Approximately $9.1 billion of asset-backed securities affected.
New York, June 16, 2011 -- Moody's Investors Service downgraded 12 classes of notes and confirmed
77 classes of notes in 15 National Collegiate student loan securitizations
backed by private (i.e. not government guaranteed) student
loans. First Marblehead Data Services, Inc. (FMDS)
and First Marblehead Education Resources, Inc., (FMER)
subsidiaries of First Marblehead Corporation (FMC), are the administrator
and the special servicer of the transactions, respectively.
RATINGS RATIONALE
The downgrades were prompted by elevated defaults and the consequent erosion
of parity levels (i.e. the ratio of total assets to total
liabilities) for the subordinate notes. For more seasoned transactions
(i.e., those closed in 2004 or earlier) which should
have experienced a slowdown in defaults, and therefore an increase
in total parity, the parity continued to decline from a range of
86.8-94.4% in August 2010 to 85.2-92.2%
in April 2011. Among the more recent transactions (i.e.,
those closed in 2005 or later), the total parity declined from 87.7-92.7%
to 87.6-90.8% during the same period.
We expect additional defaults and further declines in parity as more borrowers
enter repayment.
FMC provides to Moody's supplemental static pool cumulative default
information by repayment year and loan type on a quarterly basis.
In March 2011, Moody's received a third-party audit
of this supplemental performance information, which contained no
significant exceptions.
Available credit enhancement to the transactions includes overcollateralization,
reserve funds, subordination, and excess spread. Significant
structural features include subordinate note interest triggers,
reserve fund floors, and the change in the cash flow allocations
among the senior classes upon the occurrence of certain triggers.
In particular, senior notes from most trusts (other than the Master
Trust, 2003-1, 2004-1, 2007-3 and
2007-4) benefit from the subordinate note interest trigger event,
which redirects interest payments on the subordinate notes to principal
payments on the senior notes. As of the April 2011 reporting period,
the Class C interest trigger was in effect for the 2005-1,
2005-2, 2006-1, and 2006-2 transactions.
In addition, the Class D interest trigger was in effect for the
2007-2 transaction.
The principal methodology used in National Collegiate Student Loan Trust
rating actions was "Moody's Approach to Rating U.S. Private
Student Loan-Backed Securities", published on January 6th,
2010 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.
Our expected lifetime net losses as a percentage of the original pool
balance plus any loans added subsequently are approximately 23.9%,
28.6%, 26.3%, 31.2%,
25.8%, 31.2%, 28.6%,
29.2%, 35.9%, 30.7%,
36.2%, 33.4%, 34.4%,
33.9% and 33.8% respectively for the Master
Trust, 2003-1, 2004-1, 2004-2,
2005-1, 2005-2, 2005-3, 2006-1,
2006-2, 2006-3, 2006-4, 2007-1,
2007-2, 2007-3 and 2007-4 trusts. For
the trusts excluding the Master Trust and 2007-3 and 2007-4,
the ratings of the most junior Class A tranches could be upgraded in the
future if the lifetime expected net losses are 10% lower,
or downgraded if the lifetime expected net losses are 10% higher
than the levels indicated above. The ratings of Class 2005AR-16
of the Master Trust and Class A-3-AR-7 of 2007-3
and 2007-4 will not be affected in the future if the lifetime expected
net losses are 10% lower or 10% higher than the levels indicated
above.
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. 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. Overall, we expect overall a sluggish
recovery in most of the world largest economies, returning to trend
growth rate with elevated fiscal deficits and persistent unemployment
levels. 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.
Moody's Investors Service has received and taken into account a third
party due diligence report on the underlying assets or financial instruments
related to the monitoring of this transaction in the past 6 months.
RATINGS
Complete rating actions are as follows:
Issuer: National Collegiate Student Loan Trust 2003-1 (The)
Cl. A-7, Confirmed at Caa1 (sf); previously on
Sep 30, 2010 Downgraded to Caa1 (sf) and Remained On Review for
Possible Downgrade
Cl. IO, Confirmed at Caa1 (sf); previously on Sep 30,
2010 Downgraded to Caa1 (sf) and Remained On Review for Possible Downgrade
Cl. B-1, Confirmed at Ca (sf); previously on
Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible
Downgrade
Cl. B-2, Confirmed at Ca (sf); previously on
Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible
Downgrade
Issuer: National Collegiate Student Loan Trust 2004-1
Cl. A-2, Confirmed at A3 (sf); previously on
Sep 30, 2010 Downgraded to A3 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-3, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl. A-4, Confirmed at Caa3 (sf); previously on
Sep 30, 2010 Downgraded to Caa3 (sf) and Remained On Review for
Possible Downgrade
Cl. B-1, Confirmed at Ca (sf); previously on
Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible
Downgrade
Cl. B-2, Confirmed at Ca (sf); previously on
Sep 30, 2010 Downgraded to Ca (sf) and Remained On Review for Possible
Downgrade
Issuer: National Collegiate Student Loan Trust 2004-2
Cl. A-4, Confirmed at A1 (sf); previously on
Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-5-1, Confirmed at Baa2 (sf); previously
on Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for
Possible Downgrade
Cl. A-IO, Confirmed at Baa2 (sf); previously
on Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for
Possible Downgrade
Cl. B, Downgraded to Caa1 (sf); previously on Sep 30,
2010 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2005-1
Cl. A-4, Confirmed at A1 (sf); previously on
Sep 30, 2010 Downgraded to A1 (sf) and Remained On Review for Possible
Downgrade
Cl. A-5-1, Confirmed at Ba1 (sf); previously
on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-5-2, Confirmed at Ba1 (sf); previously
on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for
Possible Downgrade
Cl. B, Downgraded to Caa2 (sf); previously on Sep 30,
2010 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2005-2
Cl. A-3, Confirmed at Aa1 (sf); previously on
Apr 7, 2010 Aa1 (sf) Placed Under Review for Possible Downgrade
Cl. A-4, Confirmed at Baa1 (sf); previously on
Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-5, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl. A-5-2, Confirmed at Ba1 (sf); previously
on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for
Possible Downgrade
Cl. B, Downgraded to Caa3 (sf); previously on Sep 30,
2010 Downgraded to B3 (sf) and Remained On Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2005-3
Cl. A-4, Confirmed at A1 (sf); previously on
Sep 30, 2010 Downgraded to A1 (sf) and Remained On Review for Possible
Downgrade
Cl. A-5-1, Confirmed at Ba1 (sf); previously
on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-5-2, Confirmed at Ba1 (sf); previously
on Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for
Possible Downgrade
Cl. B, Downgraded to Caa1 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-1
Cl. A-4, Confirmed at Baa1 (sf); previously on
Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-5, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl. B, Downgraded to Caa2 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-2
Cl. A-2, Confirmed at Aa3 (sf); previously on
Sep 30, 2010 Downgraded to Aa3 (sf) and Placed Under Review for
Possible Downgrade
Cl. A-3, Confirmed at Baa1 (sf); previously on
Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-4, Confirmed at B1 (sf); previously on
Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible
Downgrade
Cl. A-IO, Confirmed at B1 (sf); previously on
Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible
Downgrade
Cl. B, Downgraded to Caa2 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. C, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-3
Cl. A-4, Confirmed at Baa1 (sf); previously on
Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-5, Confirmed at Baa2 (sf); previously on
Sep 30, 2010 Downgraded to Baa2 (sf) and Remained On Review for
Possible Downgrade
Cl. IO, Confirmed at Baa2 (sf); previously on Sep 30,
2010 Downgraded to Baa2 (sf) and Remained On Review for Possible Downgrade
Cl. B, Confirmed at Ba2 (sf); previously on Sep 30,
2010 Downgraded to Ba2 (sf) and Remained On Review for Possible Downgrade
Cl. C, Downgraded to Caa2 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. D, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2006-4
Cl. A-2, Confirmed at A1 (sf); previously on
Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-3, Confirmed at Baa1 (sf); previously on
Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-4, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl.A-IO, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl. B, Confirmed at B2 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. C, Downgraded to Ca (sf); previously on Sep 30,
2010 Downgraded to Caa3 (sf) and Remained On Review for Possible Downgrade
Cl. D, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2007-1
Cl. A-2, Confirmed at A1 (sf); previously on
Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-3, Confirmed at Baa3 (sf); previously on
Sep 30, 2010 Downgraded to Baa3 (sf) and Remained On Review for
Possible Downgrade
Cl. A-4, Confirmed at B1 (sf); previously on
Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible
Downgrade
Cl.A-IO, Confirmed at B1 (sf); previously on
Sep 30, 2010 Downgraded to B1 (sf) and Remained On Review for Possible
Downgrade
Cl. B, Confirmed at B2 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. C, Downgraded to Ca (sf); previously on Sep 30,
2010 Downgraded to Caa3 (sf) and Remained On Review for Possible Downgrade
Cl. D, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2007-2
Cl. A-2, Confirmed at A1 (sf); previously on
Sep 30, 2010 Downgraded to A1 (sf) and Placed Under Review for Possible
Downgrade
Cl. A-3, Confirmed at Baa1 (sf); previously on
Sep 30, 2010 Downgraded to Baa1 (sf) and Remained On Review for
Possible Downgrade
Cl. A-4, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl.A-IO, Confirmed at Ba1 (sf); previously on
Sep 30, 2010 Downgraded to Ba1 (sf) and Remained On Review for Possible
Downgrade
Cl. B, Confirmed at B1 (sf); previously on Sep 30,
2010 Downgraded to B1 (sf) and Remained On Review for Possible Downgrade
Cl. C, Downgraded to Caa3 (sf); previously on Sep 30,
2010 Downgraded to B2 (sf) and Remained On Review for Possible Downgrade
Cl. D, Confirmed at Ca (sf); previously on Sep 30,
2010 Downgraded to Ca (sf) and Remained On Review for Possible Downgrade
Issuer: National Collegiate Student Loan Trust 2007-3
Cl. A-2-AR-4, Confirmed at Ba1 (sf);
previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-1, Confirmed at Ba2 (sf);
previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-2, Downgraded to Caa2 (sf);
previously on Sep 30, 2010 Downgraded to B1 (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-3, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-4, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-5, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-6, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-7, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-L, Confirmed at Ca (sf); previously
on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for
Possible Downgrade
Cl-A-IO, Confirmed at Ca (sf); previously on
Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
Issuer: National Collegiate Student Loan Trust 2007-4
Cl. A-2-AR-4, Confirmed at Ba1 (sf);
previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-1, Confirmed at Ba2 (sf);
previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-2, Downgraded to Caa3 (sf);
previously on Sep 30, 2010 Downgraded to B1 (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-3, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-4, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Remained On
Review for Possible Downgrade
Cl. A-3-AR-5, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-6, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-3-AR-7, Confirmed at Ca (sf);
previously on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under
Review for Possible Downgrade
Cl. A-IO, Confirmed at Ca (sf); previously on
Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for Possible
Downgrade
Cl. A-3-L, Confirmed at Ca (sf); previously
on Nov 23, 2010 Downgraded to Ca (sf) and Placed Under Review for
Possible Downgrade
Issuer: The National Collegiate Master Student Loan Trust I (2001
Indenture)
Ser. NCT-2002-AR9, Confirmed at Ba1 (sf);
previously on Sep 30, 2010 Downgraded to Ba1 (sf) and Placed Under
Review for Possible Downgrade
Ser. NCT-2002-AR10, Confirmed at Ba2 (sf);
previously on Sep 30, 2010 Downgraded to Ba2 (sf) and Placed Under
Review for Possible Downgrade
REGULATORY DISCLOSURES
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, confidential and proprietary Moody's
Investors Service information and confidential and proprietary Moody's
Analytics' information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of maintaining
a credit rating.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
New York
JingJing Dang
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Irina Faynzilberg
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's takes rating actions on 89 tranches in 15 National Collegiate student loan deals