Fitch has affirmed the outstanding notes of
Entity / Debt
VIEW ADDITIONAL RATING DETAILS
In affirming SLM 2012-1 at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as the time to maturity of the senior series A-3 notes (
KEY RATING DRIVERS
Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 26.50% under the base case scenario and a 79.50% default rate under the '
Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments and the securities. The majority of the loans are indexed to LIBOR. All notes for SLM 2012-1 indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and for the class A notes, subordination. As of
Operational Capabilities: Day-to-day servicing is provided by
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 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.
Credit Stress Rating Sensitivity
Default increase 25%: class A 'CCCsf'; class B 'Asf';
Default increase 50%: class A 'CCCsf'; class B 'BBBsf';
Basis Spread increase 0.25%: class A 'CCCsf'; class B 'Asf';
Basis Spread increase 0.5%: class A 'CCCsf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'CCCsf'; class B 'AAsf';
CPR decrease 50%: class A 'CCCsf'; class B 'Asf';
IBR Usage increase 25%: class A 'CCCsf'; class B 'AAsf';
IBR Usage increase 50%: class A 'CCCsf'; class B 'AAsf'.
Remaining Term increase 25%: class A 'CCCsf'; class B 'BBBsf';
Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'.
Fitch has revised its global economic outlook forecasts as a result of the war in
Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption is uncertain, but is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide support in the near term to households faced with falling real incomes.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Credit Stress Rating Sensitivity
Default decrease 25%: class A 'CCCsf'; class B 'AAAsf';
Basis Spread decrease .25%: class A 'CCCsf'; class B 'AAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'CCCsf'; class B 'AAAsf';
IBR usage decrease 25%: class A 'CCCsf'; class B 'AAAsf';
Remaining Term decrease 25%: class A 'CCCsf'; class B 'AAAsf'.
The current ratings assigned to the trust are most sensitive to Fitch's maturity risk scenario; therefore, an extension of the legal final maturity date of the senior notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling and result in positive rating pressure. Additional secondary factors that may lead to a positive rating action are: material increases in the payment rate and/or a material reduction in the weighted average remaining loan term.
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.
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