Fitch Ratings has affirmed the ratings on all outstanding classes of
The Rating Outlooks on the class A notes of
RATING ACTIONS
Entity / Debt
Rating
Prior
A 64032YAA1
LT
AAAsf
Affirmed
AAAsf
B 64032YAB9
LT
AAsf
Affirmed
AAsf
A 64033AAA2
LT
AAAsf
Affirmed
AAAsf
B 64033AAB0
LT
AAsf
Affirmed
AAsf
A 64033BAA0
LT
AAAsf
Affirmed
AAAsf
B 64033BAB8
LT
AAsf
Affirmed
AAsf
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VIEW ADDITIONAL RATING DETAILS
The sustainable constant default rate (sCDR) assumptions were increased to 5.00% and 3.50% from 4.50% and 3.00% for
KEY RATING DRIVERS
Collateral Performance: For all transactions, after applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, consolidation from the Public Service Loan Forgiveness Program is driving the short-term inflation of CPR, and the claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAAsf' case.
Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the
Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and, for the class A notes, subordination provided by the class B notes. 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
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 'BBBsf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBsf';
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';
Remaining Term increase 25%: class A 'AAAsf'; class B 'AAsf';
Remaining Term increase 50%: class A 'AAAsf'; class B 'AAsf'.
Current Ratings: class A 'AAAsf'; class B 'AAsf'
Current Model-Implied Ratings: class A '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 'Asf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAsf';
Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf';
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';
Remaining Term increase 25%: class A 'Asf'; class B 'AAsf';
Remaining Term increase 50%: class A 'BBsf'; class B 'AAsf'.
Current Ratings: class A 'AAAsf'; class B 'AAsf'
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'Asf' (Credit Stress)
Default increase 25%: class A 'AAAsf'; class B 'BBBsf'
Default increase 50%: class A 'AAAsf'; class B 'BBBsf'
Basis spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf'
Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBsf'
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf'
CPR decrease 50%: class A 'AAAsf'; class B 'AAsf'
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf'
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf'
Remaining Term increase 25%: class A 'AAAsf'; class B 'AAsf';
Remaining Term increase 50%: class A 'AAAsf'; class B 'AAsf'.
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 'AAsf';
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'.
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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