Fitch Ratings has upgraded class A-4 of
The Rating Outlook is Stable. The upgrade reflects continued improved performance. Class A-5 and class B have been affirmed at 'CCCsf'. In addition, Fitch has maintained the Rating Watch Negative on the class A note for
RATING ACTIONS
Entity / Debt
Rating
Prior
A-4 00432CBX8
LT
BBsf
Upgrade
Bsf
A-5 00432CBY6
LT
CCCsf
Affirmed
CCCsf
B 00432CBZ3
LT
CCCsf
Affirmed
CCCsf
Access Funding 2015-1 LLC
A 00435TAA9
LT
AAAsf
Rating Watch Maintained
AAAsf
B 00435TAB7
LT
AAsf
Affirmed
AAsf
Page
of 1
VIEW ADDITIONAL RATING DETAILS
Transaction Summary
For 2004-2, Class A-3 was paid in full in the first quarter of 2023 and currently, class A-4 is the only senior note receiving principal due to the sequential pay structure amongst class A.
KEY RATING DRIVERS
Collateral Performance: Based on transaction-specific performance to date, Fitch assumed a sustainable constant default rate assumption (sCDR) of 2.0% for 2004-2 and 2.5% for 2015-1 and a sCPR of 6.25% for 2004-2 and 16.0% for 2015-1. The cumulative and effective (after applying Fitch's standard default timing curve) base case and '
The 30-59DPD increased year over year to 1.9% from 1.4% for 2004-2 and 90-119DPD improved to 0.44% from 0.55%. For Acc 2015-1, 30-59DPD improved to 1.7% from 2.09% and 90-119DPD was 0.44% compared with 0.29% for the same time last year.
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 end of the most recent collection period, all trust student loans are indexed to either 91-day T-bill or 30-day Average SOFR plus spread adjustment (SA) and all notes are indexed to either 30-day or 90-day SOFR plus SA.
Payment Structure: Credit enhancement (CE) is provided by excess spread and the class A notes benefit from subordination provided by the class B notes. Acc 2004-2 is not releasing cash as the parity is below 100.2% but Acc 2015-1 is as the specified overcollateralization amount of the greater of 2.25% of the pool balance and
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 transactions face 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 and should not be used as an indicator of possible future performance.
Fitch has revised its global economic outlook forecasts as a result of the war in
Current Rating: Class A-4 'BBsf'; Class A-5 and Class B 'CCCsf'.
Credit Stress Rating Sensitivity
Default increase 25%: class A-4 'BBsf', class A-5 'CCCsf', class B 'CCCsf';
Default increase 50%: class A-4 'BBsf', class A-5 'CCCsf', class B 'CCCsf';
Basis Spread increase 0.25%: class A-4 'BBsf', class A-5 'CCCsf', class B 'CCCsf';
Basis Spread increase 0.5%: class A-4 'BBsf', class A-5 'CCCsf', class B 'CCCsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A-4 'CCCsf', class A-5 'CCCsf', class B 'CCCsf';
CPR decrease 50%: class A-4 'CCCsf', class A-5 'CCCsf', class B 'CCCsf';
IBR Usage increase 25%: class A-4 'Bsf', class A-5 'CCCsf', class B 'CCCsf';
IBR Usage increase 50%: class A-4 'Bsf', class A-5 'CCCsf', class B 'CCCsf';
Remaining Term increase 25%: class A-4 'CCCsf', class A-5 'CCCsf', class B 'CCCsf';
Remaining Term increase 50%: class A-4 'CCCsf', class A-5 'CCCsf', class B 'CCCsf'.
Current Rating: - Class A - 'AAAsf'; Class B - 'AAsf'.
Credit Stress Rating Sensitivity
Default increase 25%: class A 'BBBsf', class B 'Asf';
Default increase 50%: class A 'BBBsf', class B 'Asf';
Basis Spread increase 0.25%: class A 'Asf', class B 'Asf';
Basis Spread increase 0.5%: class A 'Asf', 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 'AAAsf', class B 'AAAsf'.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
Credit Stress Rating Sensitivity
Default decrease 25%: class A-4 'AAAsf', class A-5 'CCCsf', class B 'CCCsf';
Basis Spread decrease 0.25%: class A-4 'AAAsf', class A-5 'CCCsf', class B 'CCCsf'.
Maturity Stress Rating Sensitivity
CPR increase 25%: class A-4 'Asf', class A-5 'CCCsf', class B 'CCCsf';
IBR Usage decrease 25%: class A-4 'Asf', class A-5 'CCCsf', class B 'CCCsf';
Remaining Term decrease 25%: class A-4 'AAAsf', class A-5 'CCCsf', class B 'CCCsf'.
Access Funding 2015-1 LLC
Class A is rated 'AAAsf' and is at its highest attainable rating. Results shown below are for class B.
Credit Stress Rating Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Rating 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.
CRITERIA VARIATION
The rating for class A-4 of 2004-2 is more than one category lower than the lowest model implied rating of 'Asf'. As noted in the FFELP criteria, if the final ratings are different from the model results by more than one rating category, it would constitute a criteria variation. The upgrade is limited as cash flow modelling under the maturity stress indicates that the note is paid in full on the legal final maturity date for ratings of 'BBB' and 'A'. The limited margin of safety on the repayment date expected under those levels of stress is not considerate commensurate with investment-grade ratings. Had Fitch not applied this variation, the notes could have been upgraded to 'Asf'.
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
(C) 2023 Electronic News Publishing, source