Approximately $226 million of asset-backed securities affected.
New York, January 30, 2015 -- Moody's Investors Service has upgraded four classes of notes issued in
the 2002-A and 2003-A student loan securitizations sponsored
by KeyBank National Association. The underlying collateral consists
of private student loans originated by the bank. Although the securitizations
had originally included both loans originated under the Federal Family
Education Loan Program (FFELP) and private student loans, which
are not guaranteed or reinsured by the Federal government, all FFELP
loans and the corresponding notes have paid off.
The complete rating actions are as follows:
Issuer: KeyCorp Student Loan Trust 2002-A
Class II-A-2, Upgraded to Baa1 (sf); previously
on Nov 4, 2014 Baa3 (sf) Placed Under Review for Possible Upgrade
Issuer: KeyCorp Student Loan Trust 2003-A
Cl. II-A-3, Upgraded to Aaa (sf); previously
on Nov 4, 2014 Aa1 (sf) Placed Under Review for Possible Upgrade
Cl. II-A-IO, Upgraded to Aaa (sf); previously
on Nov 4, 2014 Aa1 (sf) Placed Under Review for Possible Upgrade
Cl. II-B, Upgraded to Baa1 (sf); previously on
Nov 4, 2014 Baa3 (sf) Placed Under Review for Possible Upgrade
RATINGS RATIONALE
The upgrades are a result of stable performance of the underlying collateral
pools and a build-up in overcollateralization. The transactions
are in a "full turbo" mode and are using all available excess
spread to pay down outstanding securities. Over the 12 months ending
on October 31, 2014, and September 30, 2014, for
the 2002-A and 2003-A securitizations, respectively,
the ratios of total assets to total liabilities have increased by approximately
2% to 108% for the 2002-A securitization, and
approximately 3.5% to 116% for the 2003-A
securitization. The transactions are generating approximately 2%
of net excess spread per year, which is contributing to their deleveraging
and growth in overcollateralization.
Moody's expected lifetime gross defaults are approximately 20.5%
for the 2002-A transaction, and approximately 22.5%
for the 2003-A transaction.
Factors that would lead to an upgrade or downgrade of the rating:
Upgrade:
Ratings could be further upgraded in the future upon a decrease in the
remaining net losses and a resulting increase in overcollateralization.
Downgrade:
Ratings could be downgraded in the future upon either an increase in the
remaining net losses or a reduction in excess spread as a result of an
interest rate basis mismatch between the assets and the liabilities of
the trusts.
The principal methodology used in these ratings was "Moody's Approach
to Rating U.S. Private Student Loan-Backed Securities"
published in January 2010. Please see the Credit Policy page on
www.moodys.com for a copy of this methodology.
The performance expectations for a given variable indicate Moody's forward-looking
view of the likely range of performance over the medium term. From
time to time, Moody's may, if warranted, change these
expectations. Performance that falls outside the given range may
indicate that the collateral's credit quality is stronger or weaker than
Moody's had anticipated when the related securities ratings were issued.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
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.
Moody's did not receive or take into account a third party assessment
on the due diligence performed regarding the underlying assets or financial
instruments related to the monitoring of these transactions in the past
six months.
In rating this transaction, 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 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 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 rating action, and
whose ratings may change as a result of this 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.
Haksun Kim
Associate 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
Irina Faynzilberg
VP - Sr Credit Officer/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
Moody's upgrades notes in two private student loan ABS by KeyCorp