NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms KeyCorp Student Loan Trust 1999-A senior notes and 1999-B senior and mezzanine notes at 'AAAsf' with a Negative Outlook, and affirms the subordinate notes at 'Asf' and 'A+sf' respectively with a Stable Outlook. The KeyCorp 1999-A transaction is comprised of 55.25% FFELP student loans and 44.75% private student loans, and the KeyCorp 1999-B transaction is comprised of 39.14% FFELP student loans and 60.86% private student loans.
KEY RATING DRIVERS
The affirmation of the senior, mezzanine, and subordinate notes are based on sufficient level of enhancement consisting of any combination of subordination, overcollateralization, and projected minimum excess spread to cover the applicable risk factor stresses.
For the portion backed by private student loans, Fitch conducted a review of the collateral performance that involved loss coverage multiples based on the most recent data. A projected net loss amount was compared to available credit enhancement to determine the loss multiples. Fitch has projected remaining defaults to be 4% - 7% of the current pool balance, with recovery rate of 14%.
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 private student loan ABS, Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case. This will result in a decline in CE and remaining loss coverage levels available to the notes and may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage.
Fitch affirms the following notes:
KeyCorp Student Loan Trusts 1999-A:
--Class A-2 at 'AAAsf'; Outlook Negative;
--Class B at 'Asf'; Outlook Stable.
KeyCorp Student Loan Trusts 1999-B:
--Class A-2 at 'AAAsf'; Outlook Negative;
--Class M at 'AAAsf'; Outlook Negative;
--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' (June 6, 2012);
--'U.S. Private Student Loan ABS Criteria' (Jan. 31, 2012);
--'Rating U.S. Federal Family Education Loan Program Student Loan ABS' (April 3, 2012).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661
U.S. Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=698293
Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria - Effective Apr. 7, 2011 to Apr. 3, 2012
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=616766
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=793193
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