Fitch Affirms KeyCorp Student Loan Trust 2006-A (Group II)

NEW YORK--()--Fitch Ratings has affirmed the ratings of all the notes of KeyCorp Student Loan Trust 2006-A (Group II). The Rating Outlook for the senior and subordinate notes remains Stable. The Recovery Estimate for the junior subordinate note was increased to 15% from 0%.

A full list of rating actions follows at the end of this ratings action commentary.

KEY RATING DRIVERS

Collateral Quality: The trust is collateralized by approximately $247 million of private student loans originated by KeyBank under the Key Alternative Loan program, Campus Door program, Private Graduate program, and TERI program. The projected remaining defaults are expected to range between 14% - 17% of the current pool balance. A recovery rate of 15% was applied based on historical data.

Credit Enhancement (CE): CE is provided by overcollateralization, excess spread and subordination for the Class A and B notes. Additionally, the trust can receive excess from its bifurcated KSLT 2006-A Group I pool. As of the May 2016 servicer report, the parity ratios have increased since the last review from 183.68% to 221.45% for the Class A notes, from 113.63% to 117.73% for the Class B notes and from 96.40% to 96.54% for the Class C notes (May 2015 - May 2016), respectively. The trust cannot release any excess cash until the Class C parity reaches 104.5%.

Liquidity Support: Liquidity support for the trust is provided by a debt service reserve fund which is currently at $8.6 million, representing approximately 3.5% of the outstanding pool balance.

Servicing Capabilities: Day-to-day servicing is provided by KeyBank, N.A. Fitch believes the servicing operations are acceptable servicer of private student loans.

CRITERIA VARIATIONS

Under the 'Counterparty Criteria for Structured Finance and Covered Bonds', dated Sept 1, 2016, Fitch looks to its own ratings in analyzing counterparty risk and assessing a counterparty's creditworthiness. The definition of the permitted investment for this deal allows possibility of using investments that do not meet Fitch's criteria, this represents a criteria variation. Since the only available funds to invest in are those held in the Collection Account, and the funds can only be invested for a short duration of three months given the payment frequency of the notes, Fitch doesn't believe such variation has a measurable impact upon the ratings assigned.

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 bonds and may make certain bond 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 trust.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

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

Fitch affirms the following ratings:

KeyCorp Student Loan Trust 2006-A (Group II)

--Senior class II-A-4 at 'AAsf'; Outlook Stable;

--Subordinate class II-B at 'B+sf'; Outlook Stable;

--Junior Subordinate class II-C at 'CCsf'; RE 15%.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/site/re/879815

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

U.S. Private Student Loan ABS Criteria (pub. 31 Jul 2015)

https://www.fitchratings.com/site/re/868836

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1011152

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1011152

Endorsement Policy

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

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings
Primary Analyst
Emily Lee
Director
+1-212-908-0667
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Emily Lee
Director
+1-212-908-0667
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com