NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the 'AAAsf' rating on the outstanding student loan notes issued by SLC Private Student Loan Trust 2010-A. The Outlook remains Stable.
KEY RATING DRIVERS
Collateral Quality: The trust collateral consists of approximately $710.5 million of private student loans originated under Citibank's CitiAssist private student loan program and underwritten to specific guidelines. The program offered CitiAssist undergraduate, graduate, law, bar exam, proprietary, health professions, K-12, residency, relocation, and review loans. The projected remaining defaults are expected to range between 3.0% and 6.0%. A recovery rate of 15.0%, used in Fitch's cash flow analysis, was determined to be appropriate based on data provided by the issuer.
Credit Enhancement (CE): Transaction CE is provided by a combination of excess spread and overcollateralization. As of the August 2016 distribution period, total parity for the class A notes is 250%. The trust is currently releasing cash, since it has met the specified required overcollateralization level at 60% of the adjustable pool balance as of the last day of the collection period, given cumulative defaults are less than 15%. Currently, the trust's overcollateralization amount is equal to $431,535,603, excluding the reserve account.
Liquidity Support: Liquidity support is provided by a reserve account sized at approximately $3.25 million, which is equal to 0.25% of the initial pool balance.
Servicing Capabilities: Day-to-day servicing is provided by Discover Products Inc. (DPI), a wholly owned subsidiary of Discover Bank. Discover Bank serves as the master servicer. Both have demonstrated satisfactory servicing capabilities.
Under the Counterparty Criteria for Structured Finance and Covered Bonds, dated July 18, 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 the possibility of using investments not rated by Fitch; this represents a criteria variation. Fitch does not believe that such variation has a measurable impact on the ratings assigned. Additionally, under the definition of Eligible Institution and Eligible Deposit Account, the institution and accounts therein, in which the funds are deposited, may or may not be rated by Fitch, which is also considered a counterparty criteria variation.
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 trust.
DUE DILIGENCE USAGE
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to Fitch, or reviewed by Fitch in relation to this rating action.
Additional information is available at www.fitchratings.com.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)
Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
U.S. Private Student Loan ABS Criteria (pub. 31 Jul 2015)
Dodd-Frank Rating Information Disclosure Form
ABS Due Diligence Form 15E 1
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