NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the senior, subordinate, and junior subordinate notes at 'A-sf', 'B+sf', and 'CCsf' respectively for KeyCorp Student Loan Trust 2006-A (Group II). The Rating Outlook for the senior notes remains Stable, and the Rating Outlook for the subordinate note remains Negative. Fitch used its 'Global SF Criteria' and 'U.S. Private SL ABS Criteria' to review the transaction. A detailed list of ratings actions follows at the end of this press release.
KEY RATING DRIVERS
The affirmations on the senior, subordinate, and junior subordinate notes reflect sufficient loss coverage multiples to support the existing ratings. Fitch estimates remaining defaults to range from approximately 26-29%.
As of the May 31, 2013 report, parity levels equal 147.87%, 108.15%, and 96.05% respectively for senior, subordinate, and junior subordinate classes.
The Negative Outlook for the subordinate class is driven by an increase in projected default levels in excess of Fitch's initial expectations. Fitch projected future losses and derived loss coverage multiples based on the latest performance data. The projected net loss amounts were compared to available credit enhancement to determine the loss multiples appropriate for each rating category. Credit enhancement consists of a combination of excess spread, overcollateralization, and subordination.
As the junior subordinate class C notes' current rating classifies these notes as a distressed structured finance security, Fitch has calculated a Recovery Estimate (RE), which represents Fitch's calculation of expected principal recoveries as a percentage of current note principal outstanding. The RE for the junior subordinate class C notes was calculated to be 0% given Fitch's calculation of expected net recoveries and principal balance of the notes as of the latest reporting period.
RATING SENSITIVITIES
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 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 will continue to monitor the performance of the trusts.
Fitch affirms the following ratings:
KeyCorp Student Loan Trust 2006-A (Group II):
--Senior class II-A-3 at 'A-sf'; Outlook Stable;
--Senior class II-A-4 at 'A-sf'; Outlook Stable;
--Subordinate class II-B at 'B+sf'; Outlook Negative;
--Junior Subordinate class II-C at 'CCsf'; RE 0%.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'U.S. Private Student Loan ABS Criteria', Jan. 29, 2013;
--'Global Structured Finance Rating Criteria', May 24, 2013.
Applicable Criteria and Related Research:
U.S. Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=698293
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=802176
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