Fitch Ratings has affirmed the senior and subordinate education loan revenue bonds issued by New Hampshire Higher Education Loan Corporation (HELC) under the 1997 master trust and New Hampshire Health and Education Facilities Authority (HEFA) under the 1998 master trust. A Stable Outlook is assigned to the senior bonds and a Negative Outlook is assigned to the subordinate bonds, reflecting a deterioration of the private student loan collateral and lower loss coverage multiples.
The affirmations of the senior notes are based on sufficient level of enhancement in the trusts, consisting of a combination of subordination, overcollateralization, and projected minimum excess spread to cover the applicable risk factor stresses. The ratings on the subordinate notes are affirmed accounting for the level of trust's credit enhancement measured against the applicable risk factor stresses. The affirmation of the bonds includes credit for the significant increase in credit enhancement, as reflected in the trusts' increased parity ratios in June 2010, due to a tender offer of outstanding bonds.
For the portion of each trust that is backed by private student loans, Fitch conducted a review of the collateral performance that involved the calculation of loss coverage multiples based on the most recent data. A projected net loss amount was compared to available credit enhancement to determine the loss multiples. Fitch used proxy historical vintage loss data to form loss timing curves. After giving credit for seasoning of loans in repayment, Fitch applied the current cumulative gross loss level to the loss timing curves to derive the expected gross losses over the remaining life for each trust. A recovery rate of 15% was applied, which was the level assumed during each of the trusts' initial reviews. In addition, Fitch assumed excess spread to be the lesser of the current annualized excess spread; the average historical excess spread; and the most recent 12-month average excess spread, and applied that same rate over the remaining life.
Fitch has taken the following rating actions:
New Hampshire Higher Education Loan Corporation (HELC) 1997 master trust taxable senior education loan revenue bonds:
-- 1997 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 1998 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 1998 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- 1999 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 1999 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2000 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2000 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2001 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2002 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2004 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2004 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2006 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2006 A-3 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2007 A-1 affirmed at 'AAA/LS1'; Outlook Stable.
New Hampshire Health and Education Facilities Authority (HEFA) 1998 master trust tax-exempt senior education loan revenue bonds:
-- 2004 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2005 A-1 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2005 A-2 affirmed at 'AAA/LS1'; Outlook Stable;
-- 2006 A affirmed at 'AAA/LS1'; Outlook Stable;
-- 2007 A affirmed at 'AAA/LS1'; Outlook Stable.
New Hampshire Health and Education Facilities Authority (HEFA) 1998 tax-exempt subordinate education loan revenue bonds:
-- 1998 B affirmed at 'A/LS3'; Outlook Negative;
-- 1999 B affirmed at 'A/LS3'; Outlook Negative;
-- 2004 B affirmed at 'A/LS3'; Outlook Negative;
-- 2005 B affirmed at 'A/LS3'; Outlook Negative;
-- 2006 B affirmed at 'A/LS3'; Outlook Negative;
-- 2007 B affirmed at 'A/LS3'; Outlook Negative.
The following classes have been paid in full:
New Hampshire Higher Education Loan Corporation (HELC) series 2001 A-2, and series 2006 A-2.
New Hampshire Health and Education Facilities Authority (HEFA) series 2000 A, series 2001 A, series 2001 B, series 2002 A, series 2002 B, series 2003 A, and series 2004 A-1.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Fitch to Gauge Basis Risk in Auction- Rate U.S. FFELP SLABS Review Applying Updated Criteria' dated Sept. 22, 2010.
--'Fitch to Begin Review of U.S. FFELP SLABS Applying Updated Criteria', dated June 29, 2010.
--'Global Structured Finance Rating Criteria' dated Aug. 16, 2010.
--'U.S. Private Student Loan Criteria dated Aug. 24, 2009.
--'Rating US Federal Family Education Loan Program Student Loan ABS', dated April 11, 2008.
Applicable Criteria and Related Research:
Rating US Federal Family Education Loan Program Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=382306
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
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Contacts:
Fitch Ratings
Primary Analyst
Jeffrey Prackup, +1-212-908-0839
Director
Fitch,
Inc.
One State Street Plaza
New York, NY 10004
or
Committee
Chairperson
Cynthia Ullrich, +1-212-908-0609
Senior Director
or
Media
Relations:
Sandro Scenga, +1-212-908-0278
Email: sandro.scenga@fitchratings.com