Fitch Affirms Rating on National Collegiate Trust 2005-GATE Notes

NEW YORK--()--Fitch Ratings has affirmed the rating on the outstanding class B notes for National Collegiate Trust (NCT) 2005-GATE student loan asset-backed notes issued by First Marblehead Corporation (FMD) at 'BBB-sf'. The Rating Outlook on the subordinate note is revised to Positive from Negative. Fitch's 'Global Structured Finance Rating Criteria' and 'Private Student Loan Asset-Backed Securities (ABS) Criteria' were used to review the transaction. The rating actions are detailed at the end of this release.

The rating affirmation of the class B notes at 'BBB-sf' is based on a loss coverage multiple commensurate with the notes' assigned rating and is based on the collateral performance data as of Nov. 25, 2012. Loss coverage multiples were determined by comparing projected net loss amounts to available credit enhancement. Fitch used historical vintage loss data provided by First Marblehead Corporation to form a loss timing curve representative of the series 2005-GATE 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. Credit was given to the Bank of America guaranty by applying a conservative reduction to the default projection. A recovery rate was applied, which was determined to be appropriate based on the latest data provided by the issuer and administrator.

Credit enhancement consists of excess spread 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 calculated multiples for the notes are sufficient to affirm the rating on the class B notes. Since the senior class A notes have paid-in-full, the subordinate class B notes are no longer subordinated. The subordinate note is assigned a Positive Outlook primarily due to the trust's ability to continue to generate positive excess spread, which built total parity up to its cash release level of 104%. In addition, gross default levels have been flattening out for the past two years currently at 11.49% as of Nov 26, 2012. If these positive trends continue, an upgrade may be possible.

The collateral supporting NCT 2005-Gate notes consists entirely of private student loans, originated under the GATE loan program, which were funded by the Bank of America (rated 'Asf/F1', Outlook Stable by Fitch), and are serviced by The Pennsylvania Higher Education Assistance Agency (PHEAA), which is not rated by Fitch. Although Fitch does not explicitly rate the servicer, Fitch considers its servicing ability to be satisfactory.

Fitch has taken the following rating actions:

National Collegiate Trust 2005-Gate Student Loan Asset-Backed Notes:

--Class B affirmed at 'BBB-sf'; Outlook revised to Positive from Negative.

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:

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

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.

Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Cynthia Ullrich
Senior Director
+1-212-908-0609
or
Media Relations
Sandro Scenga
+1-212-908-0278
sandro.scenga@fitchratings.com

Sharing

Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson
Cynthia Ullrich
Senior Director
+1-212-908-0609
or
Media Relations
Sandro Scenga
+1-212-908-0278
sandro.scenga@fitchratings.com