Approximately $3.6 billion of asset backed securities affected.
New York, June 20, 2014 -- Moody's Investors Service upgraded 18 classes, downgraded 5 classes,
and confirmed 4 classes of notes in 14 National Collegiate Student Loan
Trust 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.,
a wholly owned subsidiary of Goal Structured Solutions, Inc.
RATINGS RATIONALE
The primary rationale for the upgrades is a continued build-up
in credit enhancement supporting the affected classes as a result of the
substantial pay down of the classes in a sequential-pay structure.
Although the ratios of total assets to total liabilities have declined
to a range of 68%-86% as of April 2014 from a range
of 75%-87% as of April 2013, the top-pay
senior classes have benefitted from the rapid deleveraging. Subordination
and overcollateralization supporting the 18 upgraded classes of notes
increased to a range of 38%-93% as of April 2014
from a range of 36%-90% as of April 2013.
The downgrades of five classes of notes in five securitizations are due
to the performance deterioration of the underlying student loan pools
and the consequent substantial erosion of total parity levels (the ratios
of total assets to total liabilities). To reflect the elevated
delinquencies and defaults in the underlying collateral pools, Moody's
increased its expected net losses on 2006-4, 2007-1,
2007-2, 2007-3 and 2007-4 securitizations to
a range of 45.9%-51.2% from a range
of approximately 43.2%-49.6%,
of the original pool balances.
The ratings of the Class A tranches also reflect our view that the probability
of occurrence of an event of default (EOD) is low. Therefore,
the ratings on these tranches continue to reflect sequential principal
payments and the resulting differentiation in their credit quality.
Despite a substantial amount of credit enhancement supporting the top-pay
Class A tranches, the probability of an EOD, however low,
negatively affects their credit quality and prevents them from achieving
a Aaa rating.
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.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Among the factors that could drive the ratings up are a decrease in basis
risk and lower net losses on the underlying assets than Moody's expects.
Down
Among the factors that could drive the ratings down are an increase in
basis risk and higher net losses on the underlying assets than Moody's
expects.
To assess rating implications of the higher expected losses, each
individual transaction was run through a variety of stress scenarios using
the Structured Finance Workstation® (SFW), a cash flow model
developed by Moody's Wall Street Analytics.
The complete rating actions as follow:
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
Lifetime Expected Net Losses: 25.6% of original pool
balance plus any loans added subsequently
NCT-2003AR-11, Confirmed at B1 (sf); previously
on Mar 25, 2014 B1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2004-1
Lifetime Expected Net Losses: 31.0% of original pool
balance plus any loans added subsequently
Cl. A-2, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 Upgraded to A1 (sf) and Placed Under Review for Possible
Upgrade
Issuer: National Collegiate Student Loan Trust 2004-2
Lifetime Expected Net Losses: 33.9% of original pool
balance plus any loans added subsequently
Cl. A-4, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 A1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2005-1
Lifetime Expected Net Losses: 30.1% of original pool
balance plus any loans added subsequently
Cl. A-4, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 A1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2005-2
Lifetime Expected Net Losses: 38.8% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade
Cl. A-4, Upgraded to Baa2 (sf); previously on
Mar 25, 2014 Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2005-3
Lifetime Expected Net Losses: 36.3% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade
Cl. A-4, Upgraded to A1 (sf); previously on Mar
25, 2014 A2 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2006-1
Lifetime Expected Net Losses: 39.0% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade
Cl. A-4, Upgraded to Baa1 (sf); previously on
Mar 25, 2014 Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2006-2
Lifetime Expected Net Losses: 47.7% of original pool
balance plus any loans added subsequently
Cl. A-2, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 Upgraded to Aa3 (sf) and Placed Under Review for Possible
Upgrade
Cl. A-3, Upgraded to Baa2 (sf); previously on
Mar 25, 2014 Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2006-3
Lifetime Expected Net Losses: 44.0% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 A1 (sf) Placed Under Review for Possible Upgrade
Cl. A-4, Upgraded to Baa3 (sf); previously on
Mar 25, 2014 Ba1 (sf) Placed Under Review for Possible Upgrade
Issuer: National Collegiate Student Loan Trust 2006-4
Lifetime Expected Net Losses: 51.2% of original pool
balance plus any loans added subsequently
Cl. A-2, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 A1 (sf) Placed Under Review for Possible Upgrade
Cl. A-3, Upgraded to Baa3 (sf); previously on
Mar 25, 2014 Ba1 (sf) Placed Under Review for Possible Upgrade
Cl. A-4, Downgraded to Caa2 (sf); previously
on Jun 3, 2013 Downgraded to B1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-1
Lifetime Expected Net Losses: 46.9% of original pool
balance plus any loans added subsequently
Cl. A-2, Upgraded to Aa1 (sf); previously on
Mar 25, 2014 A1 (sf) Placed Under Review for Possible Upgrade
Cl. A-3, Confirmed at Ba2 (sf); previously on
Mar 25, 2014 Ba2 (sf) Placed Under Review for Possible Upgrade
Cl. A-4, Downgraded to Caa3 (sf); previously
on Jun 3, 2013 Downgraded to Caa2 (sf)
Issuer: National Collegiate Student Loan Trust 2007-2
Lifetime Expected Net Losses: 50.2% of original pool
balance plus any loans added subsequently
Cl. A-2, Confirmed at A2 (sf); previously on
Mar 25, 2014 A2 (sf) Placed Under Review for Possible Upgrade
Cl. A-3, Confirmed at Baa3 (sf); previously on
Mar 25, 2014 Baa3 (sf) Placed Under Review for Possible Upgrade
Cl. A-4, Downgraded to Caa3 (sf); previously
on Jun 3, 2013 Downgraded to B1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-3
Lifetime Expected Net Losses: 45.9% of original pool
balance plus any loans added subsequently
Cl. A-2-AR-4, Upgraded to A3 (sf);
previously on Mar 25, 2014 Baa1 (sf) Placed Under Review for Possible
Upgrade
Cl. A-3-AR-2, Downgraded to Caa3 (sf);
previously on Jun 3, 2013 Confirmed at Caa2 (sf)
Issuer: National Collegiate Student Loan Trust 2007-4
Lifetime Expected Net Losses: 46.0% of original pool
balance plus any loans added subsequently
Cl. A-2-AR-4, Upgraded to A3 (sf);
previously on Mar 25, 2014 Baa1 (sf) Placed Under Review for Possible
Upgrade
Cl. A-3-AR-2, Downgraded to Caa3 (sf);
previously on Jun 3, 2013 Upgraded to Caa2 (sf)
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.
In rating this transaction, 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.
As the section on loss and cash flow analysis describes, 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 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 takes rating actions on 27 classes of notes in 14 National Collegiate Student Loan Trust securitizations