Fitch Affirms National Collegiate Trust 1999 CP-1; Outlook Negative

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the outstanding rating on the note issued by National Collegiate Trust (NCT) 1999 CP-1. The Rating Outlook is Negative.

Fitch's Global Structured Finance Rating Criteria and Private Student Loan Asset-Backed Securities (ABS) Criteria are applied for the review of the rating of the note and the affirmation follows a review of the collateral performance that involved the calculation of a loss multiple based on the most recent variables. The affirmation reflects a loss multiple that supports the relevant rating category for the outstanding note. The Negative Outlook is maintained because of Fitch's negative view of the private student loan sector in general.

As of the end of the May 2011 collection period, the cumulative default level is approximately 27.08% of the original total pool loan balance, which is higher than what was expected. The trust is currently not producing positive excess spread due to increases in trust expenses and swap payments. However, with guaranteed obligations provided by participating schools and insurance payments provided by MBIA to cover defaulted loans, there is excess revenue to turbo bond principal, which has enabled total parity to significantly increase since deal closing (April 1999). Total parity is currently 145.94%, leading to a sufficiently high loss coverage multiple. The student loan portfolio is seasoned over nine years, and the remaining losses are expected to be relatively small for the remainder of the transaction.

A projected net loss amount based on the latest performance data was compared to available credit enhancement to determine the loss multiple. Fitch used historical vintage loss data provided by the issuer, First Marblehead Corporation to form a loss timing curve representative of the series 1999 CP-1 collateral pool. 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 10% recovery rate was applied, which was also assumed during the transaction's initial review.

Credit enhancement consists of excess spread, a reserve fund and overcollateralization. Fitch assumed excess spread to be the lesser of the average historical 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 stressed projection of remaining life.

The collateral supporting the National Collegiate Trust 1999 CP-1 note consists entirely of private credit student loans originated under First Marblehead Corp.'s Guaranteed Access to Education (GATE) program. The program was created to assist individuals in financing their undergraduate or graduate education beyond what the Federal Family Education Loan Program (FFELP) affords. These private student loans are intended to be used to pay educational costs at the participating institutions. The loans are serviced by Pennsylvania Higher Education Assistance Authority (PHEAA), which Fitch does not rate.

The transaction benefits from a financial guaranty provided by MBIA Insurance Corp. (MBIA) which is unrated by Fitch. The analysis does not incorporate future payments provided by MBIA's guaranty, but MBIA still remains obligated to insure timely interest and ultimate principal payments on the note.

Fitch affirms the following rating and maintains a Negative Outlook on the following note for the National Collegiate Trust 1999 issuance:

--Series 1999 CP-1 notes 'AAAsf'; Outlook Negative.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'U.S. Private Student Loan ABS Criteria' Aug. 24, 2009;

--'Global Structured Finance Rating Criteria' Aug. 16, 2010.

Applicable Criteria and Related Research:

U.S. Private Student Loan ABS Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=463174

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326

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