North Carolina State Education Assistance Authority. Student Loan Backed Notes Series Quarterly Report. Distribution Date: January 25, 2019

Transcription

1 North Carolina State Education Assistance Authority Student Loan Backed Notes Series Quarterly Report Distribution Date: January 25, 2019

2 North Carolina State Education Assistance Authority Student Loan Backed Notes, Series Quarterly Servicing Report Distribution Date: 1/25/2019 Collection Period Ending: 12/31/2018 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 9/30/2018 Activity 12/31/2018 i. Portfolio $195,620, $7,845, $187,774, ii. Accrued Interest to be Capitalized 1,052, ,000, iii. Pool (III.A.i + IIIA.ii) $196,673, $188,775, iv. Borrower Accrued Interest $4,769, $4,990, v. Weighted Average Coupon (WAC) - Gross 5.68% 5.68% vi. Weighted Average Coupon (WAC) - Net of Interest Rate Reductions 5.19% 5.20% vii. Weighted Average Payments Made viii. Weighted Average Remaining Months to Maturity * ix. 44,747 42,755 x. of Borrowers 25,621 24,403 xi. Average Borrower Indebtedness $7, $7, B. Debt Characteristics Accrual Period: First Date in Accrual Period Last Date in Accrual Period Days in Accrual Period 10/25/2018 1/24/ Collection Period: First Date in Collection Period Last Date in Collection Period 10/01/ /31/2018 Record Date Distribution Date 1/24/2019 1/25/2019 Notes CUSIP Rate Type Spread Index Rate Coupon Rate Maturity 10/25/2018 Interest Due 1/25/2019 A-1 Notes GB0 LIBOR 0.00% % % 0 $0.00 $0.00 Paid A-2 Notes GC8 LIBOR 0.80% % % 7/25/2025 $63,814, $536, ,123, A-3 Notes GD6 LIBOR 0.80% % % 7/25/2036 $113,000, $950, ,000, $176,814, $1,486, ,123, * 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 $71,840, and represent % of the total loans currently in repayment. For the current period, these loans total $71,417, and represent % 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 12/31/2018 i. Student Loan $187,774, ii. Borrower Accrued Interest 4,990, iii. Accrued Interest Subsidy 170, iv. Value of Debt Service Reserve Fund 535, v. Value of Capitalized Interest Fund 0.00 vi. Value of Collection Fund 9,902, vii. Total Assets $203,373, viii. Notes Outstanding $176,814, ix. Note Accrued Interest 1,098, x. Other Liabilities 866, xi. Total Liabilities $178,780, D. Parity Percentage as of the Distribution Date 10/25/2018 1/25/2019 i. Pool as of the end of the Collection Period $196,673, $188,775, ii. Value of Debt Service Reserve Fund after Withdrawals 535, , iii. Value of Capitalized Interest Fund after Withdrawals iv. Adjusted Pool $197,208, $189,310, v. Notes Outstanding after distributions $176,814, $169,123, 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 $525,016, ii. Interest Capitalized to Date on Student Loans Since Transfer into Trust Estate 57,525, iii. Total Required to be Paid on Student Loans (IV.A.i + IV.A.ii) $582,541, iv. of Student Loans Defaulting (claim paid by Guaranty Agency) During Period $2,905, v. Cumulative of Defaulted Student Loans $71,407, vi. Cumulative Default Rate (IV.A.v / IV.A.iii) 12.26% B. Student Loan Recovery i. Default Claims Reimbursed During Period $2,905, ii. Having a Claim Paid During Period 2,976, iii. Cumulative Default Claims Reimbursed 71,407, iv. Cumulative Having a Claim Paid 73,001, v. Cumulative Reimbursement Rate (IV.B.iii / IV.B.iv) 97.82% C. Claim Rejects i. of Default Claims Rejected During Period $0.00 ii. Cumulative of Default Claims Rejected 2, iii. Cumulative Gross Reject Rate (IV.C.ii / IV.A.v) 0.00% Page 5 of 16

6 V. Transactions for the Time Period 10/01/ /31/2018 A. Student Loan Collection Activity i. Regular Collections $4,542, ii. Collections from Guaranty Agency 2,905, iii. Repurchases/Reimbursements by Servicer -116, iv. Paydown due to Loan Consolidation 1,249, v. Other System Adjustments 0.00 vi. Total Collections $8,581, B. Student Loan Non-Cash Activity i. Realized Losses - Claim Write-Offs $70, ii. Realized Losses - Other 0.00 iii. Other Adjustments (Borrower Incentives) 0.00 iv. Interest Capitalized into During Collection Period -806, v. Other Adjustments 0.00 vi. Total Non-Cash Activity -$736, C. Student Loan Additions i. Reissues of Financed Student Loans $0.00 D. Total Student Loan Activity (V.A.vi + V.B.vi + V.C.i) $7,845, E. Student Loan Interest Activity i. Regular Interest Collections $1,120, ii. Interest Claims Received from Guaranty Agency 150, iii. Late Fees & Other 0.00 iv. Interest Repurchases/Reimbursements by Servicer 0.00 v. Interest due to Loan Consolidation 32, vi. Other System Adjustments 0.00 vii. Special Allowance Payments 0.00 viii. Interest Subsidy Payments 0.00 ix. Total Interest Collections $1,303, F. Student Loan Non-Cash Interest Activity i. Interest Losses - Claim Write-Offs $4, ii. Interest Losses - Other 0.00 iii. Interest Capitalized into During Collection Period 806, iv. Other Adjustments 0.00 v. Total Non-Cash Interest Adjustments $810, G. Total Student Loan Interest Activity (V.E.ix + V.F.v) $2,113, H. Interest Expected to be Capitalized i. Interest Expected to be Capitalized - Beginning $1,052, ii. Interest Capitalized into during Collection Period (V.B.iv) -806, iii. Change in Interest Expected to be Capitalized 753, iv. Interest Expected to be Capitalized - Ending $1,000, Page 6 of 16

7 VI. Payment History and CPR Prepayment Analysis in Prepayment Analysis of Entire Pool Active Repayment at end of Prior Period Date Pool Current Quarter CPR Cumulative CPR Prepayment Volume Prior Period Current Period Current Quarter CPR 12/31/2011 $504,338, % 3.44% $5,650, $289,999, $279,329, % 3/31/2012 $489,199, % 4.32% $8,157, $332,443, $318,655, % 6/30/2012 $468,129, % 5.97% $14,295, ,343, $297,890, % 9/30/2012 $443,896, % 7.60% $17,686, $310,694, $291,378, % 12/31/2012 $429,949, % 7.55% $7,681, $284,030, $271,535, % 3/31/2013 $417,086, % 7.49% $6,794, $296,830, $284,347, % 6/30/2013 $406,216, % 7.21% $4,877, $286,090, $275,304, % 9/30/2013 $395,487, % 7.07% $4,895, $284,370, $273,784, % 12/31/2013 $384,655, % 6.96% $5,098, $271,779, $261,513, % 3/31/2014 $373,709, % 6.95% $5,373, $276,695, $265,568, % 6/30/2014 $362,031, % 7.00% $6,218, $263,226, $252,114, % 9/30/2014 $350,356, % 7.10% $6,382, $261,869, $250,430, % 12/31/2014 $338,638, % 7.20% $6,550, $250,960, $240,120, % 3/31/2015 $327,310, % 7.31% $6,332, $252,733, $241,729, % 6/30/2015 $316,219, % 7.40% $6,218, $243,882, $233,443, % 9/30/2015 $306,253, % 7.46% $5,259, $239,526, $229,766, % 12/31/2015 $296,787, % 7.47% $4,864, $229,605, $220,528, % 3/31/2016 $286,927, % 7.56% $5,405, $229,096, $219,372, % 6/30/2016 $277,720, % 7.62% $4,899, $218,061, $209,338, % 9/30/2016 $268,185, % 7.69% $5,335, $214,093, $205,168, % 12/31/2016 $259,880, % 7.69% $4,214, $211,673, $203,142, % 3/31/2017 $248,426, % 7.94% $7,489, $209,623, $198,574, % 6/30/2017 $239,555, % 8.01% $5,049, $199,694, $190,691, % 9/30/2017 $230,710, % 8.13% $5,172, $194,554, $185,670, % 12/31/2017 $222,761, % 8.17% $4,378, $187,153, $179,481, % 3/31/2018 $213,782, % 8.33% $5,530, $186,764, $178,095, % 6/30/2018 $204,956, % 8.49% $5,517, $180,087, $171,317, % 9/30/2018 $196,673, % 8.63% $5,124, $174,842, $166,369, % 12/31/2018 $188,775, % 8.75% $4,869, $166,426, $158,430, % 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 10/01/ /31/2018 A. Debt Service Reserve Fund Reconciliation i. on Prior Distribution Date 10/25/2018 $535, ii. Draws Due to Liquidity Needs 0.00 iii. Debt Service Reserve Fund Requirement 535, iv. Releases or Replenishments in Waterfall Process 0.00 v. on Current Distribution Date $535, B. Capitalized Interest Fund Reconciliation i. on Prior Distribution Date 10/25/2018 $0.00 ii. Draws Due to Liquidity Needs 0.00 iii. Maximum Amount in Step-down Schedule 0.00 iv. Releases in Waterfall Process $0.00 v. on Current Distribution Date 0.00 C. Collection Fund Reconciliation i. Beginning $0.00 ii. Amount by which the Debt Service Reserve Fund Exceeds the Debt Service Reserve Requirement 0.00 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 9,884, vii. Interest Earned on Investment Obligations and Deposited During the Collection Period 44, viii. Less Funds Previously Transferred 0.00 ix. Available Funds $9,929, D. Funds Remitted During Collection Period: Department Reserve Fund i. Negative Special Allowance $784, ii. Interest Subsidy -181, iii. Special Allowance -203, iv. Consolidation Loan Rebate Fee 119, v. Other 0.00 vi. Total $518, E. Funds Remitted During Collection Period: Operating Fund i. Servicing Fees $327, ii. Trustee Fees 0.00 iii. Administrator Fees 0.00 iv. Other 0.00 v. Total $327, Page 8 of 16

9 VIII. Distributions A. Waterfall Summary Remaining Funds Total F Available Funds for Distribution (VII.C.ix) $9,929, i. To the Department Reserve Fund, an amount that, when added to the amount $435, $9,494, therein, will equal the Department Reserve Fund Requirement. ii. To the Operating Fund, an amount that, when added to the amount therein, will $315, $9,178, 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. $1,486, ,691, iv. To the Debt Service Reserve Fund, so much as may be required so that the $0.00 $7,691, amount therein shall equal the Debt Service Reserve Requirement. v. To the Account, the Distribution Amount, for the payment of $7,691, $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 $0.00 $ Paid ii. A-2 Notes $536, $536, ,691, ,228, iii. A-3 Notes $950, $950, , C. Note s * is due on the Stated Maturity Dates of 10/26/2020, 7/25/2025, and 7/25/2036, respectively. 10/25/2018 Paid 1/25/2019 i. A-1 Notes $0.00 $0.00 Paid A-1 Notes Ending Factor ii. A-2 Notes $63,814, $7,691, $56,123, A-2 Notes Ending Factor iii. A-3 Notes $113,000, $0.00 $113,000, A-3 Notes Ending Factor Page 10 of 16

11 IX. Portfolio Characteristics as of 12/31/2018 * A. Characteristics by Status Status 9/30/ /31/2018 9/30/ /31/2018 Percent of 9/30/ /31/2018 Weighted Average Term to Maturity 9/30/ /31/2018 ** Weighted Average Payments Made 9/30/ /31/2018 Interim: In School Subsidized Loans $227, $175, % 0.09% Unsubsidized Loans , , % 0.10% Grace: Subsidized Loans , , % 0.04% Unsubsidized Loans , , % 0.04% Total Interim $582, $495, % 0.26% Repayment: First Year of Repayment 1,230 1,268 $5,548, $5,748, % 3.06% Second Year of Repayment 3,594 3,446 17,341, ,159, % 8.61% Third Year of Repayment 3,434 3,311 17,219, ,950, % 9.03% More than 3 years of repayment 29,556 29, ,226, ,963, % 66.02% Deferment: 37,814 37, ,335, ,822, % 86.71% Subsidized Loans 2,097 1,872 7,525, ,698, % 3.57% Unsubsidized Loans 1,949 1,734 9,916, ,066, % 4.83% Forbearance Subsidized Loans 1, ,770, ,911, % 1.55% Unsubsidized Loans 1, ,398, ,172, % 2.22% Total Repayment 44,138 42,318 $192,947, $185,671, % 98.88% Claims in Progress ,090, ,607, % 0.86% Aged Claims Rejected (Uninsured) 0 0 $0.00 $ % 0.00% Grand Total 44,747 42,755 $195,620, $187,774, % % * 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 3,083 loans for the prior period and 2,969 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 $71,840, and represent % of the total loans currently in repayment. For the current period, these loans total $71,417, and represent % of the total loans currently in repayment. Page 11 of 16

12 IX. Portfolio Characteristics as of 12/31/2018 B. Weighted Average Months Remaining in Status Status Percent of Months Remaining ** In School * $359, % 31 Grace 136, % 4 Deferment 15,765, % 20 Forbearance 7,084, % 2 Repayment 162,822, % 137 Claims 1,607, % N/A Total $187,774, % 120 * 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 $71,417, and represent % of the total loans currently in repayment. X. Portfolio Characteristics by Loan and School Type as of 12/31/2018 ** Loan Type Percent of Subsidized Stafford Loans 17,948 $49,120, % Unsubsidized Stafford Loans 16,784 66,314, % Subsidized Consolidation Loans 3,382 28,622, % Unsubsidized Consolidation Loans 3,812 37,320, % SLS Loans % PLUS Loans - Parent 604 3,548, % PLUS Loans - Graduate/Professional 225 2,848, % Total 42,755 $187,774, % School Type Four Year 37,100 $167,945, % Two Year 2,944 8,349, % For Profit 2,620 10,156, % Out of Country/Unknown 91 1,323, % Total 42,755 $187,774, % ** 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 2,969 loans for the current period. XI. Servicer Totals as of 12/31/2018 Servicer Percent of Total College Foundation, Inc. $187,774, % Page 12 of 16

13 XII. Collateral Tables as of 12/31/2018 * A. Distribution by Borrower Interest Rate Type Rate Type Percent of Fixed Rate 37,810 $175,173, % Variable Rate 4,945 12,601, % Total 42,755 $187,774, % B. Distribution by Borrower Interest Rate Interest Rate Percent of Less than 2.00% 2,581 $14,767, % 2.00% to % 2,112 15,946, % 3.00% to % 2,615 16,649, % 4.00% to % 5,190 21,994, % 5.00% to % 8,681 33,529, % 6.00% to % 20,560 74,343, % 7.00% or greater 1,016 10,544, % Total 42,755 $187,774, % C. Distribution by Date of First Disbursement (Dates Correspond to Changes in Special Allowance Support Level) Disbursement Date Percent of Prior to April 1, ,573 $61,546, % April 1, September 30, ,598 60,941, % October 1, 2007 and after 17,584 65,287, % Total 42,755 $187,774, % D. Distribution by of Months Remaining Until Scheduled Maturity ** of Months Percent of $325, % ,673 1,963, % ,988 3,582, % ,725 4,322, % ,437 5,108, % ,019 5,439, % ,465 8,873, % ,027 8,702, % ,899 12,758, % ,794 8,504, % ,724, % ,691, % ,394, % ,026, % ,912, % ,136, % ,521, % ,553, % ,598, % ,982, % ,180, % ,212, % ,922, % ,171, % , % Greater than , % Total 29,518 $116,357, % * 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 2,969 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 $71,417, and represent % of the total loans currently in repayment. Page 13 of 16

14 XII. Collateral Tables as of 12/31/2018 * (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, ,691 61,971, % July 1, 2006 and after 32, ,803, % Total 42,755 $187,774, % F. Distribution by Current Percent of $0 to $4,999 31,071 $63,353, % $5,000 to $9,999 8,022 55,877, % $10,000 to $14,999 1,860 22,117, % $15,000 to $19, ,283, % $20,000 to $24, ,191, % $25,000 to $29, ,001, % $30,000 to $34, ,153, % $35,000 to $39, ,794, % $40,000 to $44, ,689, % $45,000 to $49, ,930, % $50,000 to $54, ,155, % $55,000 to $59, , % $60,000 to $64, , % $65,000 to $69, , % $70,000 to $74, , % $75,000 and Above 24 2,538, % Total 42,755 $187,774, % * 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 2,969 loans for the current period. Page 14 of 16

15 XII. Collateral Tables as of 12/31/2018 * (continued from previous page) G. Distribution by Guaranty Agency Guaranty Agency Percent of NCSEAA 42,755 $187,774, % H. Distribution by SAP Interest Rate Index ** SAP Interest Rate Wtd Avg Margin 1 Month LIBOR 2.30% 41,796 $183,223, Day T-Bill Index 3.09% 959 4,551, Total 2.32% 42,755 $187,774, Percent of 97.58% 2.42% % ** $0 not eligible for SAP. I. Distribution by Days Delinquent Days Delinquent Percent of Not in Repayment 5,207 $23,345, % 0 to 30 33, ,174, % 31 to 60 1,502 7,724, % 61 to ,088, % 91 to ,034, % 121 to ,677, % 151 to ,551, % 181 and above 1,114 6,178, % Total 42,755 $187,774, % *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 2,969 loans for the current period. Page 15 of 16

16 XIII. Optional Redemption Information as of 12/31/2018 Current Pool Initial Pool $188,775, $535,156, % 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 4/25/2019 First Date in Accrual Period 1/25/2019 Last Date in Accrual Period 4/24/2019 Days in Accrual Period 90 Bonds CUSIP Rate Type Spread Index Rate Coupon Rate A-1 Notes PAID A-2 Notes GC8 LIBOR 0.80% % A-3 Notes GD6 LIBOR 0.80% % Page 16 of 16