NEW YORK--(BUSINESS WIRE)--Fitch Ratings has published its updated criteria for rating U.S. Federal Family Education Loan Program (FFELP) ABS.
The main changes to the criteria are highlighted below:
--Revised standard default rate assumptions
Page 6 of the criteria discloses the standard default rate assumptions Fitch uses in the cash flow modeling when issuer-specific data is not available. These assumptions are based on 22 years of industry FFELP loan performance. Recent performance data indicates higher defaults for certain loan and school types and as such Fitch has increased its default assumptions for these variables to reflect the performance data.
--Longer default timing for consolidation loans
Similar to defaults, Fitch's uses industry performance data to derive default timing curves when issuer-specific data is unavailable. Recent data indicates that the default timing of consolidation loans are evenly distributed over a longer period of time of at least eight years compared to Fitch's initial assumptions of five years when running cash flows. Fitch has extended its curve to reflect the performance data.
There has been no material impact to existing ratings from the changes outlined above given multiple compression and other quantitative factors considered in the analysis.
Additional information is available at 'www.fitchratings.com'
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
Applicable Criteria and Related Research: Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria
Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria Exposure Draft
Global Structured Finance Rating Criteria