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Fitch Affirms National Collegiate Trust 2006-A Student Loan Asset-Backed Notes; Outlook Stable

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms the ratings on the National Collegiate Trust 2006-A student loan asset-backed notes (NCT 2006-A). The Rating Outlook is Stable for the senior notes. Fitch's Global Structured Finance Rating Criteria and Private Student Loan Asset-Backed Securities (ABS) Criteria were used to review the transaction. The rating action is detailed at the end of this press release.

The calculated loss coverage multiple for the NCT 2006-A notes is sufficient to support an 'A-sf' rating on the senior notes and 'CCsf' rating on the subordinate notes, which was calculated using collateral performance data as of May 30, 2012. The collateral performance data reported senior parity to be 127.59% and total parity 95.72%. A Stable Outlook has been assigned to the senior notes as senior parity continues to rise and excess spread is positive.

A loss coverage multiple was determined by comparing a projected net loss amount to available credit enhancement. Fitch used historical vintage loss data provided by First Marblehead Corporation to form a loss timing curve. After giving credit for seasoning of loans in repayment, Fitch applied the trust's current cumulative gross loss level to this loss timing curve to derive the expected gross losses over the projected remaining life. A recovery rate was applied, which was determined to be appropriate based on the latest data provided by the issuer. The guarantee provided by the Bank of America on loans originated pursuant to the GATE Program was given credit in Fitch's analysis. Credit enhancement consists of excess spread and a general reserve account, while the senior notes benefit from subordination provided by the class B notes. Fitch derived excess spread from the most recent information provided by First Marblehead Corporation and applied that same rate over the stressed projection of remaining life.

As the subordinate class B notes' current rating classifies these notes as a distressed structured finance security, Fitch has calculated a Recovery Estimate (RE), which represents Fitch's calculation of expected principal recoveries, as a percentage of current note principal outstanding. The RE for the subordinate class B notes was calculated to be approximately 60.00% given Fitch's calculation of expected net recoveries and principal balance of the notes as of the latest reporting period.

Credit enhancement consists of excess spread and a general reserve fund for the senior and subordinate notes, while the senior notes also benefit from overcollateralization and subordination provided by the subordinate class B notes. The subordinate notes are under-collateralized. Their credit enhancement is purely derived from future excess spread.

The collateral supporting NCT 2006-A notes consists entirely of private student loans, of which, the loans under the GATE program were originated by the Bank of America (rated 'Asf/F1' Outlook Stable by Fitch), and the remaining loans were originated by Chela, which is not rated by Fitch,. 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.

Fitch has taken the following rating actions:

National Collegiate Trust 2006-A Student Loan Asset-Backed Notes:

--Senior class A-2 affirmed at 'A-sf'; Outlook Stable;

--Subordinate class B affirmed at 'CCsf'/ RE 60%.

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.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

U.S. Private Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=667570

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Fitch Ratings
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Source: Fitch Ratings