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Fitch to Rate Dryden 37 Senior Loan Fund/LLC; Issues Presale

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings expects to assign 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 expect to rate the class B, C, D, E, or F notes, or the 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.

‘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 Ratings’ 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 57.0%.

Strong Recovery Expectations: The indicative portfolio consists of 96.3% first-lien senior-secured loans. Approximately 83% 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 76.2%. 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.

The expected ratings are based on information provided to Fitch as of Jan. 29, 2015. 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 detailed in the accompanying presale report, available at ‘www.fitchratings.com‘ or by clicking on the link.

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: Dryden 37 Senior Loan Fund/LLC

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=861208

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=978867

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 & DowngradesInvestment & Company InformationFitch 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 Nelnet Student Loan Trust 2014-1 Notes; Outlook Stable

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms all outstanding notes issued from Nelnet Student Loan Trust 2014-1 (Nelnet 2014-1). 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 24.5% 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 November 2014 collection period, total parity is 101.27% and senior parity is 104.67%. 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 $2.5 million capitalized interest account and $1.049 million reserve account as of the November 2014 collection period. The reserve account is sized at the greater of 0.25% of outstanding notes and $458,500 floor.

Acceptable Servicing Capabilities: National Education Loan Network, Inc. services approximately 92.78% of the 2014-1 portfolio. Great Lakes Education Loan Services Inc. (GLESI) services the remaining portion of the portfolio. In Fitch’s opinion, both 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 has affirmed the following ratings:

Nelnet Student Loan Trust 2014-1:

— Class A 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 2014-1 – Appendix’ (Jan. 28, 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 2014-1 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731195

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=969955

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

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 Affirms SLM Student Loan Trust 2014-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the SLM Student Loan Trust 2014-1 senior note at ‘AAAsf’ and subordinate note at ‘A+sf’. 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): 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 October 2014, total parity is 101.01% (1% CE) and senior parity is 104.15% (3.98% CE). Cash is being released from the trust given that the specified OC amount (the greater of 1.00% of the adjusted pool balance or $1.25 million) is maintained.

Adequate Liquidity Support: Liquidity support for note is provided by a reserve account (0.50% of pool balance or $996,942). On or after the January 2015 distribution date, the specified reserve requirement is reduced to 0.25% of the ending pool balance of the related collection period with a floor of $996,942.

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.

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 affirmed the following:

SLM Student Loan Trust 2014-1:

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

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

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

–Class B 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 2014-1 – Appendix’ (Jan. 13, 2014);

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

SLM Student Loan Trust 2014-1 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=729736

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

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

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=967835

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

Paul Jiang

Analyst

+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

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 Affs Access to Loans for Learning Student Loan Corp., Ser 2012-I Sr Notes; Upgrades Sub Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms the senior notes issued from Access to Loans for Learning Student Loan Corp., Series 2012-I (ALL SLC 2012-I) and upgrades the ALL SLC 2012-I subordinate notes. The Rating Outlook on the senior notes remains Stable and the Rating Outlook on the subordinate notes has been revised to Stable from Positive. The upgrade is driven by stable collateral performance, hence better coverage for the subordinate notes.

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 ‘AAA’, Outlook Stable.

Sufficient Credit Enhancement: CE is provided by overcollateralization and excess spread. In addition, the class A notes benefit from subordination from the class B notes. As of October 2014, senior and total parity are at 107.04% and 103.20%, respectively. The deal is currently in turbo; no cash can be released until all bonds are paid in full.

Adequate Liquidity Support: Liquidity support for notes is provided by a reserve account currently at $406,228 (0.25% of the pool balance) with a floor of $316,520.

Acceptable Servicing Capabilities: Navient Solution Inc., XES, and Great Lakes are all responsible for servicing the trust. Fitch believes all three 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 CE driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Fitch has taken the following rating actions:

Access to Loans for Learning Student Loan Corp., Series 2012-I:

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

— Class B note upgraded to ‘AAsf’ from ‘Asf’; Outlook revised to Stable from Positive.

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’ dated May 20, 2014;

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

–‘Access to Loans for Learning Student Loan Corporation, Series 2012-I – Appendix’ dated Dec 12, 2012;

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

Access to Loans for Learning Student Loan Corporation, Series 2012-I — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=696043

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=946336

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 RatingsStudent LoanFFELP 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 Senior Notes Issued by Arkansas Student Loan Authority Series 2012-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed at ‘AAAsf’ the senior student loan notes issued by Arkansas Student Loan Authority 2012-1.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral is comprised of 100% of Federal Family Education Loan Program (FFELP). 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: Cash flows scenarios for the class A notes were satisfactory under Fitch’s stresses. Total reported parity is 108.22%. Total credit enhancement (CE) is provided by overcollateralization (OC), and excess spread. Additionally, this trust is in turbo and no cash will be released until all notes all paid in full.

Liquidity support is provided by a reserve account (0.25% of outstanding notes or $300,000).

Acceptable Servicing Capabilities: EdFinancial Services is the servicer of this trust, with Nelnet acting as back-up servicer. In Fitch’s opinion, 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.

Fitch has affirmed the following:

Arkansas Student Loan Authority 2012-1:

–Class A at ‘AAAsf’; Outlook Stable.

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

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:

–‘Arkansas Student Loan Authority, Series 2012-1 — Appendix’ (Dec. 11, 2012);

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

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).

–‘Arkansas Student Loan Authority Series 2012-1 (US ABS)’

(Dec. 11, 2012);

–‘Arkansas Student Loan Authority, Series 2012-1 — Appendix'(Dec. 11, 2012);

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

Applicable Criteria and Related Research:

Arkansas Student Loan Authority, Series 2012-1 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751127

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

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

Global Structured Finance Rating Criteria

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

Arkansas Student Loan Authority Series 2012-1 (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=696719

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=941175

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

Victoria Ohorodnyk

Associate Director

+1-212-908-0866

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Steven Stubbs

Senior Director

+1-212-908-0676

or

Media Relations:

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

Email:

sandro.scenga@fitchratings.com […]

Fitch Affirms Ratings on Two SLM Student Loan Trusts

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings affirms both the senior note at ‘AAAsf’ and subordinate note at ‘Asf’ issued by SLM Student Loan Trust 2010-1 and affirms both the senior notes at ‘AAAsf’ and subordinate note at ‘A+sf’ issued by SLM Student Loan Trust 2013-6. The Rating Outlook remains Stable for all classes of both trusts.

KEY RATING DRIVERS

High Collateral Quality: Both trusts’ 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): The CE is provided by overcollateralization (OC) and future excess spread. Additionally, the senior notes also benefits from subordination provided by the subordinate note. For SLM 2010-1, total parity is 100.58% (0.57% CE) and senior parity is 108.24% (7.61% CE) as of September 2014. Cash is being released from the trust given that the $3 million OC amount is maintained. For SLM 2013-6, total parity is 101.01% (1% CE) and senior parity is 104.28% (4.10% CE) as of September 2014. Cash is being released from the trust given that the targeted CE (greater of 1.00% of the adjusted pool balance, or $1.25 million) is maintained.

Adequate Liquidity Support: Liquidity support is provided by a reserve account for SLM 2010-1 sized equal to the greater of 0.25% of the pool balance and $1,211,252. SLM 2013-6 is supported by a reserve account sized equal to the greater of 0.25% of the pool balance and $998,463.

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 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.

A comparison of the SLM 2013-6’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 affirmed the following:

SLM Student Loan Trust 2010-1:

— Class A at ‘AAAsf’; Outlook Stable;

— Class B at ‘Asf’; Outlook Stable.

SLM Student Loan Trust 2013-6:

–Class A1 at ‘AAAsf’; Outlook Stable;

–Class A2 at ‘AAAsf’; Outlook Stable;

–Class A3 at ‘AAAsf’; Outlook Stable;

–Class B 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 2013-6 — Appendix’ dated Nov. 4, 2013;

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

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=676496

SLM Student Loan Trust 2013-6 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=722749

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=910954

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

Paul Jiang

Analyst

+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 2013-5 Notes

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed the senior notes for Nelnet Student Loan Trust 2013-5 at ‘AAAsf’ and subordinate note at ‘Asf’. The Rating Outlook remains Stable for all classes.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral is comprised of 100% of rehabilitated 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’ with a Stable Outlook.

Sufficient Credit Enhancement: While both the senior and subordinate notes will benefit from over-collateralization and future excess spread, the senior notes also benefit from subordination provided by the class B note. As of July 2014, total parity is 101.52% and senior parity is 104.01%. The trust has been releasing cash given the Specified Overcollateralization Amount of the greater of 1.5% of the adjusted pool balance and $2,000,000 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 $408,000 and an $ 8.0 million capitalized interest account.

Acceptable Servicing Capabilities: Day-to-day servicing is provided by Nelnet, Pennsylvania Higher Education Assistance Agency (PHEAA), Xerox Education Services Inc. (XES). In Fitch’s opinion, all 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.

Fitch has affirmed the following:

Nelnet Student Loan Trust Series 2013-5:

–Class A at ‘AAAsf’; Outlook Stable;

–Class B at ‘Asf’; 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:

–Nelnet Student Loan Trust 2013-5 – Appendix’, dated Sept. 24, 2013;

–‘Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions — Amended’, dated April 17, 2012.

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 2013-5 – Appendix’ (Sept. 24, 2013);

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

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=708795

Nelnet Student Loan Trust 2013-5 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718682

Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=676496

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=877314

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

Lisette Figueroa

Analyst

+1-212-908-0836

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Committee Chairperson

Steve Stubbs

Senior Director

+1-212-908-0676

or

Media Relations

New York:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Takes Various Actions on ARMSS 2005-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has upgraded three classes and affirmed five classes of Arbor Realty Mortgage Securities Series 2005-1, Ltd. / LLC (ARMSS 2005-1) reflecting Fitch’s base case loss expectation of 50.2%. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The upgrades are the result of increased credit enhancement to the classes due to significant pay down since the last rating action. Over the last year, the CDO received approximately $127 million in pay down from the full payoff of eight loan interests as well as some loan amortization. Recoveries on the loans were better than modeled with no realized losses reported. The CDO remains slightly under collateralized by approximately $5 million. As of the July 2014 trustee report, all par value and interest coverage tests passed with, generally, substantial cushion.

ARMSS 2005-1 is a CRE collateralized debt obligation (CDO) managed by Arbor Realty Collateral Management, LLC (Arbor). The CDO exited its reinvestment period in April 2011. The portfolio is becoming increasingly concentrated. As of the July 2014 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: whole loans/A-notes (49.5%), B-notes (30.9%), mezzanine debt (11.9%), and preferred equity (7.7%). Approximately 58% of the pool is currently defaulted or a loan of concern. Fitch expects significant losses on many of the assets as they are highly leveraged subordinate positions.

Under Fitch’s methodology, approximately 91.2% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. In this scenario, the modeled average cash flow decline is 6.7% from, generally, year-end 2013 or trailing 12 months 1Q 2014. Recoveries are average at 45%.

The largest component of Fitch’s base case loss expectation is a B-note (8.9% of the pool) secured by a 43-story office building located in downtown St. Louis, MO. The loan transferred to special servicing in August 2012 due to imminent default. A subsequent loan restructure, which closed in November 2012, eliminated amortization payments and provided an interest rate reduction, among other terms. Fitch modeled a full loss in its base case scenario on this overleveraged position.

The next largest component of Fitch’s base case loss expectation is a preferred equity position (6.8% of the pool) on an over 150 property multifamily portfolio located across multiple states. As of June 2014, occupancy was 90%. In early 2013, the senior debt was modified into an A/B note structure and transferred out of special servicing. Fitch modeled a full loss in its base case scenario on this overleveraged position.

The transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’, which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch’s long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report ‘Global Rating Criteria for Structured Finance CDOs’. The breakeven rates for classes A-2 through E are generally consistent with the ratings listed below.

The Stable and Positive Outlooks on classes A-2 through E generally reflect the classes’ seniority in the capital stack and/or improving credit enhancement.

The ratings for classes F through H are based on a deterministic analysis that considers Fitch’s base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement.

RATING SENSITIVITIES

If the collateral continues to repay at or near par, class B may be upgraded. The distressed classes are subject to further downgrade should further losses be realized.

Fitch upgrades the following classes as indicated:

–$25.4 million class A-2 to ‘Asf’ from ‘BBBsf’; Outlook Stable;

–$22.5 million class C to ‘BBsf’ from ‘Bsf; Outlook Stable.

Fitch upgrades and assigns a Rating Outlook to the following class as indicated:

–$6.8 million class E to ‘Bsf’ from ‘CCCsf’; Outlook Stable.

Fitch affirms the following classes and revises Outlooks as indicated:

–$57 million class B at ‘BBsf’; Outlook to Positive from Stable;

–$7.7 million class D at ‘Bsf’; Outlook to Stable from Negative;

–$13.3 million class F at ‘CCCsf’; RE 90%;

–$9.9 million class G at ‘CCCsf’; RE 0%;

–$13.5 million class H at ‘CCCsf’; RE 0%.

Class A-1 has paid in full.

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

Applicable Criteria and Related Research:

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

–‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Nov. 25, 2013);

-‘Global Rating Criteria for Structured Finance CDOs’ (July 16, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=723059

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=866354

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 RatingsCDO Contact:

Fitch Ratings

Primary Surveillance Analyst

Stacey McGovern, +1 212-908-0722

Director

Fitch Ratings, Inc.

33 Whitehall Street, New York 10004

or

Committee Chairperson

Mary MacNeill, +1 212-908-0785

Managing Director

or

Media Relations:

Sendhil Selvaraj, +44 (0) 207 682 7218

sendhil.selvaraj@fitchratings.com […]

Fitch Affirms ARMSS 2004-1

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings has affirmed all rated classes of Arbor Realty Mortgage Securities Series 2004-1, Ltd. / LLC (ARMSS 2004-1) reflecting Fitch’s base case loss expectation of 66%. Fitch’s performance expectation incorporates prospective views regarding commercial real estate market value and cash flow declines. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since the last rating action, total pay down to class A-1 from payoffs and loan amortization has been $36 million. No realized losses were reported over the period. The CDO exited its reinvestment period in April 2009; however, the loan documents allow for some continued substitution of credit improved collateral. Since last rating action, four new loan interests were added totaling $7.5 million.

The CDO remains under collateralized by approximately $23 million. As of the July 2014 trustee report, all par value and interest coverage tests were in compliance.

ARMSS 2004-1 is a CRE collateralized debt obligation (CDO) managed by Arbor Realty Collateral Management, LLC (Arbor). As of the July 2014 trustee report and per Fitch categorizations, the CDO was substantially invested as follows: B-notes (56.7%), whole loans/A-notes (8.8%), preferred equity (22.5%), mezzanine debt (10.1%), and cash (1.9%). Approximately 82% of the pool consists of assets that are either defaulted or Loans of Concern. Fitch expects significant losses on many of the assets as they are highly leveraged subordinate positions.

Under Fitch’s methodology, approximately 96.9% of the portfolio is modeled to default in the base case stress scenario, defined as the ‘B’ stress. In this scenario, the modeled average cash flow decline is 6.8% from, generally, year-end 2013 or trailing 12 months 1Q 2014. Recoveries are below average at 31.9% due to the high percentage of subordinate debt.

The largest component of Fitch’s base case loss expectation is a preferred equity position (14.8% of the pool) on an over 150 property multifamily portfolio located across multiple states. As of June 2014, occupancy was 90%. In early 2013, the senior debt was modified into an A/B note structure and transferred out of special servicing. Fitch modeled a full loss in its base case scenario on this overleveraged position.

The next largest component of Fitch’s base case loss expectation is related to an A-note and B-note (12.4%) secured by a portfolio of five full and limited service hotels located in Daytona Beach, FL. The portfolio was previously in bankruptcy, and an Arbor affiliate took title to the properties in February 2011. While new management has been installed at the properties, it is expected to take time for performance at all five properties to stabilize. A sixth poorly performing hotel was sold in December 2012 with proceeds applied to the senior debt. Fitch modeled a term default and a substantial loss on these loan interests in its base case scenario.

The transaction was analyzed according to the ‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’, which applies stresses to property cash flows and debt service coverage ratio tests to project future default levels for the underlying portfolio. Recoveries are based on stressed cash flows and Fitch’s long-term capitalization rates. The default levels were then compared to the breakeven levels generated by Fitch’s cash flow model of the CDO under the various defaults timing and interest rate stress scenarios as described in the report ‘Global Rating Criteria for Structured Finance CDOs’. The breakeven rates for classes A and B are generally consistent with the ratings listed below.

The Stable Outlook on class A generally reflects the class’s seniority in the capital stack and expectation of continued further pay down over the near term. The Negative Outlook to class B reflects the potential for further negative credit migration of the underlying collateral.

The ratings for classes C and D are based on a deterministic analysis that considers Fitch’s base case loss expectation for the pool and the current percentage of defaulted assets and Fitch Loans of Concern factoring in anticipated recoveries relative to each classes credit enhancement.

RATING SENSITIVITIES

If the collateral continues to repay at or near par, classes may be upgraded. The junior classes are subject to further downgrade should realized losses begin to increase.

Fitch affirms the following classes:

–$29.1 million class A at ‘BBBsf’; Outlook Stable;

–$51.6 million class B at ‘Bsf’; Outlook Negative;

–$27.6 million class C at ‘CCCsf’; RE 10%;

–$11.2 million class D at ‘CCCsf’; RE 0%.

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

Applicable Criteria and Related Research:

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

–‘Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions’ (Nov. 25, 2013);

–‘Global Rating Criteria for Structured Finance CDOs’ (July 16, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Surveillance Criteria for U.S. CREL CDOs and CMBS Large Loan Floating-Rate Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=723059

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=866074

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 RatingsCDO Contact:

Fitch Ratings

Primary Surveillance Analyst

Stacey McGovern

Director

+1-212-908-0722

Fitch Ratings, Inc.

33 Whitehall Street, New York 10004

or

Committee Chairperson

Mary MacNeill

Managing Director

+1-212-908-0785

or

Media Relations

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

sandro.scenga@fitchratings.com […]