Fitch Takes Various Actions on 12 National Collegiate Student Loan Trust Transactions

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has taken various rating actions on the private student loan asset-backed notes issued by First Marblehead. Fitch has affirmed 26 classes and downgraded 44 classes of the portfolio. The Outlook remains Negative. Fitch's 'U.S. Private SL ABS Criteria' and 'Global Structured Finance Rating Criteria' were used to review the ratings. The rating actions are detailed at the end of this release.

The affirmations reflect tranches with stable loss coverage multiples of the trusts since Fitch's last review on Oct. 28, 2011.

The downgrades are due to an increase in the level of defaults which contributed to a decrease in the loss coverage multiples for those tranches. Fitch estimates the remaining defaults to range approximately from 10% to 30% depending on the trust. In addition, total parity levels have continued to decrease, ranging from 80% to 88%.

The Outlook remains Negative on non-distressed ratings in National Collegiate Student Loan Trust (NCSLT) 2003-1 through 2007-2, where the trusts continue to experience high default levels in excess of Fitch's initial expectations. In addition, this reflects Fitch negative view on the private student loan sector.

Fitch is aware of the special servicing transfer from First Marblehead to U.S Bank, which is expected to complete in November 2012. Fitch will closely monitor the trust's performance and determine whether the transfer has any negative impact on the trusts.

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 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 Estimates (RE) to classes rated CCC or below. Fitch calculated RE which represents Fitch's 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 of expected net recoveries and principal balance of the notes as of the latest reporting period.

Fitch has taken actions on the following trusts:

--National Collegiate Student Loan Trust 2003-1
--National Collegiate Student Loan Trust 2004-1
--National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust 2004-2
--National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust 2005-1
--National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust 2005-2
--National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust 2005-3
--National Collegiate Student Loan Trust 2006-1
--National Collegiate Student Loan Trust 2006-2
--National Collegiate Student Loan Trust 2006-3
--National Collegiate Student Loan Trust 2006-4
--National Collegiate Student Loan Trust 2007-1
--National Collegiate Student Loan Trust 2007-2

Additional information is available at www.fitchratings.com. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

--'U.S. Private Student Loan ABS Criteria', Jan. 31, 2012;
--'Global Structured Finance Rating Criteria', June 6, 2012;
--'Counterparty Criteria for Structured Finance Transactions', May 30, 2012.

Applicable Criteria and Related Research: Fitch Takes Various Actions on 12 National Collegiate Student Loan Trust Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=691997

U.S. Private Student Loan ABS Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=667570
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923
Counterparty Criteria for Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938

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