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I AGREE
23 Aug 2019
Approximately $292 million of asset-backed securities affected
New York, August 23, 2019 -- Moody's Investors Service ("Moody's") has upgraded
the ratings of 4 classes of notes, in 4 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.
Complete rating actions are as follow:
Issuer: National Collegiate Student Loan Trust 2006-3
Cl. A-4, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Downgraded to A1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-4
Cl. A-4, Upgraded to B2 (sf); previously on Jan
12, 2018 Downgraded to Caa1 (sf)
Issuer: National Collegiate Student Loan Trust 2007-1
Cl. A-3, Upgraded to Aa2 (sf); previously on
Jan 12, 2018 Downgraded to A3 (sf)
Issuer: National Collegiate Student Loan Trust 2007-2
Cl. A-3, Upgraded to Aaa (sf); previously on
Jan 12, 2018 Downgraded to A3 (sf)
RATINGS RATIONALE
The primary rationale for the upgrades is the continued build-up
in credit enhancement supporting the A-Class notes as a result
of the rapid pay down of senior notes in sequential pay structures.
Although the ratios of total assets to total liabilities have declined
to a range of 58%-65% as of June 2019 from a range
of 64%-70% as of August 2018, the senior class
A-tranches have benefitted from rapid deleveraging. Subordination
and overcollateralization supporting senior A-classes increased
to a range of 86%-97% from 72%-81%
for the NCSLT 2006-3, 2007-1, 2007-2.
After Cl. A-3 in NCSLT 2006-4 was fully repaid,
the subordination and overcollateralization supporting Cl. A-4
increased to 5%. Moody's expected lifetime net collateral
losses remains largely unchanged at a range of 47.75% to
56.50%. The rating actions also reflect Moody's view
that the probability of an occurrence of an event of default (EOD) is
low. Therefore, the ratings on the A-class bonds continue
to reflect sequential principal payments and the resulting differentiation
in credit support amongst the senior tranches.
The NCSLT transactions in today's rating actions continue to be subject
to the operational and governance risk concerns brought on by a proposed
consent judgment between the Consumer Financial Protection Bureau and
the beneficial owners of NCSLT transactions (CFPB Action). In addition
to the CFPB lawsuit, the NCSLT transactions are also subject to
additional expenses and operational risk from other lawsuits involving
the transaction parties. The courts have yet to provide final ruling
on these lawsuits.
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.
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 Rating Methodologies
page on www.moodys.com for a copy of this methodology.
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 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.
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, category/class of
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For any affected securities or rated entities receiving direct credit
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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.
Jane Mordecai
Associate Lead 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
Jinwen Chen
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
No Related Data.
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