North Carolina State Education Assistance Authority. Student Loan Backed Notes Series Quarterly Report. Distribution Date: July 25, 2011

Transcription

1 North Carolina State Education Assistance Authority Student Loan Backed Notes Series Quarterly Report Distribution Date: July 25, 2011

2 North Carolina State Education Assistance Authority Student Loan Backed Notes, Series Quarterly Servicing Report Distribution Date: 7/25/2011 Collection Period Ending: 6/30/2011 Table of Contents Page I. Parties to the Transaction 3 II. Explanations, Definitions, Abbreviations 3 III. Trust Parameters 4-5 IV. Student Loan Default Summary 5 V. Transactions for the Time Period 6 VI. Payment History and CPR 7 VII. Cash Payment Detail and Available Funds for the Time Period 8 VIII. Distributions 9-10 IX. Portfolio Characteristics X. Portfolio Characteristics by Loan and School Type 12 XI. Servicer Totals 12 XII. Collateral Tables XIII. Optional Redemption Information 16 XIV. Interest Rates for Next Distribution Date 16 XV. Items to Note 16

3 I. Parties to the Transaction Issuer Servicer Trustee, Paying Agent and Registrar Backup Servicer North Carolina State Education Assistance Authority College Foundation, Inc. Services, administers and makes collections with respect to the Financed Student Loans. The Servicer is compensated quarterly for these services. The Bank of New York Mellon Trust Company, N.A. Acts for the benefit of and to protect the interests of the Noteholders and acts as paying agent for the notes. Also acts on behalf of the Noteholders and represents their interests in the exercise of their rights under the General Resolution. The Trustee is compensated annually for these services. Nelnet Servicing, LLC Assumes servicing of the Financed Student Loans upon the occurrence of a 'Servicer Transfer Trigger'. II. Explanations, Definitions, Abbreviations Pool Adjusted Pool Distribution Amount Record Date CPR For any date, the aggregate of all Financed Student Loans on that date plus accrued interest that is expected to be capitalized as authorized under the Higher Education Act. The sum of the Pool as of the end of the most recent Collection Period, the Value of the Debt Service Reserve Fund and the Value of the Capitalized Interest Fund, after taking effect to any withdrawals from each of the Funds since the end of the last Collection Period. With respect to any Distribution Date, the amount, if any, by which (a) the aggregate principal amount of the Notes Outstanding as of the end of the most recent Collection Period exceeds (b) the Adjusted Pool divided by 120%; but not less than the amount of any principal due if such Distribution Date is also a Stated Maturity Date or Notes have been duly called for redemption on such Distribution Date in accordance with the Series Resolution. With respect to any principal or interest to be paid on a Distribution Date, the Business Day prior to the Distribution Date. Constant Prepayment Rate - The annualized, compounded SMM (Single Monthly Mortality) rate. In any given month, the SMM measures the percentage of the Initial Pool that was paid back earlier than scheduled. Ending Factor For any given day, the number calculated by dividing the unpaid principal balance of the Outstanding Series Notes (after any payments of principal are made) by the original principal balance of the Series Notes. Page 3 of 16

4 III. Trust Parameters A. Student Loan Portfolio Characteristics 1/26/2011 Activity 6/30/2011 i. Portfolio $466,543, $12,391, $454,152, ii. Accrued Interest to be Capitalized 3,962, ,001, iii. Pool (III.A.i + IIIA.ii) $470,506, $458,154, iv. Borrower Accrued Interest $5,708, $5,626, v. Weighted Average Coupon (WAC) - Gross 5.02% 5.03% vi. Weighted Average Coupon (WAC) - Net of Interest Rate Reductions 4.42% 4.39% vii. Weighted Average Payments Made viii. Weighted Average Remaining Months to Maturity * ix. 41,073 40,335 x. of Borrowers 23,170 22,785 xi. Average Borrower Indebtedness $20, $19, B. Debt Characteristics Accrual Period: First Date in Accrual Period Last Date in Accrual Period Days in Accrual Period 3/08/2011 7/24/ Collection Period: First Date in Collection Period Last Date in Collection Period 3/08/2011 6/30/2011 Record Date Distribution Date 7/22/2011 7/25/2011 Notes CUSIP Rate Type Spread Index Rate Coupon Rate Maturity 3/08/2011 Interest Due 7/25/2011 A-1 Notes FY1 LIBOR 0.45% % % 1/25/2021 $98,000, $314, $84,053, A-2 Notes FZ8 LIBOR 0.90% % % 1/26/2026 $127,000, $628, $127,000, A-3 Notes GA2 LIBOR 0.90% % % 10/25/2041 $220,000, $1,089, $220,000, $445,000, $2,032, $431,053, * As of the date of this data, excludes loans for which the borrower is repaying under an Income-Based Repayment Schedule. For the prior period, these loans total $10,285, and represent 2.34 % of the total loans currently in repayment. For the current period, these loans total $12,727, and represent 2.97 % of the total loans currently in repayment. Page 4 of 16

5 III. Trust Parameters (continued) C. Sheet of the Trust Estate as of the end of the Collection Period 6/30/2011 i. Student Loan $454,152, ii. Borrower Accrued Interest 5,626, iii. Accrued Interest Subsidy 529, iv. Value of Debt Service Reserve Fund 1,176, v. Value of Capitalized Interest Fund 120, vi. Value of Collection Fund 19,927, vii. Total Assets $481,533, viii. Notes Outstanding $445,000, ix. Note Accrued Interest 1,681, x. Other Liabilities 2,691, xi. Total Liabilities $449,373, D. Parity Percentage as of the Distribution Date 3/08/2011 7/25/2011 i. Pool as of the end of the Collection Period $470,506, $458,154, ii. Value of Debt Service Reserve Fund after Withdrawals 1,176, ,145, iii. Value of Capitalized Interest Fund after Withdrawals 2,500, , iv. Adjusted Pool $474,182, $459,420, v. Notes Outstanding after distributions $445,000, $431,053, vi. Parity Percentage (III.D.iv / III.D.v) % % IV. Student Loan Default Summary A. Student Loan Defaults i. of Student Loans Upon Transfer into Trust Estate $466,543, ii. Interest Capitalized to Date on Student Loans Since Transfer into Trust Estate 2,407, iii. Total Required to be Paid on Student Loans (IV.A.i + IV.A.ii) $468,951, iv. of Student Loans Defaulting (claim paid by Guaranty Agency) During Period $2,480, v. Cumulative of Defaulted Student Loans $2,480, vi. Cumulative Default Rate (IV.A.v / IV.A.iii) 0.53% B. Student Loan Recovery i. Default Claims Reimbursed During Period $2,480, ii. Having a Claim Paid During Period 2,509, iii. Cumulative Default Claims Reimbursed 2,480, iv. Cumulative Having a Claim Paid 2,509, v. Cumulative Reimbursement Rate (IV.B.iii / IV.B.iv) 98.86% C. Claim Rejects i. of Default Claims Rejected During Period $0.00 ii. Cumulative of Default Claims Rejected 0.00 iii. Cumulative Gross Reject Rate (IV.C.ii / IV.A.v) 0.00% Page 5 of 16

6 V. Transactions for the Time Period 3/08/2011-6/30/2011 A. Student Loan Collection Activity i. Regular Collections $9,833, ii. Collections from Guaranty Agency 2,480, iii. Repurchases/Reimbursements by Servicer -390, iv. Paydown due to Loan Consolidation 2,876, v. Other System Adjustments 0.00 vi. Total Collections $14,801, B. Student Loan Non-Cash Activity i. Realized Losses - Claim Write-Offs $28, ii. Realized Losses - Other 0.00 iii. Other Adjustments (Borrower Incentives) 0.00 iv. Interest Capitalized into During Collection Period -2,407, v. Other Adjustments 0.00 vi. Total Non-Cash Activity -$2,378, C. Student Loan Additions i. Reissues of Financed Student Loans -$30, D. Total Student Loan Activity (V.A.vi + V.B.vi + V.C.i) $12,391, E. Student Loan Interest Activity i. Regular Interest Collections $4,945, ii. Interest Claims Received from Guaranty Agency 96, iii. Late Fees & Other 0.00 iv. Interest Repurchases/Reimbursements by Servicer 0.00 v. Interest due to Loan Consolidation 35, vi. Other System Adjustments 0.00 vii. Special Allowance Payments 0.00 viii. Interest Subsidy Payments 0.00 ix. Total Interest Collections $5,077, F. Student Loan Non-Cash Interest Activity i. Interest Losses - Claim Write-Offs $1, ii. Interest Losses - Other 0.00 iii. Interest Capitalized into During Collection Period 2,407, iv. Other Adjustments 0.00 v. Total Non-Cash Interest Adjustments $2,409, G. Total Student Loan Interest Activity (V.E.ix + V.F.v) $7,486, H. Interest Expected to be Capitalized i. Interest Expected to be Capitalized - Beginning $3,962, ii. Interest Capitalized into during Collection Period (V.B.iv) -2,407, iii. Change in Interest Expected to be Capitalized 2,446, iv. Interest Expected to be Capitalized - Ending $4,001, Page 6 of 16

7 VI. Payment History and CPR Date Pool Prepayment Analysis of Entire Pool Current Quarter CPR Cumulative CPR Prepayment Volume Prepayment Analysis in Active Repayment at end of Prior Period Prior Period Current Period Current Quarter CPR 6/30/2011 $458,154, % 2.87% $5,592, $345,469, $332,849, % Note: Includes both voluntary prepayments and default reimbursements of principal. Page 7 of 16

8 VII. Cash Payment Detail and Available Funds for the Time Period 3/08/2011-6/30/2011 A. Debt Service Reserve Fund Reconciliation i. on Prior Distribution Date 3/08/2011 $1,176, ii. Draws Due to Liquidity Needs 0.00 iii. Debt Service Reserve Fund Requirement 1,145, iv. Releases or Replenishments in Waterfall Process -30, v. on Current Distribution Date $1,145, B. Capitalized Interest Fund Reconciliation i. on Prior Distribution Date 3/08/2011 $2,500, ii. Draws Due to Liquidity Needs -2,379, iii. Maximum Amount in Step-down Schedule 2,500, iv. Releases in Waterfall Process 0.00 v. on Current Distribution Date $120, C. Collection Fund Reconciliation i. Beginning $5,218, ii. Amount by which the Debt Service Reserve Fund Exceeds the Debt Service Reserve Requirement 30, iii. Amount by which the Department Reserve Fund Exceeds the Department Reserve Fund Requirement 0.00 iv. Amount by which the Capitalized Interest Fund Exceeds the Step-down Schedule 0.00 v. Amount by which the Operating Fund Exceeds the Operating Fund Requirement 0.00 vi. Amounts in the Collection Fund Received by the Servicer During the Collection Period 14,628, vii. Interest Earned on Investment Obligations and Deposited During the Collection Period viii. Less Funds Previously Transferred 0.00 ix. Available Funds $19,879, D. Funds Remitted During Collection Period: Department Reserve Fund i. Negative Special Allowance $1,276, ii. Interest Subsidy -365, iii. Special Allowance -4, iv. Consolidation Loan Rebate Fee 1,092, v. Other vi. Total $1,999, E. Funds Remitted During Collection Period: Operating Fund i. Servicing Fees $379, ii. Trustee Fees 26, iii. Administrator Fees 0.00 iv. Other 0.00 v. Total $406, Page 8 of 16

9 VIII. Distributions A. Waterfall Summary Remaining Funds Total F Available Funds for Distribution (VII.C.ix) $19,879, i. To the Department Reserve Fund, an amount that, when added to the amount $3,080, $16,799, therein, will equal the Department Reserve Fund Requirement. ii. To the Operating Fund, an amount that, when added to the amount therein, will $820, $15,979, equal the Operating Fund Requirement. iii. To the Interest Account, an amount such that, when added to any amount on deposit in the Interest Account on the day of the calculation, would be equal to the interest due on all Outstanding Notes on the immediately succeeding Distribution Date. $2,032, ,946, iv. To the Debt Service Reserve Fund, so much as may be required so that the $0.00 $13,946, amount therein shall equal the Debt Service Reserve Requirement. v. To the Account, the Distribution Amount, for the payment of $13,946, $0.00 principal of the Notes. Current parity percentage equals %. vi. To pay any indemnity or reimbursement amounts payable by the Authority under $0.00 $0.00 any Transaction Document including any such amounts payable to Fiduciaries or other Operating costs not previously paid. vii. To the Account, any remaining funds available for the payment of $0.00 $0.00 principal on the Notes. Page 9 of 16

10 VIII. Distributions (Continued from previous page) B. Waterfall Detail Interest Due Interest Paid Paid * Total Distribution Amount i. A-1 Notes $314, $314, $13,946, $14,261, ii. A-2 Notes $628, $628, $0.00 $628, iii. A-3 Notes $1,089, $1,089, $0.00 $1,089, C. Note s * is due on the Stated Maturity Dates of 1/25/21, 1/26/26 and 10/25/41, respectively. 3/08/2011 Paid 7/25/2011 i. A-1 Notes $98,000, $13,946, $84,053, A-1 Notes Ending Factor ii. A-2 Notes $127,000, $0.00 $127,000, A-2 Notes Ending Factor iii. A-3 Notes $220,000, $0.00 $220,000, A-3 Notes Ending Factor Page 10 of 16

11 IX. Portfolio Characteristics as of 6/30/2011 ** A. Characteristics by Status Status 1/26/2011 6/30/2011 1/26/2011 6/30/2011 Percent of 1/26/2011 6/30/2011 Weighted Average Term to Maturity 1/26/2011 6/30/2011 ** Weighted Average Payments Made 1/26/2011 6/30/2011 Interim: In School Subsidized Loans 4,204 2,570 $12,959, $7,916, % 1.74% Unsubsidized Loans 3,893 2,385 13,508, ,118, % 1.79% Grace: Subsidized Loans 61 1, , ,258, % 0.94% Unsubsidized Loans 60 1, , ,650, % 1.02% Total Interim 8,218 7,595 $26,876, $24,944, % 5.49% Repayment: First Year of Repayment 3,038 2,877 $26,933, $24,168, % 5.32% Second Year of Repayment 2,773 2,574 32,567, ,964, % 6.16% Third Year of Repayment 3,713 2,971 54,065, ,594, % 8.28% More than 3 years of repayment 15,878 17, ,021, ,099, % 54.41% Deferment: 25,402 25, ,587, ,827, % 74.17% Subsidized Loans 2,133 1,909 25,421, ,254, % 4.90% Unsubsidized Loans 2,142 1,864 27,809, ,512, % 5.40% Forbearance Subsidized Loans 1,507 1,617 19,223, ,507, % 4.52% Unsubsidized Loans 1,488 1,664 21,743, ,671, % 5.43% Total Repayment 32,672 32,698 $438,785, $428,773, % 94.41% Claims in Progress $882, $434, % 0.10% Aged Claims Rejected (Uninsured) 0 0 $0.00 $ % 0.00% Grand Total 41,073 40,335 $466,543, $454,152, % % * Consolidation Loans having both subsidized and unsubsidized components are listed as separate loans for purposes of these tables. As a result, there is no change to principal balance, but the loan count increases by 12,076 loans for the prior period and 11,904 loans for the current period. ** As of the date of this data, excludes loans for which the borrower is repaying under an Income-Based Repayment Schedule. For the prior period, these loans total $10,285, and represent 2.34 % of the total loans currently in repayment. For the current period, these loans total $12,727, and represent 2.97 % of the total loans currently in repayment. Page 11 of 16

12 IX. Portfolio Characteristics as of 6/30/2011 B. Weighted Average Months Remaining in Status Status Percent of Months Remaining ** In School * $16,035, % 26 Grace 8,909, % 5 Deferment 46,766, % 17 Forbearance 45,178, % 3 Repayment 336,827, % 219 Claims 434, % N/A Total $454,152, % 165 * Includes grace period. ** As of the date of this data, excludes loans for which the borrower is repaying under an Income-Based Repayment Schedule. For the current period, these loans total $12,727, and represent 2.97 % of the total loans currently in repayment. X. Portfolio Characteristics by Loan and School Type as of 6/30/2011 ** Loan Type Percent of Subsidized Stafford Loans 6,576 $21,237, % Unsubsidized Stafford Loans 6,186 23,997, % Subsidized Consolidation Loans 13, ,131, % Unsubsidized Consolidation Loans 14, ,387, % SLS Loans % PLUS Loans - Parent 206 1,718, % PLUS Loans - Graduate/Professional , % Total 40,335 $454,152, % School Type Four Year 37,017 $426,909, % Two Year 1,778 10,772, % For Profit 1,055 6,529, % Out of Country/Unknown 485 9,941, % Total 40,335 $454,152, % ** Consolidation Loans having both subsidized and unsubsidized components are listed as separate loans for purposes of these tables. As a result, there is no change to principal balance, but the loan count increases by 11,904 loans for the current period. XI. Servicer Totals as of 6/30/2011 Servicer Percent of Total College Foundation, Inc. $454,152, % Page 12 of 16

13 XII. Collateral Tables as of 6/30/2011 * A. Distribution by Borrower Interest Rate Type Rate Type Percent of Fixed Rate 35,790 $437,979, % Variable Rate 4,545 16,173, % Total 40,335 $454,152, % B. Distribution by Borrower Interest Rate Interest Rate Percent of Less than 2.00% 5,959 $61,371, % 2.00% to % 6,294 64,900, % 3.00% to % 4,980 72,790, % 4.00% to % 6,396 85,699, % 5.00% to % 4,300 49,074, % 6.00% to % 9,215 62,754, % 7.00% or greater 3,191 57,560, % Total 40,335 $454,152, % C. Distribution by Date of First Disbursement (Dates Correspond to Changes in Special Allowance Support Level) Disbursement Date Percent of Prior to April 1, ,290 $214,115, % April 1, September 30, , ,855, % October 1, 2007 and after 9,148 84,181, % Total 40,335 $454,152, % D. Distribution by of Months Remaining Until Scheduled Maturity ** of Months Percent of $ % % % % , % , % , % , % , % ,425 4,760, % ,422 24,437, % ,056 31,761, % ,011 28,511, % ,867 25,048, % ,312 23,743, % ,187 25,750, % ,395 32,277, % ,701 25,421, % ,525 25,179, % ,399 24,438, % ,164, % ,198 23,494, % ,601 23,676, % ,906 27,146, % ,781 25,140, % Greater than 300 1,661 52,822, % Total 39,587 $441,425, % * Consolidation Loans having both subsidized and unsubsidized components are listed as separate loans for purposes of these tables. As a result, there is no change to principal balance, but the loan count increases by 11,904 loans for the current period. ** As of the date of this data, excludes loans for which the borrower is repaying under an Income-Based Repayment Schedule. For the current period, these loans total $12,727, and represent 2.97 % of the total loans currently in repayment. Page 13 of 16

14 XII. Collateral Tables as of 6/30/2011 * (continued from previous page) E. Distribution by Date of First Disbursement (Dates Correspond to Changes in Guaranty Percentage) Disbursement Date Percent of Prior to October 1, $ % October 1, 1993 to June 30, , ,816, % July 1, 2006 and after 19, ,335, % Total 40,335 $454,152, % F. Distribution by Current Percent of $0 to $4,999 14,370 $37,855, % $5,000 to $9,999 8,962 65,855, % $10,000 to $14,999 6,594 81,381, % $15,000 to $19,999 4,183 72,359, % $20,000 to $24,999 2,502 55,829, % $25,000 to $29,999 1,390 37,981, % $30,000 to $34, ,605, % $35,000 to $39, ,099, % $40,000 to $44, ,098, % $45,000 to $49, ,739, % $50,000 to $54, ,855, % $55,000 to $59, ,882, % $60,000 to $64, ,379, % $65,000 to $69, ,618, % $70,000 to $74, ,971, % $75,000 and Above ,641, % Total 40,335 $454,152, % * Consolidation Loans having both subsidized and unsubsidized components are listed as separate loans for purposes of these tables. As a result, there is no change to principal balance, but the loan count increases by 11,904 loans for the current period. Page 14 of 16

15 XII. Collateral Tables as of 6/30/2011 * (continued from previous page) G. Distribution by Guaranty Agency Guaranty Agency Percent of NCSEAA 40,335 $454,152, % H. Distribution by SAP Interest Rate Index ** SAP Interest Rate Wtd Avg Margin 90 Day CP Index 2.53% 39,860 $445,664, Day T-Bill Index 3.09% 475 8,487, Total 2.54% 40,335 $454,152, Percent of 98.13% 1.87% % ** $63,990 not eligible for SAP. I. Distribution by Days Delinquent Days Delinquent Percent of 0 to 30 38,275 $430,922, % 31 to ,645, % 61 to ,114, % 91 to ,340, % 121 and above 623 5,130, % Total 40,335 $454,152, % *Consolidation Loans having both subsidized and unsubsidized components are listed as separate loans for purposes of these tables. As a result, there is no change to principal balance, but the loan count increases by 11,904 loans for the current period. Page 15 of 16

16 XIII. Optional Redemption Information as of 6/30/2011 Current Pool Initial Pool $458,154, $470,506, % 10 % or Less - Qualify for Optional Redemption N % XV. Items to Note Note: Loan-level data relating to the Financed Student Loans, including all material loan characteristics, in a format determined by the Authority or the Servicer will be made available to Noteholders quarterly upon request directed to the Authority at investor_relations@ncseaa.edu. XIV Series Interest Rates for Next Distribution Date Next Distribution Date 10/25/2011 First Date in Accrual Period 7/25/2011 Last Date in Accrual Period 10/24/2011 Days in Accrual Period 92 Bonds CUSIP Rate Type Spread Index Rate Coupon Rate A-1 Notes FY1 LIBOR 0.45% % % A-2 Notes FZ8 LIBOR 0.90% % % A-3 Notes GA2 LIBOR 0.90% % % Page 16 of 16