2008-10-31 20:43:59 -
- Fitch Ratings places 103 subordinate classes from 32 student loan trusts on Rating Watch Negative as a result of disruptions in the auction-rate market.
Fitch is conducting on ongoing review of its student loan asset backed securities (ABS) transactions focusing on those utilizing auction-rate debt to finance FFELP and private student loan collateral. Following an initial analysis, 32
trusts have been identified to have asset-to-liability, or parity, ratios that may be insufficient to cover expected losses at the current rating category in light of the current interest rate environment and failed auctions. Parity ratios for these trusts are generally below 100% and have either declined or remained flat since the auction-rate market disruption began in September 2007. Additionally, certain trusts financing private student loan collateral are experiencing deterioration in portfolio performance due to increased defaults, contributing further to parity ratio declines.
Fitch's review of transactions with exposure to auction rate debt remains ongoing and additional trusts may be identified for negative rating actions as the review proceeds. The initial analysis focused on identifying subordinate bonds with greater susceptibility to downgrade. Further review may include the identification of senior classes in certain trusts that may also be subject to negative rating actions depending on overall collateral performance and available credit enhancement. Certain trusts have shown resilience and are better able to withstand a permanent market disruption and some student loan trusts have already been affirmed over the past several weeks. Trusts placed on Rating Watch Negative have shown decreasing levels of credit enhancement in the form of excess spread. For these trusts, borrower interest collections and any investments earnings have been insufficient to pay debt interest, with borrower principal collections used to cover the deficiency. This has resulted in declining or flat parity ratios that may be unable to reach 100% in the foreseeable future. As such, negative rating actions could be multiple categories in magnitude reflecting the potential for principal shortfalls to these classes prior to maturity.
For a more detailed explanation of Fitch's auction-rate analysis, please see the special report 'Student Loan Auction Rates - The Definition of Stress', dated Sept. 30, 2008, and available on the Fitch Ratings web site at www.fitchratings.com.
Fitch has placed the following classes on Rating Watch Negative:
Academic Finance Corporation - 2006 Indenture of Trust (2005)
-- Series 2005 Class B-1 'A'
Access Group, Inc. 2002 Indenture of Trust
-- Series 2002-1 Class B 'A'
-- Series 2003-1 Class B 'A'
-- Series 2004-1 Class B 'A'
Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA)
-- Series 1998 Class C-1 'A'
-- Series 2003-1 Class C-2 'A'
Brazos Higher Education Authority, Inc. - 1999 Indenture of Trust (TX)
-- Series 2006 Class B-1 'A'
Brazos Higher Education Authority, Inc. - 2004 Indenture of Trust (TX)
-- Series 2004-I Class B-1 'A'
-- Series 2005-1 Class B-1 'A'
-- Series 2005-2 Class B-2 'A'
-- Series 2005-3 Class B-3 'A'
-- Series 2006-1 Class I-B-1 'A'
-- Series 2007-1 Class I-B-1 'A'
-- Series 2006-2 Class I-B-2 'A'
Brazos Higher Education Authority, Inc. - Amended and Restated 2002 Indenture Trust (1993A/C) (TX)
-- Series 2000-1 Class B-1 'A'
-- Series 2001 Class C 'A'
-- Series 2004 Class C-1 'A'
-- Series 2000-2 Class C-1 'A'
-- Series 2002-1 Class C-1 'A'
-- Series 2002-2 Class C-2 'A'
Brazos Higher Education Authority, Inc. - Amended and Restated 2003 Indenture Trust (1992C) (TX)
-- Series 2001 Class B-1 'A'
Brazos Higher Education Authority, Inc. - Amended and Restated 2004 Indenture Trust (1993B) (TX)
-- Series 1999 Class B-1 'A'
-- Series 2003-3 Class B-1 'A'
-- Series 2004-1 Class B-1 'A'
-- Series 2001 Class B-2 'A'
-- Series 2003-4 Class B-2 'A'
Brazos Student Finance Corp. - 2001 Indenture of Trust
-- Series 2004 Class B-1 'A'
-- Series 2004 Class B-2 'A'
Brazos Student Finance Corp. - 2003-2 Trust
-- Series 2003-2 Class B-2 'A'
-- Series 2003-2 Class B-3 'A'
Brazos Student Finance Corp. - Amended and Restated 1996 Indenture of Trust (1995)
-- Series 2006 Class B 'A'
College Loan Corporation Trust II
-- Series 2007-1 Class B-1 'A-'
-- Series 2007-1 Class B-2 'A-'
-- Series 2007-1 Class B-3 'A-'
-- Series 2007-1 Class B-4 'A-'
College Loan Trust I - Amended and Restated 2003 Indenture of Trust (2002)
-- Series 2006-1 Class B 'A'
-- Series 2002-1 Class B-1 'A'
-- Series 2003-1 Class B-1 'A'
-- Series 2004-1 Class B-1 'A'
-- Series 2005-1 Class B-1 'A'
-- Series 2007-2 Class B-1 'A'
-- Series 2002-2 Class B-2 'A'
-- Series 2003-1 Class B-2 'A'
-- Series 2002-2 Class B-3 'A'
-- Series 2002-2 Class B-4 'A'
EdInvest - Amended and Restated 2006 Indenture of Trust (2003)
-- Series 2003 Class B-1 'A'
-- Series 2004 Class B-1 'A'
-- Series 2005 Class B-1 'A'
Education Funding Services, Inc. - 2005 Indenture of Trust
-- Series 2005-1 Class B-1 'A'
-- Series 2006-1 Class B-1 'A'
-- Series 2007-1 Class B-1 'A'
Education Loans Inc. - 1999 Indenture Trust
-- Series 1999-1 Class C 'A'
-- Series 2001-1 Class C 'A'
-- Series 2002-1 Class C 'A'
-- Series 2003-1 Class D 'A'
Education Loans Inc. - 2004 Indenture Trust (2/1/04)
-- Series 2004-1 Class B-1 'A'
Education Loans Inc. - 2004 Indenture Trust (7/1/04)
-- Series 2004 Class D 'A'
Educational Loan Company Trust I
-- Series 2006-1 Class B-1 'A'
EFSI - Amended and Restated 2006 Indenture of Trust (2003)
-- Series 2003 Class B-1 'A'
-- Series 2004 Class B-1 'A'
-- Series 2005 Class B-1 'A'
Federated Student Finance Corporation - Amended and Restated 2006 Indenture of Trust (2003)
-- Series 2003 Class B-1 'A'
-- Series 2004 Class B-1 'A'
-- Series 2005 Class B-1 'A'
FinanSure Student Loan Master Trust I 2007-1
-- Series 2007-1 Class B-1 'A'
-- Series 2007-1 Class B-2 'A'
-- Series 2007-1 Class B-3 'A'
-- Series 2007-1 Class C-1 'BBB'
Goal Capital Funding Trust 2007-1
--Class B 'AA+';
--Class C 'A-'.
GCO Education Loan Funding Master Trust II
-- Series 2006-2 Class B-1AR 'AA+'
-- Series 2006-2 Class B-2AR 'AA+'
-- Series 2006-2 Class B-3AR 'AA+'
-- Series 2007-1 Class C-1L 'A-'
Kentucky Higher Education Student Loan Corp - 2004 Trust Indenture (KY)
-- Series 2004 Class B-1 'A'
-- Series 2005 Class B-1 'A'
-- Series 2006 Class B-1 'A'
-- Series 2007 Class B-1 'A'
KnowledgeFunding of Ohio, Inc. - 2005 Indenture of Trust
-- Series 2005 Class C-1 'A'
-- Series 2006 Class C-1 'A'
Mississippi Higher Education Assistance Corp. - 1999 Trust Indenture (MS)
-- Series 1999 Class B-1 'A'
-- Series 2000 Class B-1 'A'
-- Series 2003 Class B-1 'A'
-- Series 2006 Class B-1 'A'
-- Series 2005-1 Class B-1 'A'
-- Series 2000 Class B-2 'A'
-- Series 2000 Class B-3 3/1/10 'A'
-- Series 2000 Class B-3 9/1/08 'A'
Mississippi Higher Education Assistance Corp. - 2004 Indenture of Trust (MS)
-- Series 2004 Class B-1 'A'
-- Series 2007 Class B-1 'A'
NextStudent, Inc. - April 1, 2006 Indenture of Trust
-- Series 2006-1 Class B-1 'A'
-- Series 2007-1 Class B-1 'A'
NorthStar Guarantee, Inc. - 2000 Trust Indenture
-- Series 2000 Class B 'A'
-- Series 2004-2 Class B 'A'
-- Series 2005-1 Class B 'A'
-- Series 2007-1 Class B 'A'
-- Series 2002 Class B-1 'A'
-- Series 2004-1 Class B-1 'A'
Trinity Higher Education Authority, Inc. - 2004 Indenture
-- Series 2004 Class B-1 'A'
U.S. Education Loan Trust IV, LLC - March 1, 2006 Indenture of Trust
--- series 2006-1B-1 'A';
--- series 2006-1B-2 'A';
--- series 2006-2B-1 'A'.
--- series 2007-1B-1 'A'.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 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.
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Kevin Duignan, +1-212-908-0630
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