New York, March 25, 2014 -- Moody's Investors Service has upgraded the ratings of five senior
classes of notes leaving them under review for further upgrades,
and placed under review for upgrade 17 senior classes of notes issued
by 14 National Collegiate Student Loan Trust Securitizations. The
underlying collateral consists of private student loans that are not guaranteed
or reinsured under either the Federal Family Education Loan Program (FFELP)
or any other federal student loan program. The loans are primarily
serviced by the Pennsylvania Higher Education Assistance Agency (PHEAA)
with U.S. Bank, N.A. acting as the special
servicer. Goal Structured Solutions, Inc. is the administrator
for all securitizations.
RATINGS RATIONALE
The primary rationale for the actions is the continued build-up
in credit enhancement supporting the affected notes as a results of the
substantial pay down of the notes in a sequential-pay structure.
Although the ratios of total assets to total liabilities have declined
to a range of 69%-86% as of January 2014 from a range
of 76%-87% as of January 2013, the top-pay
senior classes have benefitted from rapid deleveraging. Subordination
and overcollateralization supporting the affected classes of notes increased
to a range of 33%-93% as of January 2014 from a range
of 32%-88% as of January 2013.
During the review period, Moody's will project lifetime defaults
and net losses on the underlying student loan pools and conduct a detailed
cash flow analysis to assess whether the available credit enhancement
is sufficient to upgrade the current ratings of the affected classes of
notes.
PRINCIPAL METHODOLOGY
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.
Complete rating actions are as follows:
Issuer: National Collegiate Student Loan Trust 2004-1
Cl. A-2, Upgraded to A1 (sf) and Placed Under Review
for Possible Upgrade; previously on Jun 3, 2013 Confirmed at
A3 (sf)
Issuer: National Collegiate Student Loan Trust 2004-2
Cl. A-4, A1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Confirmed at A1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-1
Cl. A-4, A1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Confirmed at A1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-2
Cl. A-3, Upgraded to Aa3 (sf) and Placed Under Review
for Possible Upgrade; previously on Jun 3, 2013 Downgraded
to A1 (sf)
Cl. A-4, Ba1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-3
Cl. A-3, Upgraded to Aa3 (sf) and Placed Under Review
for Possible Upgrade; previously on Jun 3, 2013 Downgraded
to A1 (sf)
Cl. A-4, A2 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A2 (sf)
Issuer: National Collegiate Student Loan Trust 2006-1
Cl. A-3, Upgraded to Aa3 (sf) and Placed Under Review
for Possible Upgrade; previously on Jun 3, 2013 Downgraded
to A1 (sf)
Cl. A-4, Ba1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-2
Cl. A-2, Upgraded to Aa3 (sf) and Placed Under Review
for Possible Upgrade; previously on Jun 3, 2013 Downgraded
to A1 (sf)
Cl. A-3, Ba1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-3
Cl. A-4, Ba1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Cl. A-3, A1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-4
Cl. A-2, A1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Confirmed at A1 (sf)
Cl. A-3, Ba1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-1
Cl. A-2, A1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Confirmed at A1 (sf)
Cl. A-3, Ba2 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Ba2 (sf)
Issuer: National Collegiate Student Loan Trust 2007-2
Cl. A-2, A2 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to A2 (sf)
Cl. A-3, Baa3 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Downgraded to Baa3 (sf)
Issuer: National Collegiate Student Loan Trust 2007-3
Cl. A-2-AR-4, Baa1 (sf) Placed Under
Review for Possible Upgrade; previously on Jun 3, 2013 Upgraded
to Baa1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-4
Cl. A-2-AR-4, Baa1 (sf) Placed Under
Review for Possible Upgrade; previously on Jun 3, 2013 Upgraded
to Baa1 (sf)
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
NCT-2003AR-11, B1 (sf) Placed Under Review for Possible
Upgrade; previously on Jun 3, 2013 Upgraded to B1 (sf)
Factors that would lead to an upgrade or downgrade of the rating:
Up
Among the factors that could drive the rating up are a decline in basis
risk and lower net losses on the underlying assets than Moody's expects.
Down
Among the factors that could drive the rating down are an increase in
basis risk and higher net losses on the underlying assets than Moody's
expects.
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.
Moody's did not use any models, or loss or cash flow analysis,
in its analysis.
Moody's did not use any stress scenario simulations in its analysis.
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.
Jinwen Chen
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 reviews and upgrades senior notes issued by National Collegiate Student Loan Trust Securitizations