Fitch Affirms Ratings on the State of North Carolina State Education Assistance Auth 2011-1 Notes

NEW YORK--()--Fitch Ratings has affirmed the 'AAAsf' ratings on the series 2011-1 student loan notes issued by the State Education Assistance Authority, a political subdivision of the State of North Carolina. The Rating Outlook remains Stable for all notes.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of 100% rehabilitated Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch's opinion, based on the guarantees provided by the transaction's eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch's current U.S. sovereign rating is 'AAA' with a Stable Outlook.

Sufficient Credit Enhancement: CE is provided by overcollateralization (OC; the excess of the trust's asset balance over bond balance) and excess spread. As of September 2015, total parity is 108.94% (8.20% CE). The trust is in turbo, and cash cannot be released from the trust until all the notes are paid in full.

Adequate Liquidity Support: Liquidity support is provided by a reserve account (greater of 0.25% of the pool balance and $470,507).

Acceptable Servicing Capabilities: College Foundation, Inc., as servicer, and Nelnet Servicing, LLC as backup servicer, are responsible for servicing the trust. Fitch views both College Foundation and Nelnet as acceptable servicers of FFELP student loans.

RATING SENSITIVITIES

Since the FFELP student loan ABS relies 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 build-up of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

State of North Carolina State Education Assistance Authority 2011-1:

--Class A-2 at 'AAAsf' Outlook Stable;

--Class A-3 at 'AAAsf' Outlook Stable.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria (pub. 23 Jun 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=995350

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=995350

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Harry Kohl
Associate Director
+1-212-908-0837
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com