Approximately $1.9 billion of asset-backed securities affected
New York, November 17, 2016 -- Moody's Investors Service, ("Moody's") has
downgraded the ratings of 24 tranches and upgraded the ratings of two
tranches in seven securitizations backed by student loans originated under
the Federal Family Education Loan Program (FFELP), issued by Access
Group Inc. The loans are guaranteed by the US government for a
minimum of 97% of defaulted principal and accrued interest.
The complete rating actions are as follow:
Issuer: Access Group Inc. Federal Student Loan Asset-Backed
Notes, (2002 Trust Indenture)
Senior Ser. 2002-1 Cl. A-3, Downgraded
to Baa3; previously on Dec 18, 2013 Upgraded to Aaa
Senior Ser. 2002-1 Cl. A-4, Downgraded
to Baa3; previously on Dec 18, 2013 Upgraded to Aaa
Sub. Ser. 2002-1 Cl. B, Downgraded to
Ca; previously on Jun 14, 2016 Caa3 Placed Under Review for
Possible Upgrade
Senior Ser. 2003-1 Cl. A-3, Downgraded
to Baa3; previously on Dec 18, 2013 Upgraded to Aaa
Senior Ser. 2003-1 Cl. A-4, Downgraded
to Baa3; previously on Dec 18, 2013 Upgraded to Aaa
Senior Ser. 2003 Cl. A-5, Downgraded to Baa3;
previously on Dec 18, 2013 Upgraded to Aaa
Senior Ser. 2003-1 Cl. A-6, Downgraded
to Baa3; previously on Dec 18, 2013 Upgraded to Aaa
Sub. Ser. 2003-1 Cl. B, Downgraded to
Ca; previously on Jun 14, 2016 Caa3 Placed Under Review for
Possible Downgrade
Senior Ser. 2004-1A-3, Downgraded to Baa3;
previously on Dec 18, 2013 Upgraded to Aaa
Senior Ser. 2004-1A-4, Downgraded to Baa3;
previously on Jun 14, 2016 Aaa Placed Under Review for Possible
Downgrade
Senior Ser. 2004-1A-5, Downgraded to Baa3;
previously on Jun 14, 2016 Aaa Placed Under Review for Possible
Downgrade
Sub. Ser. 2004-1B, Downgraded to Ca; previously
on Jun 14, 2016 Caa3 Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2004-2
2004-2-A-3, Downgraded to A1; previously
on Jun 22, 2015 Aa3 Placed Under Review for Possible Downgrade
2004-2-A-4, Downgraded to A1; previously
on Jun 22, 2015 Aaa Placed Under Review for Possible Downgrade
2004-2-A-5, Downgraded to Aa3; previously
on Jun 14, 2016 Aaa Placed Under Review for Possible Downgrade
2004-2-B, Downgraded to Baa2; previously on Jun
14, 2016 A2 Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-1
2005-1-A-4, Downgraded to Baa1; previously
on Jun 14, 2016 Aaa Placed Under Review for Possible Downgrade
2005-1-B, Downgraded to Baa2; previously on Jun
14, 2016 Aa1 Placed Under Review for Possible Downgrade
Issuer: Access Group Inc. - Federal Student Loan Asset-Backed
Floating Rate Notes, Series 2005-2
2005-2-B, Upgraded to A1; previously on Jun 14,
2016 A3 Placed Under Review for Possible Upgrade
Issuer: Access Group Inc., Series 2006-1
2006-1-A-3, Downgraded to A1; previously
on Jun 14, 2016 Aaa Placed Under Review for Possible Downgrade
2006-1-B, Downgraded to A1; previously on Jun
14, 2016 Aa1 Placed Under Review for Possible Downgrade
Issuer: Access Group, Inc. Series 2007-1
2007-A-4, Downgraded to Ba2; previously on Jun
22, 2015 Aaa Placed Under Review for Possible Downgrade
2007-A-5, Downgraded to Baa3; previously on Jun
14, 2016 Aaa Placed Under Review for Possible Downgrade
2007-B, Downgraded to Baa3; previously on Jun 14,
2016 Aa1 Placed Under Review for Possible Downgrade
2007-C, Downgraded to Baa3; previously on Jun 14,
2016 Aa3 Placed Under Review for Possible Downgrade
Issuer: Access Funding 2015-1 LLC
Class B Notes, Upgraded to Aaa (sf); previously on Jun 14,
2016 A2 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
Most of the notes in today's rating actions were placed on watch
in June 2016 in connection with the application of Moody's updated
FFELP methodology. Under the new methodology, Moody's
derives the expected loss of each tranche by running its standard 28 cash
flow scenarios and using the weights associated with each scenario.
The downgrades are primarily a result of Moody's analysis indicating that
the tranches will not pay off by final maturity dates in either some or
all of Moody's 28 cash flow scenarios, thus causing the tranches
to incur expected losses that are higher than the expected loss benchmarks
set in Moody's idealized loss tables for the previous ratings.
The low payment rates on the underlying securitized pools of FFELP student
loans are driven primarily by persistently high levels of loans to borrowers
in non-standard payment plans, including deferment,
forbearance and Income-Based Repayment (IBR), as well as
by the relatively low rates of voluntary prepayments.
Today's downgrades of tranches of Access Group Inc. Federal
Student Loan Asset-Backed Notes (2002 Trust Indenture) also reflect
error corrections. As to all of these tranches, in our June
2016 action we incorrectly calculated the Commercial Paper Rate,
which led to the coupon of the notes being capped at net loan rate.
As a result of the correction, the coupon in our cash flow scenarios
is higher, and the expected loss for these classes has increased
to a level higher than the expected loss benchmark levels set in Moody's
Idealized Cumulative Expected Loss Rates table for the previous ratings.
The rating actions on the senior auction rate tranches of Access Group
Inc. Federal Student Loan Asset-Backed Notes (2002 Trust
Indenture), Senior Ser. 2002-1 Cl. A-3,
Senior Ser. 2002-1 Cl. A-4, Senior Ser.
2003-1 Cl. A-3, Senior Ser. 2003-1
Cl. A-4, Senior Ser. 2003 Cl. A-5,
Senior Ser. 2003-1 Cl. A-6, Senior Ser.
2004-1A-3, Senior Ser. 2004-1A-4
and Senior Ser. 2004-1A-5, also reflect the
correction of an additional error related to the paydown of affected auction
rate securities. As to these tranches, in our June 2016 watch
action we incorrectly modeled the paydown of the auction rate securities
under a sequential structure, which led to only the bottom two senior
notes (Senior Ser. 2004-1A-4 and Senior Ser.
2004-1A-5) being placed on review for possible downgrade.
Given uncertainty due to trustee discretion in paydown sequence,
we updated our models to reflect a pro-rata sequence amongst the
senior auction rate securities. As a result of the correction,
some of the notes that were previously not on review for downgrade had
expected losses that increased to a level higher than the expected loss
benchmark levels set in Moody's Idealized Cumulative Expected Loss Rates
table for the prior ratings.
The upgrades of one tranche of Access Group Inc. Federal Student
Loan Asset-Backed Floating Rate Notes, Series 2005-2
and one tranche of Access Funding 2015-1 LLC are primarily a result
of Moody's analysis indicating that the expected losses on these tranches
across Moody's cash flow scenarios are lower than the expected loss benchmarks
in Moody's Idealized Cumulative Expected Loss Rates table for the previous
tranche ratings. Access Funding 2015-1 LLC is full turbo.
The principal methodology used in these ratings was "Moody's Approach
to Rating Securities Backed by FFELP Student Loans' published in August
2016. Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Among the factors that could drive the ratings up are lower than expected
borrower usage of deferment, forbearance and IBR, higher than
expected voluntary prepayment rates, prepayments with proceeds from
sponsor repurchases of student loan collateral.
Down
Among the factors that could drive the ratings down are lower than expected
levels of voluntary prepayments, higher than expected borrower usage
of deferment, forbearance and IBR, declining credit quality
of the US government.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
In rating Access Funding 2015-1 LLC, Moody's used a
cash flow model to model cash flow stress scenarios to determine the extent
to which investors would receive timely payments of interest and principal
in the stress scenarios, given the transaction structure and collateral
composition.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
Moody's weights the impact on the rated instruments based on its
assumptions of the likelihood of the events in such scenarios occurring.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain 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 certain regulatory disclosures in relation
to the credit rating action on the support provider and in relation to
each particular credit rating action for securities that derive their
credit ratings from the support provider's credit rating.
For provisional ratings, this announcement provides certain 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.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this credit rating action,
and whose ratings may change as a result of this credit rating action,
the associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
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.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Caroline Pichon
Vice President - Senior 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
Kruti Muni
Senior Vice President/Manager
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
