NEW YORK--(BUSINESS WIRE)--Fitch Ratings has assigned the following ratings to Credit Suisse ABS Repackaging Trust 2013-A as follows:
--$178,000,000 fixed-rate class B notes, 'BBBsf'; Outlook Stable.
KEY RATING DRIVERS
Rating Cap at 'Asf': Fitch does not believe a rating higher than 'Asf' on the class B notes can be achieved, due primarily to the expected high volatility of the residual cash flows of the underlying trust. In addition, Fitch does not expect the rating on the class B notes to be higher than the rating on the class A notes of the underlying trust, as the class R certificates are in a first loss position. However, the rating of the class B notes is not directly linked to the rating of the class A notes.
Adequate Collateral Quality of the Underlying Trust: The underlying trust is collateralized by private student loans made prior to May 2008 to graduate law and other professional students under Access Group's private student loan programs.
Increase in Credit Enhancement of the Underlying Trust: The underlying trust has been steadily building up credit enhancement (CE). As of April 25, 2013, overcollateralization as a percentage of total asset balance was 48.8%, an increase of 9.2% from 39.6% at closing. Life-to-date cumulative defaults stood at 6.4% of the initial pool balance.
Restrictions on Exercising the 10% Cleanup Call: Covenants in the CSART 2013-A indenture and administration agreement set conditions under which the cleanup call can be exercised.
Sufficient CE and Adequate Liquidity Support: Fitch expects that the excess cash released from the underlying trust will be sufficient to cover interest and principal payments of the class B notes under Fitch's 'BBBsf' stresses.
Liquidity support for the class B notes will be provided by a reserve account, which will be fully funded at closing and maintained at $9 million or the outstanding class B note balance, whichever is lower.
Acceptable Servicing Capabilities: Xerox Education Services, Inc. (Xerox-ES), as servicer, will be responsible for servicing the private student loans in the underlying trust. Fitch believes Xerox-ES is an acceptable servicer of private student loans.
SENSITIVITY ANALYSIS
Fitch does not believe the ratings on the class B notes to be higher than 'Asf' or the ratings on the class A notes of the underlying trust, whichever is lower. However, the rating of the class B notes is not directly linked to the rating of the class A notes.
In addition, as 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 or lower excess spreads than the base case. This will result in a decline in available CE and the 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 the coverage.
Fitch conducts a sensitivity analysis for each deal by stressing cumulative defaults and excess spreads. An increase of 100% or 200% in defaults from Fitch's base case could result in a rating downgrade to 'BB-sf or 'CCCsf', respectively. Separately, a decrease of 250 bps or 350 bps in annual excess spreads could result in a rating downgrade to 'BB+sf or 'Bsf', respectively.
Fitch's stress analysis is discussed in the new issue report titled 'Credit Suisse ABS Repackaging Trust 2013-A', dated June 28, 2013, available to all investors on Fitch's website at 'www.fitchratings.com'. For more information about Fitch's comprehensive subscription service Fitch Research, 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 and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'U.S. Private Student Loan ABS Criteria' (Jan. 29, 2013);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 13, 2013);
--'Representations, Warranties and Enforcement Mechanism in Global Structure Finance Transactions' (April 17, 2012).
Applicable Criteria and Related Research: Credit Suisse ABS Repackaging Trust 2013-A
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=712137
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum ￢ﾀﾓ Effective Transactions: Derivative Addendum ￢ﾀﾓ Effective Mar. 14, 2011 to Mar. 3, 2012
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=605427
U.S. Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=698293
Global Structured Finance Rating Criteria ￢ﾀﾓ Effective 4 August 2011 to 6 June 2012
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=795084
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