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Fitch Affirms KeyCorp Student Loan Trust 2006-A Group II Notes

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the ratings on all student loan notes issued by KeyCorp Student Loan Trust's 2006-A (Group II). The Rating Outlook remains Stable on the senior notes and Negative on the subordinate notes. A detailed list of rating actions follows at the end of this press release.

The pool consists of 100% private student loans, primarily Key Alternative Loans originated to undergraduate students. The pool also includes a combination of graduate student loans, consolidation loans, and CampusDoor loans marketed through the direct to consumer channel.

Fitch's Global Structured Finance Rating Criteria, Private Student Loan Asset-Backed Securities (ABS) Criteria, and 'Structured Finance Recovery Estimates for Distressed Securities' were used to review the transaction.

The affirmation on all of the student loan notes issued by KeyCorp Student Loan Trust 2006-A (Group II) is based on a loss coverage multiples commensurate with the notes' current ratings and are based on the collateral performance data as of May 31, 2012. The Outlook remains Stable on the senior 2006-A notes. The senior parity has continued to rise due to the effect of deleveraging. In Fitch's view, given the parity level of 139.39%, the senior notes possess sufficient credit enhancement to absorb remaining private student loan defaults Fitch estimates for this deal.

The Outlook remains Negative on the subordinate notes, as parity levels have declined. As of May 31, 2012, reported parity for the subordinate and junior subordinate notes is 106.98%, and 96.47%, respectively, down from 107.08% and 97.45% from the previous year. Given the current cash release level is 104.5%, no cash has been released from the trust.

A loss coverage multiple was determined by comparing projected net loss amount to available credit enhancement. Fitch used historical vintage loss data provided by KeyCorp and proxy data to form a loss timing curve representative of the private student loan collateral pools. After giving credit for seasoning of loans in repayment, Fitch applied the trust's current cumulative gross loss level to this loss timing curve to derive the expected gross losses over the projected remaining life.

As the junior subordinate class C notes' current rating classifies these notes as a distressed structured finance security, Fitch has calculated a Recovery Estimate (RE) which represents Fitch's calculation of expected principal recoveries, as a percentage of current note principal outstanding. The RE for the junior subordinate class C notes was calculated to be approximately 5.00% given Fitch's calculation of expected net recoveries and principal balance of the notes as of the latest reporting period.

Credit enhancement consists of excess spread and overcollateralization for the senior and subordinate notes, while the senior notes also benefit from subordination provided by the subordinate class B and junior subordinate class C notes. The junior subordinate notes are under-collateralized. Its credit enhancement is purely derived from future excess spread.

Fitch affirms its ratings on the following KeyCorp Student Loan Trust, 2006-A (Group II) notes:

--Senior class II-A-2 at 'A-sf'; Outlook Stable;

--Senior class II-A-3 at 'A-sf'; Outlook Stable;

--Senior class II-A-4 at 'A-sf'; Outlook Stable;

--Subordinate class II-B at 'B+sf'; Outlook Negative;

--Junior Subordinate class II-C at 'CCsf'.

Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

--'U.S. Private Student Loan ABS Criteria' Jan. 31, 2012;

--'Global Structured Finance Rating Criteria' Jun. 6, 2012;

--'Structured Finance Recovery Estimates for Distressed Securities' Nov. 16, 2011.

Applicable Criteria and Related Research:

U.S. Private Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=667570

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Structured Finance Recovery Estimates for Distressed Securities

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

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Fitch Ratings
Sandro Scenga, +1-212-908-0278
Media Relations, New York
sandro.scenga@fitchratings.com
or
Primary Analyst:
Jeffrey Prackup, +1-212-908-0839
Director
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson:
Tracy Wan, +1-212-908-9171
Senior Director

Source: Fitch Ratings