Approximately $6.4 billion of asset-backed securities affected
New York, October 07, 2011 -- Moody's Investors Service downgraded 56 classes of notes in 14 student
loan securitizations sponsored, serviced and administered by Access
Group, Inc., a not-for-profit entity.
Moody's had placed these transactions on review for downgrade on
April 14, 2011, when it introduced new rating guidance for
assessing operational risk with the publication of "Global Structured
Finance Operational Risk Guidelines: Moody's Approach to Analyzing
Performance Disruption Risk." Moody's also downgraded
the subordinate notes from three transactions because of deterioration
in collateral performance. Loans originated under the Federal Family
Education Loan Program (FFELP) back 7 of the affected transactions,
private credit student loans that are not guaranteed or reinsured by the
U.S. government back 6 of the transactions, and a
mixed pool of private credit and FFELP student loans backs one transaction,
Access Group 2001.
RATINGS RATIONALE
The downgrades reflect the lack of mitigants to loan servicing or payment
disruption risk in the transactions. Access Group, Inc.
acts as both administrator and primary servicer responsible for collecting
on the underlying loans.
These transactions have no back-up servicer, back-up
administrator arrangement or third party in place to facilitate a servicing
transfer. The lack of such back-up arrangements increases
the risk of deterioration in the collateral performance and could lead
to a payment default in the event that Access Group is no longer able
to administer these transactions and service the underlying collateral
of these transactions. Moody's now caps the ratings of transactions
exposed to such risk at Aa3(sf) for FFELP student loan-backed transactions
and at Baa1(sf) for private student loan-backed transactions.
Moody's downgraded the notes issued by Access Group 2005-A
and 2005-B to Baa2 (sf) because, in addition to the lack
of a back-up servicer and administrator, both trusts benefit
from a basis risk swap, which could be terminated and reduce excess
spread generated by the trusts if non-performance of the servicer
or administrator caused a payment disruption.
Moody's downgraded the subordinate notes from Access Group 2002-A,
2003-A and 2004-A to B2 (sf), Ba2 (sf) and Baa2 (sf)
primarily because of deterioration in collateral performance. Despite
the significant seasoning of the underlying collateral in these transactions,
delinquencies and annualized defaults have remained elevated relative
to the pre-2008 levels, causing Moody's to revise its
expected lifetime net losses to 12% for Access Group 2002-A,
11.2% for Access Group 2003-A and 11.2%
for 2004-A. In addition, because a large proportion
of these transactions are auction rate securities, the downgrades
of the senior notes will lead to an increase in their coupon rates.
Auction rate securities represent approximately 90%, 89%
and 42% of the total outstanding notes in the 2002-A,
2003-A and 2004-A transactions, respectively.
Following the dislocation of the auction rate market in the beginning
of 2008, the coupon rates on these notes have been reset to a "failed-auction"
rate, which depends (among other things) on the credit ratings of
the notes. Because we are downgrading the senior notes to Baa1
(sf), their coupon rates will increase to T-bill plus 1.75%
from T-bill plus 1.25%.
The principal methodology used in rating actions on private student loan-backed
securitizations was "Moody's Approach to Rating U.S. Private
Student Loan-Backed Securities", published on January 6th,
2010 and is available at www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Rating Methodologies sub-directory
on Moody's website.
In monitoring securitizations backed by FFELP student loans, Moody's
assesses both liquidity and credit risks of the transactions. The
factors affecting liquidity and credit performance of a transaction include
defaults, guarantor reject rates, voluntary prepayments,
basis risk, borrower benefit utilization, and the number of
borrowers in non-repayment status, such as deferment and
forbearance. As a part of our analysis, we examine historical
FFELP static pool performance data. To the extent that performance
data is available from a specific issuer, that information is used
to arrive at our cash flow assumptions for that particular issuer.
If an issuer's data are either limited or unavailable, our assumptions
are based on FFELP performance data received from other participants.
Historical interest rates and spreads are also analyzed to evaluate the
basis risk between the interest rate to which the notes are indexed and
the interest rate to which the FFELP loans are indexed. This historical
data is used to derive at expected, or most likely, outcome
for each variable. These expected defaults, prepayments,
interest rates, and other assumptions are then stressed in accordance
with the rating categories requested by the issuer. Factors that
influence the stress levels include the availability of relevant issuer-specific
performance data, the seasoning of the loans, collateral concentrations
(school types, loan programs), the financial strength and
stability of the servicer, and the general economic environment.
These stressed assumptions are then incorporated into a cash flow model
that takes into account the FFELP loan characteristics as well as structural
(e.g., starting parity, cash flow waterfall,
bond tranching, etc.) and pricing features of the transaction.
The cash flow model outputs are analyzed to determine whether the transaction
as structured by the issuer has sufficient credit protection to pay off
the notes by their legal final maturity dates. In certain circumstances
where cash flow runs are not available, we rely on model results
from similar transactions. We also analyze the liquidity risk of
the transaction given that borrowers can be in non-repayment status
while in school, grace, deferment or forbearance status,
and the transaction can experience delays in default reimbursement and
other payments. Basis risk is the primary credit risk in FFELP
student loan ABS. Moody's Aaa (sf) stressed basis risk assumption
between LIBOR and the CP Rate is 25 basis points with certain periods
in which the spread increases to 150 basis points. This is based
on an analysis of historical spreads between the two indices. For
additional information, please see "Methodology Update on Basis
Risk in FFELP Student Loan-Backed Securitization," on moodys.com.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Rating Methodologies sub-directory
on Moody's website.
Moody's also took into account its Rating Implementation Guidance "Global
Structured Finance Operational Risk Guidelines: Moody's Approach
to Analyzing Performance Disruption Risk" published in April 2011.
RATINGS:
Complete actions are as follows:
Issuer: Access Group Inc. - Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-2
2005-2-A-1, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-2-A-2, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-2-A-3, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-2-A-4, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group Inc. Federal Student Loan Asset-Backed
Notes, (2002 Trust Indenture)
Senior Ser. 2002-1 Cl. A-3, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2002-1 Cl. A-4, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2002-1 Cl. A-2, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-2, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-3, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2003-1 Cl. A-4, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2003 Cl. A-5, Downgraded to Aa3
(sf); previously on Apr 14, 2011 Aaa (sf) Placed Under Review
for Possible Downgrade
Senior Ser. 2003-1 Cl. A-6, Downgraded
to Aa3 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
2004-1A-1, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-1A-2, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-1A-3, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-1A-4, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-1A-5, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group Inc. Private Student Loan asset-Backed
Floating Rate Notes, Series 2005-B
2005-B Cl. A-2, Downgraded to Baa2 (sf);
previously on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible
Downgrade
2005-B Cl. A-3, Downgraded to Baa2 (sf);
previously on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible
Downgrade
2005-B Cl. B-2, Downgraded to Baa2 (sf);
previously on Apr 14, 2011 A3 (sf) Placed Under Review for Possible
Downgrade
Issuer: Access Group Inc., Series 2006-1
2006-1-A-2, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2006-1-A-3, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2006-1-A-1, Withdrawn (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-1
2005-1-A-1, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-1-A-2, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-1-A-3, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-1-A-4, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Private Student Loan Asset-Backed
Floating Rate Notes, Series 2007-A
2007-A-A-2, Downgraded to Baa1 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-A-3, Downgraded to Baa1 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-B, Downgraded to Baa1 (sf); previously
on Apr 14, 2011 A3 (sf) Placed Under Review for Possible Downgrade
2007-A-A-1, Withdrawn (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2001
Cl. I A-2 Group I, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. II A-1 Group II, Downgraded to Baa1 (sf);
previously on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible
Downgrade
Cl. B, Downgraded to Baa1 (sf); previously on Apr 14,
2011 A3 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2002-A
Senior Ser. 2002-A Cl. A-1, Downgraded
to Baa1 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Subordinate 2002-A Cl. B, Downgraded to B2 (sf);
previously on Apr 14, 2011 A2 (sf) Placed Under Review for Possible
Downgrade
Issuer: Access Group, Inc. Series 2004-2
2004-2-A-1, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-2-A-2, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-2-A-3, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-2-A-4, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2004-2-A-5, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2007-1
2007-A-2, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-3, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-4, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2007-A-5, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2007-B, Downgraded to Aa3 (sf); previously on Apr 14,
2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2008-1
2008-1 Cl. A, Downgraded to Aa3 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc., Private Student Loan
Asset-Backed Floating Rate Notes, Series 2005-A
2005-A-A-2, Downgraded to Baa2 (sf); previously
on Apr 14, 2011 Aaa (sf) Placed Under Review for Possible Downgrade
2005-A-A-3, Downgraded to Baa2 (sf); previously
on Apr 14, 2011 Aa1 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc., Private Student Loan
Asset-Backed Notes, Series 2004-A
A-2, Downgraded to Baa1 (sf); previously on Apr 14,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
A-3, Downgraded to Baa1 (sf); previously on Apr 14,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
A-4, Downgraded to Baa1 (sf); previously on Apr 14,
2011 Aaa (sf) Placed Under Review for Possible Downgrade
B-1, Downgraded to Baa2 (sf); previously on Apr 14,
2011 A3 (sf) Placed Under Review for Possible Downgrade
B-2, Downgraded to Baa2 (sf); previously on Apr 14,
2011 A3 (sf) Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc., Series 2003-A
Senior Ser. 2003-A Cl. A-1, Downgraded
to Baa1 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2003-A Cl. A-2, Downgraded
to Baa1 (sf); previously on Apr 14, 2011 Aaa (sf) Placed Under
Review for Possible Downgrade
Senior Ser. 2003-A Cl A-3, Downgraded to Baa1
(sf); previously on Apr 14, 2011 Aaa (sf) Placed Under Review
for Possible Downgrade
Senior Ser. 2003-A Cl. B, Downgraded to Ba2
(sf); previously on Feb 24, 2011 A2 (sf) Placed Under Review
for Possible Downgrade
REGULATORY DISCLOSURES
For ratings issued on a program, series or category/class of debt,
this announcement provides relevant regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides relevant regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides relevant regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, and confidential and proprietary
Moody's Investors Service information.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past 6 months.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Moody's adopts all necessary measures so that the information it uses
in assigning a rating is of sufficient quality and from sources Moody's
considers to be reliable including, when appropriate, independent
third-party sources. However, Moody's is not an auditor
and cannot in every instance independently verify or validate information
received in the rating process.
Please see Moody's Rating Symbols and Definitions on the Rating Process
page on www.moodys.com for further information on the meaning
of each rating category and the definition of default and recovery.
Please see ratings tab on the issuer/entity page on www.moodys.com
for the last rating action and the rating history.
The date on which some ratings were first released goes back to a time
before Moody's ratings were fully digitized and accurate data may not
be available. Consequently, Moody's provides a date that
it believes is the most reliable and accurate based on the information
that is available to it. Please see the ratings disclosure page
on our website www.moodys.com for further information.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
JingJing Dang
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
John Park
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's downgrades 56 notes in 14 Access Group's student loan deals
