Approximately $6.1 billion of Asset-Backed Securities affected.
New York, April 07, 2010 -- Moody's Investors Service placed under review for possible downgrade the
ratings on 75 classes of notes in 15 National Collegiate student loan
securitizations backed by private (i.e. non-government
guaranteed) student loans. First Marblehead Data Services,
Inc. and First Marblehead Education Resources, Inc.,
subsidiaries of First Marblehead Corporation, are the administrator
and special servicer respectively of the transactions.
The reviews were prompted by worse than expected collateral performance,
and in particular by the higher than expected defaults to date for loans
originated through school financial aid offices as well as those originated
through the direct-to-consumer (DTC) channel. DTC
loans accounted for up to 80-90% of most pools at closing.
As of the February 28, 2010 distribution date, the more seasoned
pools securitized in 2001-2004 had experienced in excess of 15%
cumulative gross defaults, as a percent of the original collateral
balance including cumulative capitalized interest; the pool factors
for these transactions are still in the 50-60% range.
The more recent pools securitized after 2005, on the other hand,
have incurred lower cumulative defaults to date; however, 30%
to 50% (depending on the pool) of the loans are still "in
school" status.
The elevated defaults have significantly eroded the collateral base as
shown by the steady decline in parity level (i.e. the ratio
of total assets to total liabilities) for all securitizations.
Total parity including the TERI pledge fund has decreased from 96-98%
as of February 2009 to 90-94% as of February 2010 for the
more seasoned transactions.
The available credit enhancement for each class of notes includes overcollateralization,
reserve fund, TERI pledge fund, subordination, and excess
spread. Significant structural features include note interest triggers,
reserve fund floors, and the change in cash flow allocations among
the senior classes under the occurrence of certain events.
During the review period, Moody's will continue to refine its assessment
of losses relative to the credit enhancement available.
Primary sources of uncertainty with regard to expected losses are the
weak economic environment and the high unemployment rate, which
adversely impacts the income-generating ability of the borrowers.
The performance of DTC loans in particular is highly sensitive to these
factors. In addition, the historical loss performance data
available for these pools is relatively limited particularly for the most
recent securitizations, as over 90% of the borrowers in the
pools were still in school when the notes were issued.
The principal methodology used in these rating actions was "Moody's Approach
to Rating U.S. Private Student Loan-Backed Securities"
and is available at www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Rating Methodologies sub-directory
on Moody's website. In addition, Moody's publishes a weekly
summary of structured finance credit, ratings and methodologies,
available to all registered users of our website, at www.moodys.com/SFQuickCheck.
The complete rating actions are as follows:
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
NCT-2003AR-11, A3 Placed Under Review for Possible
Downgrade; previously on Jun 11, 2009 Confirmed at A3
NCT-2003AR-12, A3 Placed Under Review for Possible
Downgrade; previously on Jun 11, 2009 Confirmed at A3
NCT-2003AR-13, A3 Placed Under Review for Possible
Downgrade; previously on Jun 11, 2009 Confirmed at A3
NCT-2003AR-14, A3 Placed Under Review for Possible
Downgrade; previously on Jun 11, 2009 Confirmed at A3
NCT-2005AR-15, A3 Placed Under Review for Possible
Downgrade; previously on Jun 11, 2009 Confirmed at A3
NCT-2005AR-16, Ba3 Placed Under Review for Possible
Downgrade; previously on Apr 13, 2009 Downgraded to Ba3
Issuer: National Collegiate Student Loan Trust 2003-1 (The)
Cl. A-7, A1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A1
Cl. IO, A1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A1
Cl. B-1, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Cl. B-2, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2004-1
Cl. A-3, Aa3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa3
Cl. A-4, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
Cl. A-IO-1, A2 Placed Under Review for Possible
Downgrade; previously on Mar 11, 2009 Downgraded to A2
Cl. A-IO-2, A2 Placed Under Review for Possible
Downgrade; previously on Mar 11, 2009 Downgraded to A2
Cl. B-1, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Cl. B-2, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: The National Collegiate Student Loan Trust 2004-2
Cl. A-5-1, A2 Placed Under Review for Possible
Downgrade; previously on Mar 11, 2009 Downgraded to A2
Cl. A-IO, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2005-1
Cl. A-4, Aa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa2
Cl. A-5-1, A2 Placed Under Review for Possible
Downgrade; previously on Mar 12, 2009 Confirmed at A2
Cl. A-5-2, A2 Placed Under Review for Possible
Downgrade; previously on Mar 12, 2009 Confirmed at A2
Cl. B, Ba2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Ba2
Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2005-2
Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
Cl. A-4, Aa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa3
Cl. A-5, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa1
Cl. A-5-2, Baa1 Placed Under Review for Possible
Downgrade; previously on Mar 11, 2009 Downgraded to Baa1
Cl. A-IO, Baa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa1
Cl. B, B1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to B1
Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2005-3
Cl. A-4, Aa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa3
Cl. A-5-1, Baa1 Placed Under Review for Possible
Downgrade; previously on Mar 12, 2009 Confirmed at Baa1
Cl. A-5-2, Baa1 Placed Under Review for Possible
Downgrade; previously on Mar 12, 2009 Confirmed at Baa1
Cl. A-IO-1, Baa1 Placed Under Review for Possible
Downgrade; previously on Mar 12, 2009 Confirmed at Baa1
Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Cl. A-IO-2, Baa1 Placed Under Review for Possible
Downgrade; previously on Mar 12, 2009 Confirmed at Baa1
Issuer: National Collegiate Student Loan Trust 2006-1
Cl. A-4, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
Cl. A-5, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
Cl. A-IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2006-2
Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
Cl. A-4, A3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A3
Cl. A-IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A3
Cl. B, Ba3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba3
Cl. C, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2006-3
Cl. A-4, Aa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa2
Cl. A-5, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
Cl. IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Baa2
Cl. C, B1 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at B1
Cl. D, B3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at B3
Issuer: National Collegiate Student Loan Trust 2006-4
Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
Cl. A-4, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
Cl.A-IO, A2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to A2
Cl. B, Ba2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba2
Cl. C, B1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to B1
Cl. D, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2007-1
Cl. A-3, Aa2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Aa2
Cl. A-4, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
Cl.A-IO, A3 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A3
Cl. B, Ba1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Ba1
Cl. C, B2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to B2
Cl. D, Caa3 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Caa3
Issuer: National Collegiate Student Loan Trust 2007-2
Cl. A-3, Aa1 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Aa1
Cl. A-4, A2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A2
Cl.A-IO, A2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at A2
Cl. B, Baa2 Placed Under Review for Possible Downgrade;
previously on Mar 11, 2009 Downgraded to Baa2
Cl. C, Ba2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at Ba2
Cl. D, B2 Placed Under Review for Possible Downgrade;
previously on Mar 12, 2009 Confirmed at B2
Issuer: National Collegiate Student Loan Trust 2007-3
Cl. A-3-AR-6, Caa1 Placed Under Review
for Possible Downgrade; previously on Jul 29, 2009 Downgraded
to Caa1
Issuer: National Collegiate Student Loan Trust 2007-4
Cl. A-3-AR-6, Caa1 Placed Under Review
for Possible Downgrade; previously on Jul 29, 2009 Downgraded
to Caa1
Please see www.moodys.com for more information.
New York
Luisa De Gaetano
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
JingJing Dang
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's places on review for downgrade ratings of National Collegiate student loan notes