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Fitch Rates Dryden 37 Senior Loan Fund/LLC

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings assigns the following rating and Rating Outlook to Dryden 37 Senior Loan Fund/LLC:

–$320,000,000 class A notes ‘AAAsf’; Outlook Stable.

Fitch does not rate the class B, C, D, E, F or subordinated notes.

TRANSACTION SUMMARY

Dryden 37 Senior Loan Fund (the issuer) and Dryden 37 Senior Loan Fund LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Prudential Investment Management, Inc. (Prudential). Net proceeds from the issuance of notes will be used to purchase a portfolio of approximately $500 million of leveraged loans. The CLO will have a four-year reinvestment period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for class A, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the ‘AAAsf’ stress scenario. The level of CE for the class A notes is below the average for recent CLO issuances; however, cash flow modeling indicates performance in line with other ‘AAAsf’ rated CLO notes.

‘B+/B’ Asset Quality: The average credit quality of the indicative portfolio is ‘B+/B’, which is slightly better than that of recent CLOs. Issuers rated in the ‘B’ rating category denote relatively weak credit quality; however, in Fitch’s opinion, the class A notes are unlikely to be affected by the foreseeable level of defaults. The class A notes are robust against default rates of up to 57.4%.

Strong Recovery Expectations: The indicative portfolio consists of 96.4% first-lien senior-secured loans. Approximately 89.5% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of ‘RR2’ or higher, resulting in a base case recovery assumption of 76.1%. In determination of the class A note rating, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stress assumptions. The analysis of Dryden 37 class A notes assumed a 34.7% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

Fitch evaluated the structure’s sensitivity to the potential variability of key model assumptions including decreases in weighted average spread or recovery rates and increases in default rates or correlation. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A-sf’ and ‘AAAsf’ for the class A notes.

Sources of information used to assess these ratings were provided by the arranger, J.P. Morgan Securities LLC, and the public domain.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, which will be available shortly to investors on Fitch’s website at ‘www.fitchratings.com‘.

For more information about Fitch’s comprehensive subscription service FitchResearch, which includes all presale reports, surveillance and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at ‘webmaster@fitchratings.com‘.

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

Applicable Criteria & Related Research:

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

–‘Global Rating Criteria for Corporate CDOs’ (July 25, 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Dec. 19, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753057

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981238

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.

Investment & Company InformationFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Aaron Hughes

Director

+1-312-368-2074

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Cristina Feracota

Associate Director

+1-312-606-2300

or

Committee Chairperson

Derek Miller

Senior Director

+1-312-368-2076

or

Media Relations:

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Affirms SLM 2007-7 and SLM 2014-2 Trusts

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed at ‘AAAsf’ the senior notes issued by SLM Student Loan Trust 2007-7 and SLM Student Loan Trust 2014-2. In addition, Fitch affirms the subordinate notes for both trusts. The Rating Outlook remains Stable for both classes.

Under certain stress scenarios, SLM Student Loan Trust 2007-7’s class A-3 note misses its legal final maturity on April 25, 2017 based on Fitch’s cash flow runs. In such scenarios, this could result in a technical default where the note misses its maturity date although Fitch would expect ultimate repayment of full principal and interest shortly thereafter. Also, recent servicing agreement amendments dated Jan. 22, 2015 allow Navient Solutions (Navient) to make optional purchase up to 10% of the initial pool balance, which if exercised would help meet the maturity date.

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 ‘AAA’ with a Stable Outlook.

Sufficient Credit Enhancement (CE): While both the senior and subordinate notes will benefit from overcollateralization (OC) and future excess spread, the senior notes also benefit from subordination provided by the class B note. As of December 2014, total parity is 100% and senior parity is 107.72% (7.16% CE) for SLM 2007-7; 101.01% (1% CE) and 104.15% (3.98% CE) for SLM 2014-2. Cash will be released from both trusts given that the specified OC amount is maintained. For SLM 2007-7, the target is 100% total parity; for SLM 2014-2 the target is the greater of 1% of the adjusted pool balance or $1.25 million.

Adequate Liquidity Support: Liquidity support for the notes is provided by a reserve account. The reserve for SLM 2007-7 is sized equal to the greater of 0.25% of the pool balance and $1,951,617; for SLM 2014-2, the reserve is sized equal to the greater of 0.50% of the pool balance and $995,345. On or after the April 2015 distribution date, the specified reserve requirement is reduced to 0.25% of the pool balance and $995,345.

Acceptable Servicing Capabilities: Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.), as servicer, will be responsible for servicing both trusts. 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.

A comparison of the transaction’s representations, warranties, and enforcement mechanisms (RW&Es) to those of typical RW&Es for FFELP asset-backed securities is available in the presale appendix. This presale appendix and Fitch’s special report on ‘Representations, Warranties, and Enforcement Mechanisms on Global Structured Finance Transactions,’ may be accessed via the links provided below.

Fitch has taken the following rating actions:

SLM Student Loan Trust 2007-7:

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

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

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

SLM Student Loan Trust 2014-2:

–Class A-1 affirmed at ‘AAAsf’; Outlook Stable;

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

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

–Class B affirmed at ‘A+sf’; 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);

–‘SLM Student Loan Trust 2014-2 — Appendix’ (Mar. 17, 2014);

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ (October 31, 2014).

–‘Fitch Comments on SLM Omnibus Amendment to Servicing Agreements’ (Jan. 22, 2015).

Applicable Criteria and Related Research:

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

SLM Student Loan Trust 2014-2 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=741220

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=981234

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 InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Paul Jiang

Associate Director

+1 212-908-9120

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, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Affirms Nelnet Student Loan Trust 2007-2 Senior & Sub Notes; Outlook Stable

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms the Nelnet Student Loan Trust 2007-2 senior notes at ‘AAAsf’ and the subordinate notes at ‘Asf’. The Rating Outlook remains Stable for both classes.

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 reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch rates the U.S. sovereign government at ‘AAA’ with Outlook Stable.

Sufficient Credit Enhancement: CE is provided by overcollateralization (OC; the excess of trust’s asset balance over bond balance) and excess spread, and for the senior notes, subordination of the class B notes. As of November 2014, total parity is 100.13% (0.13% CE) and senior parity is 109.96% (9.06% CE). The trust has been releasing cash.

Adequate Liquidity Support: Liquidity support is provided by a Debt Service Reserve Fund sized at the greater of 0.25% of the pool balance and $2,201,253, currently equal to the floor.

Acceptable Servicing Capabilities: National Education Loan Network, as master servicer, and Nelnet Inc, as subservicer, are responsible for day-to-day servicing of the trust. Fitch believes both National Education Loan Network and Nelnet Inc. to be acceptable servicers 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:

Nelnet Student Loan Trust 2007-2:

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

–Class A-4 AR-1 at ‘AAAsf’; Outlook Stable

–Class A-4 AR-2 at ‘AAAsf’; Outlook Stable;

–Class B1 at ‘Asf’; Outlook Stable;

–Class B1 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);

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ (Oct. 31, 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

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981221

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 InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst:

Eric Orenstein, +1-212-908-0245

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson:

Tracy Wan, +1-212-908-9171

Senior Director

or

Sandro Scenga, +1-212-908-0278

Media Relations, New York

sandro.scenga@fitchratings.com […]

Fitch Affirms Nelnet Student Loan Trust 2012-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms Nelnet Student Loan Trust 2012-1’s senior and subordinate notes at ‘AAAsf’ and ‘AAsf’, respectively. The Rating Outlooks remain Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans (including 10.3% of rehabilitated loans as of January 2015) with guaranties provided by 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 Outlook.

Sufficient Credit Enhancement (CE): 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. As of January 2015, senior and total parities are at 104.79% and 101.40% respectively. The trust is currently releasing cash at its cash release level of the greater of 1.38% OC and $2,000,000.

Adequate Liquidity Support: Liquidity support is provided by a Reserve Fund sized at the greater of 0.25% of the principal balance of the notes and 0.10% of the original principal balance of the notes ($343,900). The Reserve Fund is sized at $594,373 as of January 2015.

Acceptable Servicing Capabilities: National Education Loan Network, Inc. is the Master Servicer, with Nelnet, Inc. acting as subservicer. Fitch believes National Education Loan Network, Inc. and Nelnet, Inc. to be acceptable servicers 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 CE driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Initial Key Rating Drivers and Rating Sensitivities are further described in the presale report titled ‘Nelnet Student Loan Trust 2012-1 (US ABS)’, dated May 2, 2012.

Fitch has affirmed the following:

Nelnet Student Loan Trust 2012-1:

–Class A at ‘AAAsf’; Outlook Stable.

–Class B at ‘AAsf’; Outlook Stable.

A comparison of the transaction’s Representations, Warranties & Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is available by accessing the appendix that accompanies the initial Presale Report. Please refer to ‘Nelnet Student Loan Trust 2012-1 – Appendix’, published on May 2, 2012 at www.fitchratings.com.

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);

–‘Nelnet Student Loan Trust 2012-1 (US ABS)’ (May 2, 2012);

–‘Nelnet Student Loan Trust 2012-1 – Appendix’ (May 2, 2012);

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ (April 17, 2012).

Applicable Criteria and Related Research:

Nelnet Student Loan Trust 2012-1 (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678369

Nelnet Student Loan Trust 2012-1 – Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678416

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

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980826

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 InformationFitch RatingsNelnet, Inc. Contact:

Fitch Ratings

Primary Analyst

Harry Kohl

Associate Director

+1 212-908-0837

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Tracy Wan

Senior Director

+1 212-908-9171

or

Media Relations, New York

Sandro Scenga

+1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Assigns Final Ratings to Citigroup Mortgage Loan Trust 2015-2

NEW YORK–(BUSINESS WIRE)–

Link to Fitch Ratings’ Report: Citigroup Mortgage Loan Trust 2015-2 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863049

Fitch Ratings has assigned the following ratings and Outlooks to two groups in Citigroup Mortgage Loan Trust 2015-2:

Group 1 Securities

–$75,728,000 class 1A1 ‘BBBsf’; Outlook Stable;

–$77,368,033 initial exchangeable class 1A2 not rated;

–$9,678,000 subsequent exchangeable class 1A3 ‘BBsf’; Outlook Stable;

–$9,072,000 subsequent exchangeable class 1A4 ‘Bsf’; Outlook Stable;

–$58,618,033 subsequent exchangeable class 1A5 not rated;

–$18,750,000 subsequent exchangeable class 1A6 ‘Bsf’; Outlook Stable;

–$43,964,000 subsequent exchangeable class 1A7 not rated;

–$14,654,033 subsequent exchangeable class 1A8 not rated.

Group 2 Securities

–$26,758,000 class 2A1 ‘BBBsf’; Outlook Stable;

–$12,569,031 class 2A2 not rated.

CMLTI 2015-2 is comprised of five groups. Fitch is rating five bonds from two of the groups. Two of the rated classes are the most senior tranche while the other three are subsequent exchangeable securities from group 1. 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 groups are collateralized with a senior class from Alt-A transactions issued from 2006 to 2007. Collateral performance has shown improvement over the past few years. The underlying pools have exhibited significant declines in the percentage of loans seriously delinquent. Also, the percentage of loans transitioning from current to delinquent has slowed as well.

For the Fitch rated groups, interest is paid pro-rata and principal is paid sequentially. Realized losses are applied reverse 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 groups, 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 Fitch rated bonds would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

Based on the collateral composition of the Group 1 underlying pool, Fitch assumed a base-case scenario expected loss (XL) of 34%. In the rating stress scenarios, Fitch assumed a ‘BBBsf’ XL of 51.33%, a ‘BBsf’ XL of 45.53% and a ‘Bsf’ XL of 40.13. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a ‘BBBsf’ rating is 50.54%, a ‘BBsf’ rating is 44.21% and a ‘Bsf’ rating is 38.29%. The lower CE compared to the XL is due to the underlying deal structure, which allows for excess spread.

Based on the collateral composition of the Group 2 underlying pool, Fitch assumed a base-case scenario XL of 20%. In the rating stress scenarios, Fitch assumed a ‘BBBsf’ XL of 33.8%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran the loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a ‘BBBsf’ rating is 31.96%. The lower CE compared to the XL is due to the underlying class, which still had roughly 3.5% of CE.

Fitch is assigning the ratings based on underlying pool collateral composition, the results of its cashflow analysis, review of final structure and supporting deal documents.

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 groups are as follows:

–Group 1 represents a 100% interest in the Lehman XS Trust, Series 2007-7N class 2A1A;

–Group 2 represents a 20.70% interest in the Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR15 Trust Class 1A.

Additional information is available in the ‘Citigroup Mortgage Loan Trust 2015-2 Representations and Warranties Appendix, published Feb. 27 and available at ‘www.fitchratings.com‘.

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’ (December 2014);

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

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance and Covered Bonds

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Structured Finance Rating Criteria

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

U.S. RMBS Master Rating Criteria

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

U.S. RMBS Surveillance and Re-REMIC Criteria

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

U.S. RMBS Cash Flow Analysis Criteria

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

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 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=980536

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 InformationFitch 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

Secondary Analyst

Grant Bailey

Managing Director

+1-212-908-0544

or

Committee Chairperson

Rui Pereira

Managing Director

+1-212-908-0766

or

Media Relations:

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

sandro.scenga@fitchratings.com […]

Fitch Rates KHESLC 2015-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings assigns the following rating to the Kentucky Higher Education Student Loan Corporation series 2015-1 (KHESLC 2015-1) student loan asset-backed notes:

–$134,605,000 2015-1 notes ‘AAAsf’; Outlook Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of Federal Family Education Loan Program (FFELP) loans, including approximately 50.2% of rehab loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest.

Sufficient Credit Enhancement: Cash flow scenarios for class A notes were satisfactory under Fitch stresses. At closing, total parity is expected to be 104.0%. Total credit enhancement (CE) is provided by overcollateralization (OC) and excess spread.

Adequate Liquidity Support: Liquidity support for the 2015-1 notes is provided by a $336,513 reserve fund and a $3.5 million capitalized interest account both of which will be funded with note proceeds at closing.

Acceptable Servicing Capabilities: KHESLC will service the entire 2015-1 portfolio, and Nelnet Servicing LLC will be the backup servicer. Fitch believes that both servicers 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. For further discussion of Fitch’s sensitivity analysis, please see the presale titled ‘KHESLC 2015-1’, dated Feb. 5, 2015.

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

Applicable Criteria and Related Research:

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

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

–‘Representations, Warranties and Enforcement Mechanism in Global Structure Finance Transactions’ (October 2014).

Applicable Criteria and Related Research:

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

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=980439

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 InformationFitch Ratingsstudent loan Contact:

Fitch Ratings

Primary Analyst

Nicole Edwards, +1-212-908-9114

Director

Fitch Ratings, Inc.

33 Whitehall

New York, NY 10004

or

Secondary Analyst

Harry Kohl, +1-212-908-0837

Associate Director

or

Committee Chairperson

Tracy Wan, +1-212-908-9171

Senior Director

or

Media Relations

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

sandro.scenga@fitchratings.com […]

Fitch Rates Navient Student Loan Trust 2015-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings assigns ratings to Navient Student Loan Trust 2015-1 as follows:

–$343,600,000 class A-1 notes ‘AAAsf’; Outlook Stable;

–$629,700,000 class A-2 notes ‘AAAsf’; Outlook Stable;

–$26,700,000 class B notes ‘A+sf’; Outlook Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of Federal Family Education Loan Program (FFELP) loans, including approximately 15.1% of rehab loans, with guaranties provided by 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. at ‘AAA’/Stable.

Sufficient Credit Enhancement: Cash flow scenarios for the class A and B notes were satisfactory under Fitch’s ‘AAAsf’ and ‘A+sf’ stresses, respectively. Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and, for the class A notes, approximately 2.67% of subordination provided by the class B notes. A target OC amount equal to the greater of 1.50% of the adjusted pool balance and $3.0 million must be met before excess cash can be released.

Adequate Liquidity Support: Liquidity support is provided by a reserve account sized at 1.65% of the initial student loan balance which is funded at closing. The required reserve account balance for any distribution dates prior to May 25, 2016 (the step-down date) is 1.65% of the current student loan balance. Thereafter, the requirement will be the greater of 0.25% of the current student loan balance and 0.10% of the initial student loan balance.

Acceptable Servicing Capabilities: Navient Solutions, Inc. (formerly known as Sallie Mae, Inc.) will service 100% 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 CE driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Key Rating Drivers and Rating Sensitivities are further described in the pre-sale report titled ‘Navient Student Loan Trust 2015-1’, and for a further discussion on the representations, warranties, and enforcement mechanisms available to investors in this transaction, please see the related presale appendix, dated Feb. 12, 2015, available on www.fitchratings.com, or by clicking on the link.

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

Applicable Criteria and Related Research:

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

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

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ (October, 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

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980410

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.

FinanceFinancial AidFitch Ratingsstudent loan Contact:

Fitch Ratings

Primary Analyst

Nicole Edwards

Director

+1 212-908-9114

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Secondary Analyst

Victoria Ohorodnyk

Director

+1 212-908-0866

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 Nelnet Student Loan Trust 2014-2 Notes; Outlook Stable

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms all outstanding notes issued from Nelnet Student Loan Trust 2014-2 (Nelnet 2014-2). 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, including approximately 24.77% of rehabilitated 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 (OC; the excess of trust’s asset balance over bond balance) and excess spread. As of the December 2014 collection period, total parity is 101.27% and senior parity is 105.07%. Currently, cash is being released as the trust has reached the target OC release level of the greater of 1.25% of the adjusted pool balance and $2,000,000.

Adequate Liquidity Support: is provided by a $2.362 million reserve account as of the December 2014 collection period. On or after the August 2015 distribution date, the specified reserve requirement account will be sized at 0.25% of outstanding notes with $509,000 floor.

Acceptable Servicing Capabilities: As of December 2014, Nelnet, Inc. services approximately 65.01% of the 2014-2 portfolio. Pennsylvania Higher Education Assistance Agency (PHEAA) (14.65%), Xerox Education Services, LLC (12.67%), and Great Lakes Education Loan Services Inc. (GLESI) (7.67%) service the remaining portion of the portfolio. In Fitch’s opinion, all servicers are acceptable servicers of FFELP student loans.

RATING SENSITIVITIES

Since 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 affirms the following:

Nelnet Student Loan Trust 2014-2:

–Class A-1 notes at ‘AAAsf’; Outlook Stable;

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

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

–Class B notes at ‘A+sf’; Outlook Stable.

A comparison of the transaction’s representations, warranties, and enforcement mechanisms (RW&Es) to those of typical RW&Es for FFELP asset-backed securities is available in the presale appendix. This presale appendix and Fitch’s special report on ‘Representations, Warranties, and Enforcement Mechanisms on Global Structured Finance Transactions,’ may be accessed via the links provided below.

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);

–‘Nelnet Student Loan Trust 2014-2 – Appendix’ (March 3, 2014);

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions’ (Oct. 31, 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

Nelnet Student Loan Trust 2014-2 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=738836

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=799248

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980267

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 InformationFitch Ratings 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

+1-212-908-0278

New York

sandro.scenga@fitchratings.com […]

Fitch Upgrades SLM Student Loan Trust 2013-2 Sub Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms the ‘AAAsf’ rating on the senior notes and upgrades to ‘AAsf’ from ‘A+sf’ the subordinate notes issued by SLM Student Loan Trust 2013-2. The Rating Outlook remains Stable for the senior and subordinate notes. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

High Collateral Quality: The 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 ‘AAA’ with a Stable Outlook.

Sufficient Credit Enhancement (CE): While both the senior and subordinate notes will benefit from overcollateralization (OC; the excess of trust’s asset balance over bond balance) and excess spread, the senior notes also benefit from subordination provided by the class B note. As of January 2015, total parity is 101.01% (1.00% CE) and senior parity is 104.64% (4.44% CE). Cash is being released from the trust given that the target OC level of the greater of 1.00% of the adjusted pool balance and $2,000,000 has been maintained. The subordinate notes have been upgraded to ‘AAsf’ from ‘A+sf’ to reflect the trust’s ability to pass the respective rating’s cash flow stresses.

Adequate Liquidity Support: Liquidity support is provided by a Debt Service Reserve Fund sized at the greater of 0.25% of the pool balance and $1,248,458.

Acceptable Servicing Capabilities: Navient, formerly Sallie Mae, Inc., is responsible for day-to-day servicing of the trust. Fitch believes Navient 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 CE driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Initial Key Rating Drivers and Rating Sensitivity further described in the presale report published on April 2, 2013.

Fitch has taken the following rating actions:

SLM Student Loan Trust 2013-2:

–Class A notes affirmed at ‘AAAsf’; Outlook Stable;

–Class B notes upgraded to ‘AAsf’ from ‘A+sf’; Outlook Stable.

A comparison of the transaction’s RW&Es to those of typical RW&Es for student loans is available by accessing the reports and links below:

–‘SLM Student Loan Trust 2013-2 – Appendix’, dated April 2, 2013;

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions — Amended’, dated April 17, 2013.

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

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ dated August 2014;

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ dated June 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=980257

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 InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Jeffrey Prackup

Director

+1 212-908-0839

Fitch Ratings. Inc.

33 Whitehall Street

New York, NY 10004

or

Secondary Analyst

Paul Jiang

Analyst

+1 212-908-9120

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 Ratings for SLM Student Loan Trust 2012-3 Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms the senior notes and subordinate notes issued by SLM Student Loan Trust 2012-3 at ‘AAAsf’ and ‘AAsf’, respectively. The Rating Outlook remains Stable for the senior and subordinate notes. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

High Collateral Quality

The 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 at “AAA”, outlook stable.

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 excess spread, the senior notes also benefit from subordination provided by the class B note. As of January 2015, total parity is 101.01% (1.00% CE) and senior parity is 105.54% (5.25% CE). Cash is being released from the trust, given the specified OC amount, which is equal to the greater of 1.00% of the current adjustable pool balance and $1,300,000, has been achieved.

Adequate Liquidity Support

Liquidity support is provided by a Debt Service Reserve Fund sized at the greater of 0.25% of the pool balance and $1,249,353.

Acceptable Servicing Capabilities

Navient, formerly Sallie Mae, Inc., is responsible for day-to-day servicing of the trust. Fitch believes Navient 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 CE driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Initial Key Rating Drivers and Rating Sensitivity further described in the Presale report published on April 24, 2012.

Fitch has affirmed the following:

SLM Student Loan Trust 2012-3:

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

–Class B notes at ‘AAsf’; Outlook Stable.

A comparison of the transaction’s Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for student loans is available by accessing the reports and links below:

–‘SLM Student Loan Trust 2012-3 – Appendix’, dated April 24, 2012;

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions — Amended’, dated April 17, 2013.

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

Applicable Criteria and Related Research:

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

–‘Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria’ (June 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=980252

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 InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Jeffrey Prackup

Director

+1 212-908-0839

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Secondary Analyst

Paul Jiang

Analyst

+1 212-908-9120

or

Committee Chairperson

Tracy Wan

Senior Director

+1 212-908-9171

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]