Approximately $3.72 billion of asset-backed securities affected
New York, January 12, 2018 -- Moody's Investors Service, ("Moody's") has
upgraded the ratings of 10 classes of notes, downgraded the ratings
of 12 classes of notes, and confirmed the ratings of 10 classes
of notes in 15 National Collegiate Student Loan Trust (NCSLT) securitizations
backed by private (i.e. not government-guaranteed)
student loans. The loans are serviced primarily by the Pennsylvania
Higher Education Assistance Agency (PHEAA) with U.S. Bank,
N.A. acting as the special servicer. The administrator
for all securitizations is GSS Data Services, Inc.
Moody's has also upgraded the ratings of 4 classes of certificates
and confirmed the ratings of 4 classes of certificates in Student Loan
ABS Repackaging Trust, Series 2007-1 (SLART 2007-1).
In addition, Moody's has upgraded one class of certificate
in Student Loan ABS Repackaging Trust, Series 2007-2 (SLART
2007-2). Deutsche Bank Trust Company Americas is the administrator
and indenture trustee for both SLART transactions.
Complete rating actions are as follow:
Issuer: National Collegiate Student Loan Trust 2003-1 (The)
Cl. IO, Upgraded to Caa1 (sf); previously on Oct 18,
2017 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. A-7, Upgraded to Caa1 (sf); previously on
Oct 18, 2017 Caa2 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2004-1
Cl. A-3, Confirmed at B1 (sf); previously on
Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Upgraded to Ca (sf); previously on Jun
3, 2013 Downgraded to C (sf)
Cl. A-IO-2, Upgraded to Ca (sf); previously
on Jun 3, 2013 Downgraded to C (sf)
Issuer: National Collegiate Student Loan Trust 2004-2
Cl. B, Downgraded to B2 (sf); previously on Oct 18,
2017 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2005-1
Cl. A-5-1, Confirmed at Baa3 (sf); previously
on Oct 18, 2017 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-5-2, Confirmed at Baa3 (sf); previously
on Oct 18, 2017 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. B, Confirmed at Caa3 (sf); previously on Oct 18,
2017 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2005-2
Cl. A-4, Upgraded to Aa3 (sf); previously on
Jan 24, 2017 Upgraded to A3 (sf)
Cl. A-5-1, Confirmed at Caa1 (sf); previously
on Oct 18, 2017 Caa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-5-2, Confirmed at Caa1 (sf); previously
on Oct 18, 2017 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2005-3
Cl. A-5-1, Confirmed at B1 (sf); previously
on Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Cl. A-5-2, Confirmed at B1 (sf); previously
on Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Cl. B, Downgraded to C (sf); previously on Oct 18,
2017 Ca (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-1
Cl. A-5, Downgraded to Caa1 (sf); previously
on Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-2
Cl. A-3, Downgraded to Aa3 (sf); previously on
Oct 18, 2017 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Confirmed at Caa3 (sf); previously on
Oct 18, 2017 Caa3 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-3
Cl. A-4, Downgraded to A1 (sf); previously on
Oct 18, 2017 Aaa (sf) Placed Under Review for Possible Downgrade
Cl. A-5, Downgraded to B2 (sf); previously on
Oct 18, 2017 Ba1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-4
Cl. A-3, Downgraded to A1 (sf); previously on
Oct 18, 2017 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa1 (sf); previously
on Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2007-1
Cl. A-3, Downgraded to A3 (sf); previously on
Oct 18, 2017 A2 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa2 (sf); previously
on Oct 18, 2017 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2007-2
Cl. A-3, Downgraded to A3 (sf); previously on
Oct 18, 2017 Aa3 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Downgraded to Caa2 (sf); previously
on Oct 18, 2017 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2007-3
Cl. A-3-AR-1, Upgraded to Ba1 (sf);
previously on Feb 28, 2017 Confirmed at B1 (sf)
Cl. A-3-AR-2, Upgraded to B2 (sf);
previously on Oct 18, 2017 Caa3 (sf) Placed Under Review for Possible
Downgrade
Issuer: National Collegiate Student Loan Trust 2007-4
Cl. A-3-AR-1, Upgraded to Ba1 (sf);
previously on Feb 28, 2017 Confirmed at B1 (sf)
Cl. A-3-AR-2, Upgraded to B2 (sf);
previously on Oct 18, 2017 Caa3 (sf) Placed Under Review for Possible
Downgrade
Issuer: NCF Grantor Trust 2004-2
Cl. A-5-1, Confirmed at Baa2 (sf); previously
on Oct 18, 2017 Baa2 (sf) Placed Under Review for Possible Downgrade
Issuer: Student Loan ABS Repackaging Trust, Series 2007-1
Cl. 3-A-IO, Upgraded to Caa1 (sf); previously
on Oct 18, 2017 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 3-A-1, Upgraded to Caa1 (sf); previously
on Oct 18, 2017 Caa2 (sf) Placed Under Review for Possible Downgrade
Cl. 4-A-IO, Upgraded to Ca (sf); previously
on Jun 6, 2013 Downgraded to C (sf)
Cl. 4-A-1, Upgraded to Ca (sf); previously
on Jun 6, 2013 Downgraded to C (sf)
Cl. 5-A-IO, Confirmed at Baa3 (sf); previously
on Oct 18, 2017 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. 5-A-1, Confirmed at Baa3 (sf); previously
on Oct 18, 2017 Baa3 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A-IO, Confirmed at B1 (sf); previously
on Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Cl. 6-A-1, Confirmed at B1 (sf); previously
on Oct 18, 2017 B1 (sf) Placed Under Review for Possible Downgrade
Issuer: Student Loan ABS Repackaging Trust, Series 2007-2
Cl. IO, Upgraded to B3 (sf); previously on Oct 18,
2017 Caa1 (sf) Placed Under Review for Possible Downgrade
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
NCT-2003AR-12, Upgraded to Caa2 (sf); previously
on Oct 18, 2017 Caa3 (sf) Placed Under Review for Possible Downgrade
RATINGS RATIONALE
The NCSLT transactions in today's rating actions continue to be
subject to the operational and governance risk concerns outlined in Moody's
October 18, 2017 rating action. In that action, Moody's
placed on review for downgrade 27 of the 32 classes of notes that are
the subject of today's rating actions due to the increase in transaction
expense as well as the increase in operational and governance risk brought
on by a proposed consent judgment between the Consumer Financial Protection
Bureau and the beneficial owners of NCSLT transactions (CFPB Action).
The Court has not yet ruled on the settlement terms, the pending
motions to intervene, or any of the objections to the settlement
terms raised by the intervening parties. In addition to the CFPB
lawsuit, the NCSLT transactions are also subject to additional expenses
and operational risk from two other lawsuits involving the transaction
parties, as outlined in Moody's January 24, 2017 and
February 28, 2017 rating actions. The courts have yet to
rule on these lawsuits as well.
In today's rating actions, Moody's considered the potential
negative impact from extraordinary fees charged to the trusts, the
potential deterioration in performance of underlying pools due to servicer
transfer, a significant restriction on NCSLT's ongoing ability
to enforce debt obligations, implementation of the monetary penalty
as outlined in the CFPB proposed consent judgment, and further disgorgement
of prior recoveries from current cash flow.
The primary rationale for the downgrades is the potential negative impact
to cash flow from penalties which may be imposed by the CFPB and from
performance deterioration in the underlying pool if the propose proposed
consent order is implemented. An adverse impact on cash flow could
lead to insufficient credit enhancement to support the affected tranches
at specified rating levels. To reflect this elevated risk,
Moody's increased lifetime net loss assumptions from a range of
29%-47% to a range of 31%-56%.
In addition, while our prior actions reflected the view that the
2006-2007 NCSLT transactions are not subject to the same operational
concerns as the 2003-2005 NCSLT transactions, Moody's
believes that the CFPB Action creates significant uncertainty that may
impact cash flow for all 15 NCSLT transactions.
The primary rationale for the upgrades is the continued build-up
in credit enhancement as a result of the rapid pay down of senior notes
in sequential pay structures. Although overall parity ratios have
been declining, some senior class A-tranches have benefitted
from rapid deleveraging. For these tranches, subordination
and overcollateralization supporting the notes have increased, allowing
the tranche to achieve higher rating levels despite elevated net loss
assumptions.
Given that the ultimate outcome of the various lawsuits is unclear,
today's rating actions reflect Moody's current view of cash
flow impact to the NCSLT transactions. The results of the lawsuits,
however, are binary. As such, cash flow impact on NCSLT
tranches may improve or worsen depending on the outcome of these various
cases. Moody's will continue to evaluate the impact of the lawsuits
to the NCSLT transactions and monitor ongoing legal developments.
Certain certificates in repackaged transactions were also upgraded as
a result of upgrades to the NCSLT notes underlying the repacking trusts.
Ratings of the SLART 2007-1, Class 3-A-1,
Class 3-A-IO, Class 4-A-1, Class
4-A-IO, Class 5-A-1, Class 5-A-IO,
6-A-1, and Class 6-A-IO certificates
are based on the ratings of the underlying securities in the NCSLT transactions.
The rating of the Student Loan ABS Repackaging Trust 2007-2,
Class IO certificate is based on the ratings of the underlying IO certificates
in the SLART 2007-1 transaction.
The principal methodology used in rating all deals except Student Loan
ABS Repackaging Trust, Series 2007-1 and Student Loan ABS
Repackaging Trust, Series 2007-2 were "Moody's Approach to
Rating U.S. Private Student Loan-Backed Securities"
published in January 2010. The principal methodology used in rating
Student Loan ABS Repackaging Trust, Series 2007-1 and Student
Loan ABS Repackaging Trust, Series 2007-2 was "Moody's Approach
to Rating Repackaged Securities" published in June 2015. The principal
methodology used in rating National Collegiate Student Loan Trust 2003-1
(The) Cl. IO, National Collegiate Student Loan Trust 2004-1
Cl. A-IO-2 and Student Loan ABS Repackaging Trust,
Series 2007-1 Cl. 3-A-IO, Cl.
4-A-IO, Cl. 5-A-IO, Cl.
6-A-IO was "Moody's Approach to Rating Structured Finance
Interest-Only (IO) Securities" published in June 2017. Please
see the Rating Methodologies page on www.moodys.com for
a copy of these methodologies.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Among the factors that could drive the ratings up are lower defaults and
net losses on the underlying student loan pools than Moody's expects as
well as positive outcome for trusts with regard to mentioned lawsuits.
Down
Among the factors that could drive the ratings down are higher defaults
and net losses on the underlying student loan pools than Moody's expects
as well as negative outcome for trusts with regard to mentioned lawsuits.
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.
In rating all transactions except for Student Loan ABS Repackaging Trust,
Series 2007-1 and Student Loan ABS Repackaging Trust, Series
2007-2, Moody's used a cash flow model to model cash
flow stress scenarios to determine the extent to which investors would
receive timely payments of interest and principal in the stress scenarios,
given the transaction structure and collateral composition.
In rating Student Loan ABS Repackaging Trust, Series 2007-1
and Student Loan ABS Repackaging Trust, Series 2007-2 Moody's
did not use any models, or loss or cash flow analysis, in
its analysis.
For all transactions except for Student Loan ABS Repackaging Trust,
Series 2007-1 and Student Loan ABS Repackaging Trust, Series
2007-2, Moody's quantitative analysis entails an evaluation
of scenarios that stress factors contributing to sensitivity of ratings
and take into account the likelihood of severe collateral losses or impaired
cash flows. Moody's weights the impact on the rated instruments
based on its assumptions of the likelihood of the events in such scenarios
occurring.
For Student Loan ABS Repackaging Trust, Series 2007-1 and
Student Loan ABS Repackaging Trust, Series 2007-2,
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Donald Lee
Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Caroline Pichon
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
