
Prior
A 63938GAA7
LT
AA+sf
Affirmed
AA+sf
B 63938GAB5
LT
AA+sf
Affirmed
AA+sf
A 63938JAA1
LT
AA+sf
Affirmed
AA+sf
B 63938JAB9
LT
AA+sf
Affirmed
AA+sf
A 63938QAA5
LT
AA+sf
Affirmed
AA+sf
B 63938QAB3
LT
AA+sf
Affirmed
AA+sf
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
The class B notes pass credit and maturity stresses in cashflow modeling up to 'AAsf'. The model-implied rating is within one rating category of the current rating of 'AA+sf', as permitted by Fitch's Federal Family Education Loan Program (FFELP) rating criteria.
For
The Outlooks on all outstanding notes remain Stable.
The sustainable constant prepayment rate (sCPR) assumption was increased to 8.50%, 7.00%, 8.00%, and 7.00% from 7.50%, 6.00%, 7.50%, and 6.00% for
KEY RATING DRIVERS
Collateral Performance:
Fitch is maintaining the sustainable constant default rate (sCDR) of 5.00% and revising the sCPR upwards to 8.50% from 7.50% in cash flow modeling. The increase in the sCPR is due to prepayments, including from loan consolidation, remaining high despite the end of the Public Service Loan Forgiveness waiver in
The trailing-12-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are 3.35% (3.64% at
Fitch is maintaining the sCDR of 4.00% and revising the sCPR upwards to 7.00% from 6.00% in cash flow modeling. The increase in the sCPR is due to prepayments, including from loan consolidation, remaining high despite the end of the Public Service Loan Forgiveness waiver in
The TTM levels of deferment, forbearance, and IBR are 3.63% (4.32% at
Fitch is maintaining the sCDR of 4.00% and the sCPR of 7.50% in cash flow modeling. 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 1.65% in the 'AA' case.
The TTM levels of deferment, forbearance, and IBR are 3.05% (4.32% at
Fitch is maintaining the sCDR of 4.00% and revising sCPR upwards to 8.00% from 7.50% in cash flow modeling. The increase in the sCPR is due to prepayments, including from loan consolidation, remaining high despite the end of the Public Service Loan Forgiveness waiver in
The TTM levels of deferment, forbearance, and IBR are 2.62% (3.24% at
Fitch is maintaining the sCDR of 4.00% and revising the sCPR upwards to 7.00% from 6.00% in cash flow modeling. The increase in the sCPR is due to prepayments, including from loan consolidation, remaining high despite the end of the Public Service Loan Forgiveness waiver in
These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have decreased and are currently 2.85% for 31 DPD and 1.67% for 91 DPD compared to 4.32% and 2.70% one year ago for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.12%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of the most recent collection period, 93.25%, 94.01%, 94.62%, 95.78%, 94.06% and 94.66% of the student loans in
Payment Structure: CE is provided by over-collateralization (OC), excess spread and for the class A notes, subordination provided by the class B notes. As of the most recent collection period, reported total parity is 104.71% for
Operational Capabilities: Day-to-day servicing is provided by
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
'AA+sf' 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 transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance.
Current Ratings: class A 'AA+sf'; class B 'AA+sf'
Current Model-Implied Ratings: class A 'BBBsf' (Credit Stress) / 'AAsf' (Maturity Stress); class B 'AAsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'BBBsf'; class B 'AAsf';
Default increase 50%: class A 'BBBsf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'BBBsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'BBBsf'; class B 'Asf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'Asf'; class B 'AAsf';
CPR decrease 50%: class A 'Asf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'Asf'; class B 'AAsf';
Remaining term increase 25%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'Asf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'AA+sf'
Current Model-Implied Ratings: class A 'AAsf' (Credit Stress) / 'AA+sf' (Maturity Stress); class B 'AAsf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'Asf'; class B 'AAsf';
Default increase 50%: class A 'Asf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'AAsf'; class B 'AAsf';
Basis spread increase 0.50%: class A 'Asf'; class B 'Asf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AA+sf'; class B 'AAsf';
CPR decrease 50%: class A 'AA+sf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'Asf'; class B 'AAsf';
Remaining term increase 25%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'Asf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'AA+sf'
Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'AA+sf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AA+sf'; class B 'AAsf';
Default increase 50%: class A 'AA+sf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'AA+sf'; class B 'AAsf';
Basis spread increase 0.50%: class A 'AAsf'; class B 'Asf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AA+sf'; class B 'AA+sf';
CPR decrease 50%: class A 'AA+sf'; class B 'AA+sf';
IBR usage increase 25%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 25%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'AAsf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'AA+sf'
Current Model-Implied Ratings: class A 'BBBsf' (Credit Stress) / 'AAsf' (Maturity Stress); class B 'AAsf'(Credit and Maturiy Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'BBBsf'; class B 'AAsf';
Default increase 50%: class A 'BBBsf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'BBBsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'BBBsf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'Asf'; class B 'AAsf';
CPR decrease 50%: class A 'Asf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'Asf'; class B 'AAsf';
Remaining term increase 25%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'Asf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'AA+sf'
Current Model-Implied Ratings: class A 'AAsf' (Credit Stress) / 'AA+sf' (Maturity Stress); class B 'AAsf' (Credit Stress) / 'AA+sf' (Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'Asf'; class B 'AAsf';
Default increase 50%: class A 'Asf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'Asf'; class B 'Asf';
Basis spread increase 0.50%: class A 'Asf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 25%: class A 'AAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'AAsf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'AA+sf'
Current Model-Implied Ratings: class A 'BBBsf' (Credit Stress) / 'AAsf' (Maturity Stress); class B 'AAsf'(Credit and Maturiy Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'BBsf'; class B 'AAsf';
Default increase 50%: class A 'BBsf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'BBBsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'BBsf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'Asf'; class B 'AAsf';
CPR decrease 50%: class A 'BBBsf'; class B 'AAsf';
IBR usage increase 25%: class A 'Asf'; class B 'AAsf';
IBR usage increase 50%: class A 'Asf'; class B 'AAsf';
Remaining term increase 25%: class A 'Asf'; class B 'AAsf';
Remaining term increase 50%: class A 'Asf'; class B 'AAsf'.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
Credit Stress Sensitivity
Default decrease 25%: class A 'Asf'; class B 'AAsf'
Basis Spread decrease 0.25%: class A 'BBBsf'; class B 'AAsf'
Maturity Stress Sensitivity
CPR increase 25%: class A 'AA+sf'; class B 'AA+sf'
IBR usage decrease 25%: class A 'AA+sf'; class B 'AAsf'
Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'AA+sf'; class B 'AAsf'
Basis Spread decrease 0.25%: class A 'AAsf'; class B 'AAsf'
Maturity Stress Sensitivity
CPR increase 25%: class A 'AA+sf'; class B 'AA+sf'
IBR usage decrease 25%: class A 'AA+sf'; class B 'AA+sf'
Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'AA+sf'; class B 'AA+sf'
Basis Spread decrease 0.25%: class A 'AA+sf'; class B 'AA+sf'
Maturity Stress Sensitivity
CPR increase 25%: class A 'AA+sf'; class B 'AA+sf'
IBR usage decrease 25%: class A 'AA+sf'; class B 'AA+sf'
Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'BBBsf'; class B 'AAsf'
Basis Spread decrease 0.25%: class A 'BBBsf'; class B 'AAsf'
Maturity Stress Sensitivity
CPR increase 25%: class A 'AA+sf'; class B 'AA+sf'
IBR usage decrease 25%: class A 'AAsf'; class B 'AAsf'
Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'AAsf'; class B 'AAsf'
Basis Spread decrease 0.25%: class A 'AAsf'; class B 'AAsf'
Maturity Stress Sensitivity
CPR increase 25%: class A 'AA+sf'; class B 'AA+sf'
IBR usage decrease 25%: class A 'AA+sf'; class B 'AA+sf'
Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'BBBsf'; class B 'AAsf'
Basis Spread decrease 0.25%: class A 'BBBsf'; class B 'AAsf'
Maturity Stress Sensitivity
CPR increase 25%: class A 'AAsf'; class B 'AAsf'
IBR usage decrease 25%: class A 'AAsf'; class B 'AAsf'
Remaining Term decrease 25%: class A 'AA+sf'; class B 'AA+sf'.
CRITERIA VARIATION
The ratings of 'AA+sf' for the class A notes of
Downgrades are not warranted due to a temporary interest shortfall of low magnitude that is paid back in the following period along with low maturity risk with legal final maturities in 2083 for all transactions. Had Fitch not applied this variation, according to Fitch's FFELP criteria, the class A notes of
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
The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on Fitch's ESG Relevance Scores, visit https://www.fitchratings.com/topics/esg/products#esg-relevance-scores.
Additional information is available on www.fitchratings.com
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