Fitch Upgrades National Collegiate Trust 2006-A Sr. Notes; Affirms Subordinate Note
KEY RATING DRIVERS
Adequate Collateral Quality: The trust is collateralized by approximately \\$66.1 million of private student loans of which approximately 79% of the loans were originated by the Bank of America under the GATE program and the remainder of the loans were originated by CHELA Funding II, LLC. The projected remaining defaults are expected to range between 15%-20% as a percentage of current principal balance. A recovery rate of 30% was applied which was determined to be appropriate based on data provided by the issuer and included credit to the guarantee provided by Bank of America on loans originated pursuant to the GATE Program. Although a portion of the CHELA portfolio is guaranteed by The Education Resources Institute (TERI), no credit was given to the TERI guaranty since TERI filed for bankruptcy on April 7, 2008.
Sufficient Credit Enhancement: Credit enhancement is provided by overcollateralization and excess spread. The class A notes also benefit from subordination from the class B notes. As of the August 2015 distribution senior and total parity is 173.34% and 101.54% respectively.
Adequate Liquidity Support: Liquidity support for the notes is provided by a reserve account which is currently at \\$1 million.
Acceptable Servicing Capabilities: The portfolio is serviced by Pennsylvania Higher Education Assistance Agency, Great Lakes Educational Loan Services Inc., Xerox Education Services and First Mark Services LLC. Fitch believes all servicers are acceptable servicers of private student loans.
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 bonds and may make certain bond ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch will continue to monitor the performance of the trust.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has taken the following rating actions:
National Collegiate Trust 2006-A
--Class A-2 upgraded to 'Asf' from 'A-sf'; Outlook Stable;
--Class B affirmed at 'CCsf'; RE 40%.
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