For example, pro-rata structures tend to address potential concentration risk as underlying assets are repaid by incorporating a trigger based on the
pool factor, or by stopping pro-rata payments in the deal tail.
number of outstanding rated tranches, the average
pool factor and the
Fitch utilized the
pool factor projection to arrive at a revised lifetime CNL proxy of 0.70% for this review, down from 0.95% in the prior review.
Because the legal final maturity of class A-3 is less than 11 years away, and the sponsor's ability to call the notes upon reaching 10%
pool factor, Fitch believes there is a limited margin of safety that supports a 'Bsf' rating, despite the notes failing the base cases.
A summary of the features common to mortgage-backed securities is given, which includes definitions of interest rate, security rate, maturity date, payment delay, issue date,
pool factor, security rating and pool insurance.
For this analysis, Fitch utilized an average of the straight line extrapolation and
pool factor method to arrive at a revised lifetime CNL proxy of 1.10%.
The transaction will continue to release cash as long as the target parity ratio of 100% (excluding the reserve, as the
pool factor is below 40%) is maintained.
Because the legal final maturity of class A-4 is 13 years away, and the sponsor's ability to call the notes upon reaching 10%
pool factor, Fitch believes there is a limited margin of safety that supports a 'Bsf' rating, despite the notes failing the base cases.
It utilized the blended (
pool factor and timing curve extrapolations) default proxy at 20.13% on the remaining balance in the pool, resulting in a revised expected lifetime CGD of 22.47%.
For this analysis, Fitch utilized the blended (
pool factor and timing curve extrapolations) default proxy at 20.13% on the remaining balance in the pool, resulting in a revised expected lifetime CGD of 22.47%.
The transaction will continue to release cash as long as the target total parity ratio of 100% (excluding the reserve, as
pool factor is below 40%) is maintained.
In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10%
pool factor, and the revolving credit agreement in place for the benefit of the noteholders.
