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Fitch Affirms Wisconsin's $764MM Clean Water Rev Bonds at 'AA+'; Outlook Stable

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings affirms its ‘AA+’ rating on the following outstanding bonds issued by the state of Wisconsin (the state):

–$764 million clean water revenue bonds.

The Rating Outlook is Stable.

SECURITY

The bonds are secured by pledged loan repayments, amounts in the reserve and subsidy funds, and other pledged amounts.

KEY RATING DRIVERS

SOLID FINANCIAL STRUCTURE: Fitch’s cash flow modeling demonstrates that the state’s Clean Water Fund Program (CWFP) can continue to pay bond debt service even if there were loan defaults in excess of Fitch’s stress test without causing bond payment interruptions.

STATE OF WISCONSIN EXPOSURE: Significant portions of CWFP’s bond debt service are subsidized by general obligation (GO) bond repayments issued by the state of Wisconsin (GOs rated ‘AA’ with a Stable Outlook by Fitch) and are required to provide 1.0x coverage. This structural reliance on the state to provide subsidies limits the program’s rating to ‘AA+’.

STRONG PORTFOLIO QUALITY WITH INTERCEPT: Borrower loan provisions are strong, with most of loan principal secured by general obligation or water/sewer system revenue pledges. Approximately 67% of the CWFP’s loan portfolio is estimated to be investment grade by Fitch. This is due in part to the program’s ability to intercept state aid payments otherwise due to delinquent borrowers. The state aid intercept reduces the risk of program debt service shortfalls.

HIGH SINGLE-BORROWER CONCENTRATION REMAINS: The pledged pool consists of 187 borrowers, with the top 10 participants representing approximately 73% of the total portfolio. The largest participant, Milwaukee Metropolitan Sewer District (MMSD), represents a significant 31% of the total portfolio. MMSD’s high credit rating (GO debt rated ‘AAA’ with a Stable Outlook) mitigates this concentration risk.

RATING SENSITIVITIES

SIGNIFICANT REDUCTION IN PROGRAM ENHANCEMENT: A measurable decline in pledged resources including quality of invested reserves and loan subsidy from the state could pressure the rating. The Stable Outlook reflects Fitch’s view that these events are not likely to occur.

CREDIT PROFILE

The state issues revolving fund revenue bonds under its leveraged portfolio to fund clean water loans for various governmental entities throughout the state. In addition, the state, through the Department of Administration (DOA), operates separate direct and proprietary loan portfolios for loans also made to governmental entities for clean water projects. The direct loan portfolio is funded from federal capitalization grants, required state match amounts, and recycled loan repayments while the proprietary portfolio is funded from state GO bond proceeds as well as recycled payments. Only loan repayments from the leveraged portfolio are pledged to CWF bondholders. Fitch considers a credit strength the DOA’s ability to sell or exchange loans between portfolios to avoid delinquencies in the leveraged portfolio.

FINANCIAL STRUCTURE EXHIBITS STRONG DEFAULT TOLERANCE

The CWFP’s scheduled loan repayments are projected to provide minimum debt service coverage of 1.0x, which does not include approximately $105 million in pledged reserves. Overall, Fitch calculates the program’s asset strength ratio (PASR) to be 1.2x, which is slightly weaker than Fitch’s median for the state revolving fund (SRF) sector of 1.8x. The PASR includes total scheduled loan repayments and all other pledged resources divided by total scheduled bond debt service.

Fitch’s cash flow modeling demonstrates that the SRF program can continue to pay bond debt service even with hypothetical loan defaults of 100% over the first, middle and last four-year period of the bonds’ life. This is in excess of Fitch’s ‘AAA’ liability stress hurdle of 30% produced by the portfolio stress calculator. The liability stress hurdle is calculated based on overall pool credit quality as measured by the rating of underlying borrowers, size, and loan term. Despite the ability of the program to meet Fitch’s ‘AAA’ liability default hurdle, structural reliance on state subsidies currently limits the program rating to an ‘AA+’.

The state subsidizes approximately 22% of the CWFP’s debt service costs in the form of state GO debt service payments of outstanding bonds purchased for the program. The purchased bonds (and repayments) are held in the subsidy fund by the trustee. This contribution reduces local borrowing costs by allowing a lower yield on the underlying loans than the yield on the bonds. The corpus of the subsidy fund GOs currently totals approximately about $161 million, or about 21% of outstanding bonds, and is available to cure debt service deficiencies if reserve funds are insufficient.

The program’s loan credit reserve fund is sized based on the estimated credit quality of the loan portfolio and is available to cure debt service deficiencies. The state must cure reserve fund shortfalls before additional loan disbursements or bond issuances. In addition, defaulting borrowers must replenish any reserve draws. As of Jan. 28, 2015, the loan credit reserve fund totaled approximately $105.6 million (14% of outstanding bonds), which is slightly greater than the current minimum requirement of $102.3 million.

The reserves are invested in the state’s investment pool, forward-delivery agreements providing for the delivery of U.S. treasury securities, a collateralized repurchase agreement and Wisconsin GO bonds. Pursuant to the CWFP documents, the reserves must be invested with institutions or instruments that are rated at least as high as the rating category on the clean water revenue bonds at the time the funds were initially invested.

STATE AID INTERCEPT PROVISION CONTRIBUTES TO STRONG POOL QUALITY

Fitch estimates that at least 67% of the pool’s loans are to investment-grade borrowers, including borrowers rated off the state’s GO rating by virtue of state aid credit enhancement. In the event a borrower becomes delinquent, the DOA must intercept that entity’s state aid payments – including state-shared revenues paid to cities, villages, and towns – and transportation aid, where available. The CWFP currently asserts priority over other agencies for intercepted funds, which is viewed by Fitch as a structural positive for bondholders. Fitch uses an assumed ‘AA-‘ rating for borrowers meeting Fitch’s state aid intercept criteria in determining the composite portfolio stress hurdle.

The program’s loan security is solid with approximately 64% of loan principal backed by GO pledges and remaining loans backed by water/sewer system revenue pledges. A minimum coverage ratio of 1.1x is required for new revenue-backed loans. Final loan maturity generally does not exceed 20 years, and level debt service schedules are typical, with principal amortization beginning one year after project completion.

Unpaid system fees must be added by municipalities as a special charge to the property tax bill of the delinquent user. Under the individual loan agreements, the DOA may appoint receivers to take over troubled projects. An internal database is used to track compliance. Additionally, each borrower’s audited financials are monitored on an annual basis. To date, there has not been a permanent loan default.

LOAN POOL EXHIBITS MODERATE-TO-HIGH CONCENTRATION

The combined pledged loan pool is composed of approximately 187 loans, with the top 10 obligors representing approximately 73% of the aggregate loan pool. MMSD, the largest borrower, represents about 31% of the total pledged portfolio. Fitch views overall pool concentration as moderate to high. Each of the remaining pool participants represents no more than approximately 4% of the total pool.

The state also presents a degree of concentration risk to the program structure because of its reliance on state subsidies to cover debt service in the form of state GO bond repayments. As of Jan. 28, 2015, expected state subsidy amounts totaled approximately 22% of total debt.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Revenue-Supported Rating Criteria’ (June 16, 2014);

–‘State Revolving Fund and Leveraged Municipal Loan Pool Criteria’ (Oct. 22, 2014) .

Applicable Criteria and Related Research:

Revenue-Supported Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750012

State Revolving Fund and Leveraged Municipal Loan Pool Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=792908

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=979478

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

BondsSecurity Upgrades & DowngradesFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Adrienne M. Booker

Senior Director

+1-312-368-5471

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Major Parkhurst

Director

+1-512-215-3724

or

Committee Chairperson

Jessalynn Moro

Managing Director

+1-212-908-0608

or

Media Relations:

Elizabeth Fogerty, New York, +1 212-908-0526

Email:

elizabeth.fogerty@fitchratings.com […]

Fitch Affirms Nelnet Student Loan Trust 2004-3 Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the senior notes at ‘AAAsf’ and subordinate notes at ‘AA-sf’ issued by Nelnet Student Loan Trust 2004-3. The Rating Outlook remains Stable for the senior and subordinate notes.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of 100% (99.82% Non-Rehab; 0.18% Rehab) of Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch’s opinion, based on the guarantees provided by the transaction’s eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch’s current U.S. sovereign rating is ‘AAA’ with a Stable Rating Outlook.

Sufficient Credit Enhancement: While both the senior and subordinate notes will benefit from overcollateralization (OC; the excess of trust’s asset balance over bond balance) and future excess spread, the senior notes also benefit from subordination provided by the class B note. Fitch gives credit to the reserve fund, which is excluded from the adjusted pool balance once the pool factor is at 40%. The current pool factor is at 27%. As of September 2014, Fitch’s calculated total parity is 100.80% (0.79% CE) and Fitch’s calculated senior parity is 108.38% (7.73% CE). Cash is being released from the trust given that the 100% parity (excluding reserve fund) is maintained.

Adequate Liquidity Support: Liquidity support is provided by a reserve account. The reserve is sized equal to the greater of 0.25% of the pool balance, and $2,011,386.

Acceptable Servicing Capabilities: Nelnet Education Loan Network, Inc. (NELN) is the master servicer. Both Nelnet, Inc. and Navient are the subservicers. Fitch believes NELN, Nelnet, and Navient are acceptable servicers of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, ‘AAAsf’ FFELP ABS ratings will likely move in tandem with the ‘AAA’ U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch’s published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has affirmed the following ratings:

Nelnet Student Loan Trust 2004-3:

–Class A-5 at AAAsf; Outlook Stable Maintained;

–Class B at AA-sf; Outlook Stable Maintained.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (Aug. 4, 2014);

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria'(June 23, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=967836

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch RatingsNelnet Contact:

Fitch Ratings

Primary Analyst

Jeffrey Prackup

Director

+1-212-908-0839

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Tracy Wan

Senior Director

+1-212-908-9171

or

Media Relations

Sandro Scenga

+1 212-908-0278

New York

sandro.scenga@fitchratings.com […]

Fitch: Loan Mod Loss Reporting Not Uniform among U.S. RMBS Servicers

NEW YORK–(BUSINESS WIRE)–

U.S. RMBS servicers are not uniformly reporting losses associated with principal forbearance loan modifications, according to Fitch Ratings in its latest ‘US RMBS Servicer Snapshot’ report.

Fitch found that the timing of realized loss reporting can vary for loan modifications (mods) with principal forbearance. The forborne amount is often reported as a loss at the time of the mod. However, this is not always the case. The loss realization can also be delayed until the loan is liquidated.

Principal forbearance loan mods are important tools in the suite of options available to mortgage loan servicers for working with borrowers through challenging situations. Under a principal forbearance mod, the borrower’s interest-bearing principal balance is reduced, thus lowering the monthly payment. The forborne amount is not forgiven; the borrower is still obligated to repay the full principal amount when the property is sold or the loan is refinanced. If the loan reaches maturity, the forborne amount is required to be repaid as a balloon payment.

Mortgage loans are generally modified under either the federal Home Affordable Modification Program (HAMP) program, or under a ‘proprietary’ mod program outside of HAMP. Fitch estimates that roughly 1.5 million private label RMBS loans were modified between June 2009 and June 2014. Of that amount, approximately one-third received a HAMP mod, with the remaining two-thirds falling under a proprietary program.

The Treasury Department’s guidance for HAMP mods is for servicers to report to the trustee or securities administrator any forborne principal as a realized loss at the time of the loan modification. Fitch has found that servicers generally follow this reporting guidance for HAMP mods, as well as for many proprietary principal forbearance mod programs.

However, servicers may take a different reporting approach with proprietary mods. Instead of reporting the non-interest bearing deferred amounts as a loss at the time of the mod, the loss may be reported at the time the loan is liquidated. Servicers that report forborne loss amounts in this manner for proprietary mods indicated to Fitch that their approach is guided by the pooling and servicing agreement. If the borrower is eventually able to pay off the loan in full (including the forborne principal), a loss may never be reported.

Fitch’s rating analysis of seasoned transactions is governed by several factors. Among them include observed performance, cash flow analysis, deal structure, servicer practices and loss timing. The impact of delayed reporting of forborne principal losses on RMBS is that subordinate bonds do not incur a principal writedown at the time of the mod. This may allow subordinate bonds to remain outstanding longer than if the loss were realized at the time of the mod. However, Fitch believes that the high percentage of distressed ratings on legacy transactions reflect conservative cash flow assumptions and therefore delayed loss recognition will have minimal ratings pressure.

Fitch will continue to monitor servicer approaches to reporting losses related to principal forbearance on proprietary loan modifications and its impact to RMBS transactions.

‘US RMBS Servicer Snapshot’ is available at ‘www.fitchratings.com‘ or by clicking on the link.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

Monthly RMBS Servicer Snapshot

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=846948

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

FinanceInvestment & Company Information Contact:

Fitch Ratings

Natasha Aikins

Director

+1-212-908-0272

Fitch Ratings

33 Whitehall Street

New York, NY 10004

or

Roelof Slump

Managing Director

+1-212-908-0705

or

Media Relations

Elizabeth Fogerty

+1-212-908-0526

New York

elizabeth.fogerty@fitchratings.com

or

Media Relations

Sandro Scenga

+1-212-908-0278

New York

sandro.scenga@fitchratings.com […]

Fitch Rates Citigroup Mortgage Loan Trust 2014-12

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has assigned the following ratings and Rating Outlooks to one group in Citigroup Mortgage Loan Trust 2014-12 Group 3 Securities:

–$32,493,000 class 3A1 ‘BBBsf’; Outlook Stable.

Fitch is not expected to rate the following class:

–$10,127,235 class 3A2.

CMLTI 2014-12 is composed of three groups. Fitch is rating one bond in one of the groups (Bond 3A1 in group 3). Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated group is collateralized with class 6-A-1 from Adjustable Rate Mortgage Trust 2005-7. While the mortgage pool has performed worse than initial expectations, performance has stabilized and improved in recent years.

Fitch’s stressed mortgage pool loss assumption in the ‘BBBsf’ rating scenario is approximately 21% of the underlying pool. Fitch assumes home prices decline 20% below their sustainable levels in a ‘BBBsf’ rating scenario. The principal balances of all subordinate classes of the underlying transaction have been entirely written down and the underlying class has already experienced writedowns.

KEY RATING DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from ‘CCCsf’ to ‘AAAsf’. The ‘CCCsf’ scenario is intended to be the most likely base-case scenario. Rating scenarios above ‘CCCsf’ are increasingly more stressful and have less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the ‘Bsf’ scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the ‘AAAsf’ scenario.

The group-to-bond association for the Fitch-rated group is as follows: Group 3 represents a 54.69% interest in the Adjustable Rate Mortgage Trust 2005-7, Class 6-A-1. Fitch’s ‘BBBsf’ rating for class 3A1 reflects the credit risk of the underlying transaction and the additional subordination provided by the new resecuritization trust. The underlying collateral pool for Adjustable Rate Mortgage Trust 2005-7, class 6-A-1 consists entirely of hybrid ARM mortgage loans. As of Nov. 25, 2014, Fitch estimates the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 716 and an estimated current combined loan-to-value of 82%. The top three state concentrations are California (32%), Florida (11%) and Arizona (8%). Approximately 10% of the remaining pool is delinquent.

For further information, see Citigroup Mortgage Loan Trust 2014-12 Representations and Warranties Appendix, published today.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 2014);

–‘U.S. RMBS Master Rating Criteria,’ (July 2014);

–‘U.S. RMBS Surveillance and Re-REMIC Criteria’ (June 2014);

–‘U.S. RMBS Loan Loss Model Criteria’ (November 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 2014);

–‘U.S. RMBS Cash Flow Analysis Criteria’ (April 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (January 2014);

–‘Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers’ (January 2014).

Applicable Criteria and Related Research: Citigroup Mortgage Loan Trust 2014-12 – Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=845528

U.S. RMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750110

U.S. RMBS Master Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750719

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731747

U.S. RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746027

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

U.S. RMBS Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810788

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=961895

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch RatingsMortgage Loan Contact:

Fitch Ratings

Primary Analyst

Ryan O’Loughlin

Analyst

+1-212-908-0387

Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004

or

Committee Chairperson

Grant Bailey

Managing Director

+1-212-908-0544

or

Media Relations:

Elizabeth Fogerty, +1-212-908-0526

elizabeth.fogerty@fitchratings.com […]

Fitch Rates CSMC Trust Series 2014-11R

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings assigns a rating to one group of CSMC Trust series 2014-11R, a U.S. RMBS resecuritization:

Group 17 Securities

–$5,373,000 class 17-A-1 ‘BBBsf’.

The Rating Outlook is Stable.

Fitch is not expected to rate the following classes:

–$1,632,800 subsequent exchangeable class 17-A-2;

–$816,000 initial exchangeable class 17-A-3;

–$816,800 initial exchangeable class 17-A-4.

CSMC 2014-11R is comprised of 17 groups. Fitch is rating one bond in one of the groups (Bond 17-A-1 in group 17). Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated group is collateralized with class A-2 from Deutsche Alt-A Securities Mortgage Loan Trust series 2007-RAMP1. While the mortgage pool has performed worse than initial expectations, performance has stabilized and improved in recent years.

Fitch’s stressed mortgage pool loss assumption in the ‘BBBsf’ rating scenario is approximately 50% of the underlying pool. Fitch assumes home prices decline 20% below their sustainable levels in a ‘BBBsf’ rating scenario. The principal balances of all subordinate classes of the underlying transaction have been entirely written down. However, the underlying class A-2 benefits from a sequential payment priority that effectively provides approximately 38% subordination for principal recovery in the underlying transaction. The new resecuritization class 17-A-1 benefits from additional credit support of 23.3% as a percentage of the A-2 class (approximately 14% as a percentage of the underlying pool balance).

Ocwen Loan Servicing (Ocwen) is a primary servicer of the underlying mortgage pool. Fitch recently placed Ocwen’s servicer rating on Rating Watch Negative due to concerns raised by the New York State Department of Financial Services (NY DFS). The NY DFS has alleged significant issues with Ocwen’s systems and processes, especially relating to borrower requests for mortgage loan modifications. Ocwen’s increased risk is mitigated by the presence of Wells Fargo Bank, N.A. (Wells Fargo; rated ‘RMS1’ by Fitch) as Master Servicer.

This transaction contains certain classes designated as Initial Exchangeable Securities and another as a Subsequent Exchangeable Securities.

For Group 17, classes 17-A-3 and 17-A-4 are Initial Exchangeable Securities and class 17-A-2 is a Subsequent Exchangeable Security. For the Fitch rated group, interest is paid pro-rata and principal is paid sequentially.

KEY RATING DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from ‘CCCsf’ to ‘AAAsf’. The ‘CCCsf’ scenario is intended to be the most likely base-case scenario. Rating scenarios above ‘CCCsf’ are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the ‘Bsf’ scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the ‘AAAsf’ scenario.

The group-to-bond association for the Fitch-rated group is as follows: Group Seventeen represents a 14.29% interest in the Deutsche Alt-A Securities Mortgage Loan Trust series 2007-RAMP1, Class A-2. Fitch’s ‘BBBsf’ rating for class 17-A-1 reflects the credit risk of the underlying transaction and the additional subordination provided by the new resecuritization trust. The underlying collateral pool for Deutsche Alt-A Securities Mortgage Loan Trust series 2007-RAMP1, class A-2 consists of fixed-rate and hybrid ARM mortgage loans. As of Nov. 25, 2014, Fitch estimates the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 689, an estimated current combined loan-to-value of 98% and a sustainable loan-to-value of 102%. The top three state concentrations are New York (12%), Florida (11%) and New Jersey (9%). Approximately 36.5% of the remaining pool is delinquent.

For further information, see CSMC Series 2014-11R Representations and Warranties Appendix, published December 2nd, 2014.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 2014);

–‘U.S. RMBS Master Rating Criteria,’ (July 2014);

–‘U.S. RMBS Surveillance and Re-REMIC Criteria’ (June 2014);

–‘U.S. RMBS Loan Loss Model Criteria’ (November 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 2014);

–‘U.S. RMBS Cash Flow Analysis Criteria’ (April 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (January 2014);

–‘Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers’ (January 2014).

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=961875

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Ryan O’Loughlin

Analyst

+1-212-908-0387

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Grant Bailey

Managing Director

+1-212-908-0544

or

Media Relations

Elizabeth Fogerty, +1 212-908-0526

elizabeth.fogerty@fitchratings.com […]

Fitch Affirms SLC Student Loan Trust 2005-3 Sr. and Sub. Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the SLC Student Loan Trust 2005-3 senior notes at ‘AAAsf’ and the subordinate note at ‘Asf’. The Rating Outlook remains Stable on both notes.

KEY RATING DRIVERS

High Collateral Quality The trust collateral is comprised of 100% of Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch’s opinion, based on the guarantees provided by the transaction’s eligible guarantors and at least 97% reinsurance of principal and accrued interest provided by the U.S. Department of Education (ED). Fitch currently rates the U.S. sovereign ‘AAA’ with a Stable Rating Outlook.

Sufficient Credit Enhancement

Credit Enhancement is provided by overcollateralization, excess spread and for the class A notes, subordination provided by the class B notes. As of the August 2014 report, the total parity is at its release level of 100.00% and senior parity is at 104.57%. Cash is being released from the trust given the trust has reached its release level threshold.

Adequate Liquidity Support

Liquidity support is provided by a reserve account which is determined as the greater of 0.25% of the pool balance and $1,828,029.

Acceptable Servicing Capabilities:

Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.) is the servicer of the trust’s student loan pool. In Fitch’s opinion, Navient Solutions, Inc. is an acceptable servicer of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, ‘AAAsf’ FFELP ABS ratings will likely move in tandem with the ‘AAA’ U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch’s published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has affirmed the following ratings:

SLC Student Loan Trust Series 2005-3

–Class A-2 notes at ‘AAAsf’; Outlook Stable;

–Class A-3 notes at ‘AAAsf’; Outlook Stable;

–Class A-4 notes at ‘AAAsf’; Outlook Stable;

–Class B note at ‘Asf’; Outlook Stable.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ dated May 20, 2014;

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ dated June 23, 2014.

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=961515

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Lisette Figueroa

+1-212-908-0836

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Committee Chairperson

Tracy Wan

Senior Director

+1-212-908-9171

or

Media Relations:

Elizabeth Fogerty,+1-212-908-0526

elizabeth.fogerty@fitchratings.com […]

Fitch Affirms SLM Student Loan Trust 2003-11 Notes; Outlook Stable

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirm the senior and subordinate notes issued by SLM Student Loan Trust 2003-11 (SLM 2003-11). The Rating Outlook on all outstanding notes remains Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of 100% of Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch’s opinion, based on the guarantees provided by the transaction’s eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch currently rates the U.S. sovereign rating at ‘AAA’, Outlook Stable.

Sufficient Credit Enhancement: CE is provided by overcollateralization, excess spread and for the class A notes, and subordination provided by the class B notes. As of the December 2014 distribution date, total parity is 100% and senior parity is 104.76%. Cash is being released from the trust given the trust has reached its release level threshold of 100% parity.

Adequate Liquidity Support: Liquidity support is provided by a reserve account. The reserve is sized equal to the greater of 0.25% of the pool balance, and $3,008,024.

Acceptable Servicing Capabilities: Navient Solutions, Inc. as the servicer is responsible for the day-to-day servicing of this trust. In Fitch’s opinion, Navient Solutions, Inc. is an acceptable servicer of FFELP student loans.

RATING SENSITIVITIES

Since the FFELP student loan ABS relies on the U.S. government to reimburse defaults, ‘AAAsf’ FFELP ABS ratings will likely move in tandem with the ‘AAA’ U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch’s published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has affirmed the following ratings:

SLM Student Loan Trust 2003-11:

–Class A-5 note at ‘AAAsf’; Outlook Stable;

–Class A-6 note at ‘AAAsf’; Outlook Stable;

–Class A-7 note at ‘AAAsf’; Outlook Stable;

–Class B note at ‘Asf; Outlook Stable.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 20, 2014);

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ (June 23, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=954935

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch RatingsFFELP Contact:

Fitch Ratings

Primary Analyst

Charlene M. Davis

Director

+1-212-908-0213

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Committee Chairperson

Tracy Wan

Senior Director

+1-212-908-9171

or

Media Relations:

Sandro Scenga, New York, +1 212-908-0278

Email:

sandro.scenga@fitchratings.com […]

Fitch Affirms Ratings on SLC Student Loan Trust 2007-2 Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the senior notes at ‘AAAsf’ and subordinate notes at ‘Asf’ issued by SLC Student Loan Trust 2007-2. The Rating Outlook remains Stable for the senior and subordinate notes.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral is comprised of 100% of Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch’s opinion, based on the guarantees provided by the transaction’s eligible guarantors and at least 97% reinsurance of principal and accrued interest provided by the U.S. Department of Education (ED). Fitch’s current U.S. sovereign rating is ‘AAA’ with a Stable Rating Outlook.

Sufficient Credit Enhancement: Total parity is 100% and senior parity is 105.12% for the collection period ending Oct. 31, 2014. Additionally, the class A notes benefit from 4.87% subordination provided by the class B notes. Excess cash can be released from the trust as long as the total parity is maintained at 100%. Fitch expects the senior and total parity to stay at current levels, as the senior and subordinated notes are being paid pro rata after the step-down date, May 25, 2014. The ratings are being affirmed as the senior and subordinate notes pass Fitch’s cash flow stresses at the notes’ current respective ratings.

Adequate Liquidity Support: Liquidity support is provided by a reserve account to be maintained at the specified reserve account balance equal to the greater of 0.25% of the pool balance and $2,550,668.

Acceptable Servicing Capabilities: The loans are serviced by Navient Servicing, which in Fitch’s opinion, is an acceptable servicer of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, ‘AAAsf’ FFELP ABS ratings will likely move in tandem with the ‘AAA’ U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch’s published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has affirmed the following ratings for SLC Student Loan Trust 2007-2:

–Class A-2 at ‘AAAsf’ Outlook Stable;

–Class A-3 at ‘AAAsf’ Outlook Stable;

–Class B at ‘Asf’ Outlook Stable.

Additional information is available at ‘www.fitchratings.com

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (Aug. 4, 2014);

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ (June 23, 2014).

Applicable Criteria and Related Research:

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=952836

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Jeffrey Prackup

Director

+1 212-908-0839

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Tracy Wan

Senior Director

+1 212-908-9171

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Affirms SLM Student Loan Trust 2006-1 Sr. and Sub. Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the senior notes SLM Student Loan Trust 2006-1 at ‘AAAsf’ and subordinate note at ‘AA-sf’. The Rating Outlook remains Stable on both notes.

KEY RATING DRIVERS

High Collateral Quality The trust collateral is comprised of 100% of Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch’s opinion, based on the guarantees provided by the transaction’s eligible guarantors and at least 97% reinsurance of principal and accrued interest provided by the U.S. Department of Education (ED).

Sufficient Credit Enhancement: Credit enhancement (CE) is provided by overcollateralization (OC; the excess of trust’s asset balance over bond balance), excess spread, and for the class A notes, subordination provided by the class B notes. The trust, below the 40% pool factor threshold, can release cash as long as total parity, not including the reserve account, is 100.00%. The trust has been releasing cash and maintaining this parity level. Including the reserve account, total and senior parities are 100.68% and 126.56% respectively.

Liquidity support: Liquidity support for the series 2006-1 notes is provided by a reserve account (greater of 0.25% of the pool balance and $2,502,266). The reserve fund is sized at the floor of $2,502,266 as of September 2014.

Acceptable Servicing Capabilities: Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.) is the servicer of the trust’s student loan pool. In Fitch’s opinion, Navient Solutions, Inc. is an acceptable servicer of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, ‘AAAsf’ FFELP ABS ratings will likely move in tandem with the ‘AAA’ U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch’s published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has affirmed the following ratings:

SLM Student Loan Trust Series 2006-1

–Class A-4 notes at ‘AAAsf’; Outlook Stable;

–Class A-5 notes at ‘AAAsf’; Outlook Stable;

–Class B note at ‘AA-sf’; Outlook Stable.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ dated May 20, 2014;

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ dated June 23, 2014.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=945075

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Lisette Figueroa

+1-212-908-0836

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Committee Chairperson

Steven Stubbs

Senior Director

+1-212-908-0676

or

Media Relations

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Affirms SLC Student Loan Trust 2008-2

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the SLC Student Loan Trust 2008-2 senior notes at ‘AAAsf’ and subordinate note at ‘Asf’. The Rating Outlook remains Stable for both classes.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of 100% Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch’s opinion, based on the guarantees provided by the transaction’s eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The current U.S. sovereign rating is at ‘AAA’ with a Stable Outlook.

Sufficient Credit Enhancement: CE is provided by overcollateralization (OC; the excess of trust’s asset balance over bond balance) and excess spread. Additionally, the senior notes benefit from subordination provided by the class B note. Fitch gives credit to the reserve fund, which is excluded from the adjusted pool balance (APB) once the pool factor is at 40%. The current pool factor is at 34%. As of August 2014, Fitch’s calculated total parity is 101.20% (1.18% CE) and Fitch’s calculated senior parity is 110.98% (9.9% CE). Cash is being released from the trust given that the specified OC amount (0.75% of APB) is maintained.

Adequate Liquidity Support: Liquidity support is provided by a reserve account. The reserve is sized equal to the greater of 0.25% of the pool balance, and $3,072,877.

Acceptable Servicing Capabilities: Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.), as servicer, will be responsible for servicing the portfolio. Fitch has reviewed the servicing operations of Navient Solutions and believes it to be acceptable servicer of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS rely on the U.S. government to reimburse defaults, ‘AAAsf’ FFELP ABS ratings will likely move in tandem with the ‘AAA’ U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch’s published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has affirmed the following:

SLC Student Loan Trust 2008-2:

— Class A-2 at ‘AAAsf’; Outlook Stable;

— Class A-3 at ‘AAAsf’; Outlook Stable;

— Class A-4 at ‘AAAsf’; Outlook Stable;

— Class B at ‘Asf’; Outlook Stable.

Additional information is available at ‘www.fitchratings.com‘.

Applicable Criteria and Related Research:

— ‘Global Structured Finance Rating Criteria’ (May 20, 2014);

— ‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ (June 23, 2014);

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria – Effective from 20 May 2014 to 4 August 2014
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Additional Disclosure

Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=938735

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY’S PUBLIC WEBSITE ‘WWW.FITCHRATINGS.COM‘. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH’S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE ‘CODE OF CONDUCT’ SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings, Inc.

Primary Analyst

Paul Jiang, +1-212-908-9120

Analyst

33 Whitehall St.

New York, NY 10004

or

Committee Chairperson

Tracy Wan, +1-212-908-9171

Senior Director

or

Media Relations, New York

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com […]