Fitch Affirms 3 National Collegiate Student Loan Trust Transactions

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms all ratings for the outstanding notes issued by National Collegiate Trusts 2006-4, 2007-1, and 2007-2.

A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

Collateral Quality: All trusts are collateralized by private student loans originated by various financial institutions and lenders and securitized by First Marblehead Corporation. At deal inception all loans were guaranteed by The Education Resources Institute (TERI); however, no credit was given to the TERI guaranty since TERI filed for bankruptcy on April 7, 2008.

Credit Enhancement: is provided by excess spread. The class A, B and C notes benefit from subordination. Projected remaining defaults for all trusts range from 45% to 55%. Current loss coverage multiples are commensurate with the current ratings for each transaction.

Liquidity Support for the notes is provided by a reserve account for each trust.

Servicing Capabilities: The portfolio is serviced by PHEAA. Fitch believes PHEAA is an acceptable servicer of private student loans.

For each trust, Fitch conducted a review of the collateral performance that involved the calculation of loss coverage multiples based on the most recent variables. A projected net loss amount was compared to available credit enhancement to determine the loss multiples. Fitch used historical vintage loss data provided by the originator in addition to other analytical methods we see as fit to form a loss timing curve representative of the private student loan collateral pools of each trust. After giving credit for seasoning of loans in repayment, Fitch applied the current cumulative gross loss level to this loss timing curve to derive the expected gross losses over the remaining life for each trust. A recovery rate of 25% was applied, which was determined to be appropriate based on the latest data provided by the issuer.

The available credit enhancement for the trusts consists of excess spread, overcollateralization (if any), and subordination where applicable. Fitch assumed excess spread to be the lesser of the historical average excess spread (earning on the assets minus interest payments to bondholders and fees) and the most recent 12-month average excess spread, and applied that same rate over the remaining life.

Fitch also applied a Recovery Estimate (RE) to classes rated 'CCC' or below as these ratings classify these notes as distressed structured finance securities. Fitch has calculated a RE which represents its calculation of expected principal recoveries as a percentage of current note principal outstanding. Each of the notes rated 'CCC' or below was assigned an RE respectively, given Fitch's calculation.

The collateral supporting each trust consists entirely of private student loans originated by various financial institutions and lenders and securitized by First Marblehead Corporation. Loan proceeds are used by students to assist in financing the cost of attending undergraduate, law school, business school, medical school, dental school, and other graduate programs. In November 2012, First Marblehead transferred the special servicing of all.

RATING SENSITIVITIES

As Fitch's base case default proxy is derived primarily from historical collateral performance, actual performance may differ from the expected performance, resulting in higher loss levels than the base case. This will result in a decline in credit enhancement and remaining loss coverage levels available to the notes and may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch will continue to monitor the performance of these trusts.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relation to this rating action.

Fitch affirms the following:

National Collegiate Student Loan Trust 2006-4:

--Class A-2 at 'Csf', RE 65%;

--Class A-3 at 'Csf', RE 65%;

--Class A-4 at 'Csf', RE 65%;

--Class B at 'Csf', RE 0%;

--Class C at 'Csf', RE 0%;

--Class D at 'Csf', RE 0%.

--National Collegiate Student Loan Trust 2007-1:

--Class A-2 at 'Csf', RE 65%;

--Class A-3 at 'Csf', RE 65%;

--Class A-4 at 'Csf', RE 65%;

--Class B at 'Csf', RE 0%;

--Class C at 'Csf', RE 0%;

--Class D at 'Csf', RE 0%.

--National Collegiate Student Loan Trust 2007-2:

--Class A-2 at 'Csf', RE 65%;

--Class A-3 at 'Csf', RE 65%;

--Class A-4 at 'Csf', RE 65%;

--Class B at 'Csf', RE 0%;

--Class C at 'Csf', RE 0%;

--Class D at 'Csf', RE 0%.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

U.S. Private Student Loan ABS Criteria (pub. 31 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868836

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=990869

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=990869

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150916006267/en/

Fitch Ratings
Primary Analyst
Charlene M. Davis
Director
+1-212-908-0213
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Michael Dean
Managing Director
+1-212-908-0556
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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