Fitch Ratings has affirmed the class A and B 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
Page
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
The Negative Rating Outlooks assigned to all 'AAAsf'-rated bonds reflect Fitch's Negative Rating Outlook on the
KEY RATING DRIVERS
Collateral Performance:
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 current reporting, for 2012-4, 2012-5, and 2012-6, respectively, 95.9%, 95.6 and 93.3%, of the trust student loans are indexed to one-month LIBOR (with remainder indexed to 91 day T-bills). All notes pay one-month LIBOR plus a spread. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Payment Structure:
Operational Capabilities: Day-to-day servicing is provided by
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'Asf';
Default increase 50%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf';
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 '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'.
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'AAAsf';
Default increase 50%: class A 'AAAsf'; class B 'AAsf';
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 '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 'Asf'; class B 'AAAsf';
Remaining term increase 50%: class A 'Bsf'; class B 'AAAsf'.
Credit Stress Rating Sensitivity
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 'AAsf'; class B 'CCCsf'.
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 Sensitivity
Default decrease 25%: class A 'AAAsf'; class B 'AAAsf';
Basis spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'AAAsf';' class B 'AAAsf';
IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'AAAsf'; class B 'AAAsf';
Basis spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'AAAsf';' class B 'AAAsf';
IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.
Credit Stress Sensitivity
Default decrease 25%: class A 'AAAsf'; class B 'AAsf';
Basis spread decrease 0.25%: class A 'AAAsf'; class B 'Asf'.
Maturity Stress Sensitivity
CPR increase 25%: class A 'AAAsf';' class B 'AAAsf';
IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';
Remaining term decrease 25%: class A 'AAAsf'; 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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