National Collegiate Student Loan Trust

Transcription

1 National Collegiate Student Loan Trust Closing Date: December 11, 2003 Quarterly Distribution Report Collection Period 10/1/2011 to 10/31/2011 Quarterly Distribution Date 11/25/ /30/2011 Volume 48 I Asset and Liability Summary A. Student Loan Portfolio 9/30/2011 Change 10/31/ Student Loan Principal $ 294,956, $ (2,731,139.67) $ 292,225, Student Loan Accrued Interest $ 1,621, $ (14,027.42) $ 1,607, Pool Balance $ 296,578, $ (2,745,167.09) $ 293,833, Weighted Average Coupon (WAC) 4.94% 0.01% 4.93% 5 Weighted Average Maturity (WAM) Months 1.0 Months Months 6 Number of Loans 26, ,960 7 Number of Borrowers 24, ,807 B. Trust Accounts 9/30/2011 Change 10/31/ Future Distribution Account $ 982, $ 224, $ 1,206, Collection Account + Collections Receivable (a) $ 5,956, $ 2,297, $ 8,253, Reserve Account $ 3,773, $ $ 3,773, PreFunding Account $ $ $ 5 Total Trust Accounts $ 10,712, $ 2,521, $ 13,233, Pool Balance + Trust Accounts $ 307,290, $ (223,462.37) 37) $ 307,066, Reserve Account Balance after the 11/25/11 Monthly Distribution Date will be $3,672, C. Securities Cusip Index Spread Initial Debt Issued 9/30/2011 Change 10/31/2011 Change (a) 11/25/2011 % of Securities 1 Class A PAA4 Auction Rate NA $ 67,500, $ $ $ $ $ 2 Class A PAB2 Auction Rate NA $ 60,000, $ $ $ $ $ 3 Class A PAC0 Auction Rate NA $ 43,750, $ $ $ $ $ 4 Class A PAD8 Auction Rate NA $ 63,750, $ $ $ $ $ 5 Class A PAE6 Auction Rate NA $ 60,000, $ $ $ $ $ 6 Class A PAF3 Auction Rate NA $ 60,000, $ 17,450, $ $ 17,450, $ (7,650,000.00) $ 9,800, % 7 Class A PAG1 3M LIBOR 0.48% $ 250,000, $ 250,000, $ $ 250,000, $ $ 250,000, % 8 Class AIO 0.23% NA (b) (b) (b) (b) (b) (b) 9 Class B PAJ5 Auction Rate NA $ 41,250, $ 41,250, $ $ 41,250, $ $ 41,250, % 10 Class B PAK2 Auction Rate NA $ 41,250, $ 41,250, $ $ 41,250, $ $ 41,250, % 11 Total Securities $ 687,500, $ 349,950, $ $ 349,950, $ (7,650,000.00) $ 342,300, (a) Principal payment occurs on the Auction Payment Dates for Auction Rate Notes and on Quarterly Distribution Date for NonAuction Rate Notes. (b) The notional amount for Class AIO (interestonly) equals the outstanding balance of Class A7. NCSLT Distribution Report Page 1 of 7 F4B0D12

2 National Collegiate Student Loan Trust II Transactions and Accruals From 10/01/2011 to 10/31/2011 A. Student Loan Cash Principal Activity 1 Principal Payments Received $ (1,569,843.84) 2 Principal Cash Claim Payments (c) $ 3 Repurchased Principal $ 4 New Loan Additions $ 5 Other Adjustments (cancellations, consolidations and other) $ Total Principal Collections $ (1,569,383.92) B. Student Loan NonCash Principal Activity 1 Capitalized Interest $ 54, NonCash Claims on Unsecured Defaults $ (1,215,872.77) 3 Realized Losses $ 4 Repurchased Principal $ 5 New Loan Additions $ 6 Other Adjustments $ (22.19) 7 Total NonCash Principal Activity $ (1,161,755.75) C. Total Student Loan Principal Activity (II.A.6 + II.B.7) $ (2,731,139.67) D. Student Loan Cash Interest Activity 1 Interest Payments Received $ (1,150,573.08) 2 Interest Cash Claim Payments (c) $ 3 Repurchased Interest $ 4 New Loan Additions $ 5 Other Adjustments (cancellations, consolidations and other) $ 6 Total Interest Collections $ (1,150,573.08) E. Student Loan NonCash Interest Activity 1 Interest Accruals $ 1,226, NonCash Claims on Unsecured Defaults $ (35,992.66) 3 Capitalized Interest $ (54,139.21) 4 Realized Losses $ 5 Repurchased Interest $ 6 Other Adjustments $ (45.83) 7 Total NonCash Interest Activity $ 1,136, F. Total Student Loan Interest Activity (II.D.6 + II.E.7) $ (14,027.42) G. Student Loan Late Fees Activity 1 Cash Late Fees $ (7,200.86) 2 NonCash Late Fees $ 8, Net Late Fees Activity (II.G.1 + II.G.2) $ III Prepayment Data 12/31/2010 6/30/2011 Prepayment Rate 1.45% 1.95% Prepayment Rate will be updated in the July and January Monthly Distribution Reports for the 6month periods ending June and December, respectively. NCSLT Distribution Report Page 2 of 7 74FDD526

3 National Collegiate Student Loan Trust IV Collection Account Activity From 10/01/2011 to 10/31/2011 A. Collection Account 1 Collections by Servicers $ 2,719, Cash Claim Payments $ 3 Liquidation Proceeds and Recoveries $ 187, Sale Proceeds $ 5 Investment Earnings on Trust Accounts $ Excess of Specified Reserve Account Balance $ 100, Other Receipts (Late Fees and Other) (a) $ 7, Prior Month Allocation and Adjustments $ 6,548, Total Available Funds $ 9,564, B. Allocations through 11/30/2011 with Payments and Distributions for 11/25/2011 Total Available Remaining Reserve Funds Funds Transfer $ 9,564, $ 9,564, Payment of Trustee, Servicer, Administrator, BrokerDealer and Auction Agent Fees: (a) Payment of Trustee Fees & Expenses $ 5, $ 9,559, $ (b) Payment of Servicing Fees $ 108, $ 9,450, $ (c) Payment of Administration Fees $ 76, $ 9,374, $ (d) Payment of Broker Dealer Fees & Expenses $ 2, $ 9,372, $ (e) Payment of Auction Agent Fees & Expenses $ $ 9,372, $ 2 Allocation of Trustee, Servicer, Administrator, BrokerDealer and Auction Agent Fees: (a) Allocation of Trustee Fees & Expenses $ $ 9,372, $ (b) Allocation of Servicing Fees $ 88, $ 9,283, $ (c) Allocation of Administration Fees $ $ 9,283, $ (d) Allocation of Broker Dealer Fees & Expenses $ 2, $ 9,281, $ (e) Allocation of Auction Agent Fees & Expenses $ $ 9,281, $ 3 To Future Distribution Account, an amount necessary to cover 1 month's expected fees from #1 above $ 113, $ 9,168, $ 4 Payment of Other Fees $ $ 9,168, $ 5 Payment of Interest Distribution Amount to Class A Securities: (a) Class A1 $ $ 9,168, $ (b) Class A2 $ $ 9,168, $ (c) Class A3 $ $ 9,168, $ (d) Class A4 $ $ 9,168, $ (e) Class A5 $ $ 9,168, $ (f) Class A6 $ 50, $ 9,118, $ (g) Class A7 $ 505, $ 8,612, $ (h) Class AIO $ 146, $ 8,465, $ 6 Payment of Interest Distribution Amount to Class B Securities: (a) Class B1 $ 118, $ 8,346, $ (b) Class B2 $ 131, $ 8,215, $ 7 To Future Distribution Account, an amount necessary to cover 1 month's expected Class A interest $ 277, $ 7,938, $ 8 To Future Distribution Account, an amount necessary to cover 1 month's expected Class B interest $ 249, $ 7,688, $ 9 (a) Payment of supplemental origination fees $ $ 7,688, $ (b) Allocation of supplemental origination fees $ $ 7,688, $ 10 Transfer to Reserve Account to replenish Specified Reserve Account Balance $ $ 7,688, $ 11 Payment to purchase Rehabilitated Student Loans $ $ 7,688, $ (2) (3) 12 Payment of Principal Distribution Amount to Noteholders: (a) Class A1 $ $ 7,688, $ (b) Class A2 $ $ 7,688, $ (c) Class A3 $ $ 7,688, $ (d) Class A4 $ $ 7,688, $ (e) Class A5 $ $ 7,688, $ (f) Class A6 $ 7,650, $ 38, $ (g) Class A7 $ $ $ (h) Class B1 $ $ $ (i) Class B2 $ $ $ 13 Payment of Carryover amounts with respect to Class A Auction Rate Notes $ $ $ 14 Payment of Carryover amounts with respect to Class B Auction Rate Notes $ $ $ 15 Payment of any unpaid Fees, Expenses or Unreimbursed Advances (pro rata) (a) Payment to First Marblehead Corporation $ $ $ (b) Payment of Trustee Fees and Expenses $ $ $ (c) Payment of Servicer Indemnities and Expenses $ $ $ (d) Payment of Administration Fees $ $ $ (e) Payment of BrokerDealer Fees and Expenses $ $ $ (f) Payment of Auction Agent Fees and Expenses $ $ $ 16 On and after 10% Pool Balance Distribution Date or a TERI Trigger Event, (a) Payment of any remaining amounts of Principal to Noteholders $ $ $ 17 Payments to First Marblehead and Certificate holders (a) Payment of any unpaid Structured Advisory Fee to First Marblehead Corp. $ $ $ (b) If Release Trigger is satisfied, Payment to Certificate holders of any remaining amounts $ $ $ Payment of Interest can only be made on a Quarterly Distribution Date. (2) Payment of Principal Distribution on Class A7 Securities can only be made on a Quarterly Distribution Date. Payment of Principal on Auction Rate Notes can only be made on the next Auction Payment Date after a Quarterly Distribution Date. (3) Auction Rate Notes must be paid in denominations of $50,000. NCSLT Distribution Report Page 3 of 7 7BC5634

4 National Collegiate Student Loan Trust V Parity Calculations Parity 9/30/ /31/ Senior Parity ((Pool Balance + Trust Accounts) / Class A Securities) % % 2 Total Parity ((Pool Balance + Trust Accounts) / Total Securities) 87.81% 87.75% VI Portfolio Characteristics by Payment Status WAC # of Loans % Principal Amount % Payment Status 9/30/ /31/2011 9/30/ /31/2011 9/30/ /31/2011 9/30/ /31/2011 9/30/ /31/2011 Interim In School 5.09% 5.07% % 0.20% $ 936, $ 997, % 0.34% Total Interim % 0.20% $ 936, $ 997, % 0.34% Repayment Active Current 4.93% 4.92% 24,595 24, % 94.00% $ 271,588, $ 268,218, % 91.78% 3160 Days Delinquent 5.04% 5.04% % 1.72% $ 6,664, $ 6,518, % 2.23% 6190 Days Delinquent 5.09% 5.06% % 0.94% $ 3,433, $ 3,859, % 1.32% Days Delinquent 4.97% 5.04% % 0.58% $ 3,227, $ 2,396, % 0.82% Days Delinquent 4.89% 4.99% % 0.58% $ 1,789, $ 2,343, % 0.80% Days Delinquent 5.12% 4.94% % 0.44% $ 1,993, $ 1,749, % 0.60% > 180 Days Delinquent 4.97% 5.03% % 0.40% $ 1,232, $ 1,832, % 0.63% Forbearance 5.00% 4.96% % 1.13% $ 4,090, $ 4,309, % 1.47% Total Repayment 26,070 25, % 99.80% $ 294,020, $ 291,227, % 99.66% Grand Total 26,119 25, $ 294,956, $ 292,225, Loans in Interim Status have not yet had a scheduled payment. VII Portfolio Characteristics by Borrower Type and Program Type 9/30/ /31/2011 Borrower Type Principal Amount % Principal Amount % 1 Creditworthy Cosigned Loans $ 259,414, % $ 257,113, % 2 Creditworthy NonCosigned Loans $ 34,225, % $ 33,812, % 3 Creditready Loans $ 1,316, % $ 1,300, % Total $ 294,956, $ 292,225, /30/ /31/2011 Program Type Principal Amount % Principal Amount % 1 Continuing Education $ 6,436, % $ 6,395, % 2 Graduate $ 34,116, % $ 33,707, % 3 K12 $ 6,033, % $ 5,915, % 4 Medical $ 966, % $ 957, % 5 Undergraduate $ 247,403, % $ 245,250, % 6 Consolidation, Parent, Other $ $ Total $ 294,956, $ 292,225, NCSLT Distribution Report Page 4 of 7 2A613865

5 National Collegiate Student Loan Trust VIII Default Information, Claims, Net Losses and Related Information 09/30/11 10/31/11 Defaulted Loan Detail Principal Amount Principal Amount A. Cumulative Defaulted Loans $ 133,432, $ 134,968, B. Cumulative Cash Claim Payments Made $ 48,725, $ 48,725, C. Cumulative NonCash Claims on Unsecured Defaults $ 83,530, $ 84,746, D. Defaulted Loans in Process at Servicer $ 1,176, $ 1,496, Default Rates E. Cumulative Default Rate as a percentage of Loans in Repayment (2) 20.78% 21.02% F. Cumulative Default Rate as a percentage of Financed Student Loans at Closing Date (3) 25.41% 25.70% Related Information G. Has a Material Change to ChargeOff Method Occurred? No No H. Has a Material Change to Asset Terms, Fees, Penalties or Payments Occurred? No No I. Has a Material Breach of Pool Asset Representations or Warranties or Transaction Covenants Occurred? No No Cumulative Principal Balance of Defaulted Student Loans as of the last day of the Collection Period, less cumulative claims cancelled and returned to nondefault status. (2) (3) Section VIII.A divided by the Principal Balance of all Student Loans that have entered repayment status plus cumulative principal payments received by the Trust. Section VIII.A divided by the Principal Balance of Financed Student Loans as of Closing Date $525,153, Supplemental Information Cumulative Net Loss to the Trust on Defaulted Loans 10/31/11 J. Cumulative Defaulted Principal Amount (Section VIII.A) $ 134,968, K. Cumulative Defaulted Interest Amount $ 8,204, L. Cumulative Cash Claim Principal Payments Made (Section VIII.B) $ (48,725,086.72) M. Cumulative Cash Claim Interest Payments Made $ (3,370,196.27) N. Cumulative Principal and Interest Recoveries after Collection Costs (while under Trust ownership) (a) $ (5,141,388.30) O. Other (b) $ (3,245,271.98) P. Cumulative Net Loss $ 82,691, Q. Cumulative Net Loss rate as a percentage of Financed Student Loans at Closing Date (c) 15.75% (a) (b) (c) Includes recoveries on defaulted loans since the November 2010 transfer to the Trust from TERI pursuant to the Plan. See Section IX.8 details on TERI bankruptcy settlement. Includes additional cash received from TERI pursuant to the Plan for recoveries collected on defaulted loans that had not been deposited into the Pledge Fund and unsecured claim distributions being received periodically from the Plan Trust. See Section IX.8 details on TERI bankruptcy settlement. Cumulative Net Loss (Line P above) divided by the Principal Balance of Financed Student Loans as of Closing Date $525,153, NCSLT Distribution Report Page 5 of 7 5FCC9144

6 National Collegiate Student Loan Trust IX Trigger Tests and Other Information 1 Has a Specified Reserve Account Balance date occurred? Yes 2 TERI Trigger Event (Cumulative Default Rate is greater than 15% and TERI is no longer paying claims) (a) Has a TERI Trigger Event occurred? Yes If so, the date such trigger occurred. The trigger occurred on the 11/25/2009 Distribution Report. Is a TERI Turbo Trigger currently in effect? Yes, sequential paydown of notes will continue. 3 Has the Stepdown Date of February 25, 2009 occurred? Yes, but the Rating Agency Condition was not confirmed by Moody's, Fitch and Standard & Poors, therefore, the Notes will be paid sequentially. 4 Has an Event of Default occurred? No 5 Has the Parity Ratio reached its release point of 103%? No 6 Has the 10% Pool Distribution Date occurred? No 7 Has Trust exceeded annual fees or expense cap to Service Providers? No 8 On November 19, 2010, the Modified Fourth Amended Joint Plan of Reorganization of TERI and the Official Committee of Unsecured Creditors (the Plan) became effective, having been confirmed by the Bankruptcy Court in October Pursuant to the Plan s settlement provisions accepted by the Trust, the Trust received in November 2010: (i) all funds remaining in its Pledge Fund, (ii) all defaulted loans purchased from the Trust by TERI prior to April 7, 2008 using funds in the Pledge Fund (the Prepetition Loans ), (iii) all net recoveries realized, and rights to all net recoveries to be realized in the future, in respect of such Prepetition Loans, except for certain net recoveries received by TERI prior to April 7, 2008 and not deposited in the Pledge Fund (the Undeposited Recoveries ) and (iv) certain additional cash and an increase in its unsecured claim in settlement of disputes concerning certain defaulted loans purchased from the Trust by TERI using funds in its general reserves. In addition, the Trust has an unsecured claim against TERI s estate in the amount specified in the Plan. The Trust received payment of a portion of its unsecured claim in December 2010 and August Pursuant to the Plan, TERI released its claim against the Trust for payment of accrued and future guaranty fees, and the litigation filed by the Creditors Committee against the indenture trustee, the Trust and the administrator, FMDS, was dismissed with prejudice. Copies of the Plan and all other filings made in the TERI bankruptcy proceedings may be obtained at and if not available on such case website, then such filings may be obtained by contacting the Clerk at the Bankruptcy Court. (a) See VIII. Default Information, Net Losses and Related Information (above) for Cumulative Default Rate and calculation. NCSLT Distribution Report Page 6 of 7 80FAACE

7 National Collegiate Student Loan Trust Auction Rate Securities Paid Class Payment Date Notes Held Value Per Note Balance Interest Rate Start Date End Date No. of Days Interest Payment Broker/Dealer Fee Class A6 11/9/ $50,000 $17,450, % 10/12/ /8/ $ 50, $ Total $ 50, $ Class B1 11/10/ $50,000 $41,250, % 10/13/ /9/ $ 118, $ Total $ 118, $ Class B2 11/14/ $50,000 $41,250, % 10/14/ /13/ $ 131, $ 1, Total $ 131, $ 1, NCSLT Distribution Report Page 7 of 7 5F4BD2EA