Approximately $1.3 billion of asset backed securities affected.
New York, December 18, 2015 -- Moody's Investors Service upgraded 12 classes of notes in 9 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. GSS Data Services, Inc.,
a wholly owned subsidiary of Goal Structured Solutions, Inc.,
is the administrator for all securitizations.
The complete rating actions are as follow:
Issuer: National Collegiate Student Loan Trust 2004-1
Lifetime Expected Net Losses: 30.0% of original pool
balance plus any loans added subsequently
Cl. A-2, Upgraded to Aaa (sf); previously on
Jun 20, 2014 Upgraded to Aa1 (sf)
Issuer: National Collegiate Student Loan Trust 2004-2
Lifetime Expected Net Losses: 33.6% of original pool
balance plus any loans added subsequently
Cl. A-4, Upgraded to Aaa (sf); previously on
Jun 20, 2014 Upgraded to Aa1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-1
Lifetime Expected Net Losses: 29.1% of original pool
balance plus any loans added subsequently
Cl. A-4, Upgraded to Aaa (sf); previously on
Jun 20, 2014 Upgraded to Aa1 (sf)
Cl. A-5-1, Upgraded to Baa3 (sf); previously
on Jun 3, 2013 Confirmed at Ba1 (sf)
Cl. A-5-2, Upgraded to Baa3 (sf); previously
on Jun 3, 2013 Confirmed at Ba1 (sf)
Issuer: National Collegiate Student Loan Trust 2005-3
Lifetime Expected Net Losses: 35.9% of original pool
balance plus any loans added subsequently
Cl. A-4, Upgraded to Aa2 (sf); previously on
Jun 20, 2014 Upgraded to A1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-1
Lifetime Expected Net Losses: 37.5% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Aaa (sf); previously on
Jun 20, 2014 Upgraded to Aa1 (sf)
Cl. A-4, Upgraded to A2 (sf); previously on Jun
20, 2014 Upgraded to Baa1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-2
Lifetime Expected Net Losses: 46.6% of original pool
balance plus any loans added subsequently
Cl. A-2, Upgraded to Aaa (sf); previously on
Jun 20, 2014 Upgraded to Aa1 (sf)
Issuer: National Collegiate Student Loan Trust 2006-3
Lifetime Expected Net Losses: 41.6% of original pool
balance plus any loans added subsequently
Cl. A-4, Upgraded to Baa1 (sf); previously on
Jun 20, 2014 Upgraded to Baa3 (sf)
Issuer: National Collegiate Student Loan Trust 2006-4
Lifetime Expected Net Losses: 48.3% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Baa1 (sf); previously on
Jun 20, 2014 Upgraded to Baa3 (sf)
Issuer: National Collegiate Student Loan Trust 2007-1
Lifetime Expected Net Losses: 44.1% of original pool
balance plus any loans added subsequently
Cl. A-3, Upgraded to Baa3 (sf); previously on
Jun 20, 2014 Confirmed at Ba2 (sf)
RATINGS RATIONALE
The primary reason 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 for the affected
transactions have declined to a range of 68%-85%
as of October 2015 from a range of 71%-86% as of
October 2014, the top-pay senior classes have benefitted
from the rapid deleveraging. Subordination and overcollateralization
supporting the upgraded classes of notes increased to a range of 12%-102%
as of October 2015, from a range of 9% to 89% as of
October 2014.
The upgrades also reflects the slow-down in delinquencies and defaults
on the underlying loan pools of the affected transactions. For
three month period ending October 2015, the percentage of more than
90 day delinquent loans and the average monthly defaults have stabilized
at approximately 1.5%-2.5% and 0.22%-0.42%,
respectively. To reflect the performance improvement, Moody's
decreased net collateral losses that it expects in the underlying pools
over the life of the deals to a range of 29.1%-48.3%,
from a range of 30.1%-51.2%.
The rating actions also reflect the correction of an error in the calculation
of remaining net loss on the underlying loan pools used by Moody's
in the stress rating scenarios. In previous actions, Moody's
gave too much benefit to the expected remaining recovery from previously
defaulted loans under stressed scenarios. The negative effect of
the corrected calculation was however more than offset by the increased
credit enhancement levels for the top-paid senior tranches and
the stabilization in the performance of the underlying collateral loan
pools.
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.
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.
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
Asst Vice President - 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
Kruti Muni
Senior Vice President/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 upgrades 12 classes of notes in 9 National Collegiate Student Loan Trust securitizations