- -------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): April 1, 1997
THE NATIONAL COLLEGIATE TRUST 1997-S1 (as issuer under the Indenture, dated as
of April 1, 1997, providing for the issuance of Class A Collateralized Student
Loan Bonds, Series 1997-S1 and Class B Collateralized Student Loan Bonds, Series
1997-S1)
The National Collegiate Trust 1997-S1
- --------------------------------------------------------------------------------
(Exact name of Issuer as specified in its charter)
Delaware 33-63616 52-2019939
-------- -------- ----------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
c/o Delaware Trust Capital Management, Inc.
900 Market Street
Wilmington, Delaware 19801
- -------------------- -----
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (302) 421-7748
--------------
- -------------------------------------------------------------------------------
<PAGE>
-2-
Item 5. OTHER EVENTS.
On April 9, 1997, the Issuer expects to cause the issuance and sale of
its Class A Collateralized Student Loan Bonds, Series 1997-S1 and its Class B
Collateralized Student Loan Bonds, Series 1997-S1 (the "Underwritten Bonds")
pursuant to an Indenture, to be dated as of April 1, 1997, between the Issuer
and State Street Bank and Trust Company, as Indenture Trustee.
In connection with the expected sale of the Underwritten Bonds,
BancAmerica Securities, Inc. (the "Underwriter") has advised the Issuer that it
has furnished to prospective investors certain yield tables and other
computational materials (the "Computational Materials") with respect to the
Underwritten Bonds following the effective date of Registration Statement No.
33- 63616, which Computational Materials are being filed as Exhibit 1 to this
report.
The Computational Materials have been provided by the Underwriter. The
information in the Computational Materials is preliminary and may be superseded
by the Prospectus Supplement relating to the Underwritten Bonds and by any other
information subsequently filed with the Securities and Exchange Commission.
The Computational Materials were prepared by the Issuer and the
Underwriter at the request of certain prospective investors, based on
assumptions provided by, and satisfying the special requirements of, such
prospective investors. The Computational Materials may be based on assumptions
that differ from the assumptions set forth in the Prospectus Supplement. The
Computational Materials may not include, and do not purport to include,
information based on assumptions representing a complete set of possible
scenarios. Accordingly, the Computational Materials may not be relevant to or
appropriate for investors other than those specifically requesting them.
In addition, the actual characteristics and performance of the student
loans underlying the Underwritten Bonds (the "Student Loans") may differ from
the assumptions used in the Computational Materials, which are hypothetical in
nature and which were provided to certain investors only to give a general sense
of how the yield, duration, expected maturity, interest rate sensitivity and
cash flow characteristics of the Underwritten Bonds might vary under varying
prepayment and other scenarios. Any difference between such assumptions and the
actual characteristics and performance of the Student Loans will affect the
actual yield, duration, expected maturity, interest rate sensitivity and cash
flow characteristics of the Underwritten Bonds.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the issuer has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
THE NATIONAL COLLEGIATE TRUST
1997-S1
By: DELAWARE TRUST CAPITAL
MANAGEMENT, INC., not in its
individual capacity but as Owner
Trustee
By: /s/ Richard N. Smith
-----------------------------
Name: Richard N. Smith
Title: Vice President
Dated: April 1, 1997
<PAGE>
EXHIBITS TABLE
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS
(a) FINANCIAL STATEMENTS.
Not applicable.
(b) PRO FORMA FINANCIAL INFORMATION.
Not applicable.
(c) EXHIBITS
Item 601 (a) of
Exhibit Regulation S-K
Number Exhibit No. Description
------ ----------- -----------
1 99 Computational Materials
<PAGE>
EXHIBIT INDEX
Item 601 (a) of
Exhibit Regulation S-K
Number Exhibit No. Description
------ ----------- -----------
1 99 Computational Materials
EXHIBIT 1
<PAGE>
$8,000,000 (APPROXIMATE)
GATE(sm) RECEIVABLE ASSET-BACKED DEBT SECURITIES (GRADS(sm))
ISSUER: NATIONAL COLLEGIATE TRUST 1997-S1
$5,250,000 (APPROXIMATE) __% CLASS A COLLATERALIZED STUDENT LOAN BONDS
SERIES 1997-S1
$2,750,000 (APPROXIMATE) __% CLASS B COLLATERALIZED STUDENT LOAN BONDS
SERIES 1997-S1
The information contained herein (the "Computational Materials") is provided by
BancAmerica Securities, Inc. ("BASI") based on information regarding the loan
pool provided by First Marblehead Corporation, as Structural Advisor (the
"Advisor") to the National Collegiate Trust 1997-S1. NO REPRESENTATION IS MADE
BY THE ADVISOR, ANY OF ITS AFFILIATES, OR BASI AS TO THE APPROPRIATENESS,
USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON
WHICH THEY ARE BASED. These Computational Materials are preliminary and will be
superseded by the final Prospectus Supplement and by any other Computational
Materials subsequently filed with the Securities and Exchange Commission (the
"Commission").
All information and assumptions contained herein reflect BASI's assumptions as
of this date and are subject to change. THE ACTUAL CHARACTERISTICS AND
PERFORMANCE OF THE LOANS WILL DIFFER FROM THE ASSUMPTIONS USED IN PREPARING
THESE MATERIALS, WHICH ARE HYPOTHETICAL IN NATURE.
CHANGES IN THE ASSUMPTIONS MAY HAVE A MATERIAL IMPACT ON THE INFORMATION SET
FORTH IN THESE MATERIALS.
This information may not be used or otherwise disseminated in connection with
the offer or sale of these or any other securities, except in connection with
the initial offer or sale of these securities to you to the extent set forth
below. Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER, OR SOLICITATION OF AN OFFER, TO BUY OR SELL ANY SECURITY WOULD
BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED
BY THE ISSUER WHICH WILL CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE
MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL
INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO
INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. NOTE
TO RECIPIENTS: We recommend that investors obtain the advice of their BA
Securities, Inc. representative about the investment concerned. BASI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and BASI strongly urges you to seek advice from your counsel,
accountant, and tax advisor. BASI is an affiliate of Bank of America National
Association ("BANA").
BASI (or any of its affiliates) or their officers, directors, analysts or
employees may have positions in the securities, commodities or derivative
instruments thereon referred to here and may as principal or agent, buy or sell
such securities, commodities or derivative instruments. In addition, BASI may
make a market in the securities referred to herein. Neither the information nor
the assumptions reflected herein shall be construed to be, or constitute an
offer to buy or a solicitation of an offer to sell or buy securities,
commodities or derivative instruments mentioned herein. No sale of any
securities, commodities or derivative instruments should be consummated without
the purchaser first having received a prospectus and, if required, a prospectus
supplement.
BancAmerica Securities, Inc.
312-828-4801
================================================================================
[LOGO]
BancAmerica Securities, Inc.
A BankAmerica Company Asset Backed Securities
================================================================================
<PAGE>
EFFECT OF PREPAYMENT OF STUDENT LOANS ON
WEIGHTED AVERAGE LIFE AND FINAL MATURITY OF THE BONDS (1)
(AVERAGE LIFE AND FINAL MATURITY IN YEARS)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PREPAYMENT
ASSUMPTION: 0% CPR 1% CPR (2) 2% CPR (3) 3% CPR (4) 4% CPR (5) 5% CPR (6) 6% CPR (7) 7% CPR (8)
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A BONDS 9.0 8.1 7.3 6.7 6.2 5.7 5.3 4.9
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B BONDS 13.2 12.8 12.5 12.2 11.8 11.5 11.1 10.7
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
FINAL MATURITY
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A BONDS 3/09 9/08 3/08 9/07 3/07 9/06 3/06 9/05
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS B BONDS 9/11 3/11 3/11 9/10 9/10 9/10 3/10 3/10
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) This table has been prepared using the following assumptions:
(i) defaults are assumed to occur with respect to Student Loans
constituting 11.93% (2.5x the weighted average Stafford Loan default rate
for the Owner Participants, which is based on the number of loans defaulted
- see "The Owner Participants" detailed in the Prospectus Supplement) of
the aggregate principal balance of the Student Loans in the Trust Estate
and liquidations of defaulted Student Loans are assumed to result in
recoveries of 20% of the aggregate principal balance of defaulted loans,
for an aggregate loss of 9.54% of the aggregate principal balance of the
Student Loans in the Trust Estate (plus interest thereon); 43% of these
defaults are assumed to occur in the first year in which repayment
commences, 20% in the second year, 14% in the third year, 10% in the fourth
year and 3.25% in each of years five through eight;
(ii) students to whom Student Loans were made constituting 15% of the Trust
Estate leave school prior to the graduation of the student's entering
class;
(iii) students to whom Student Loans were made constituting 25% of the
Trust Estate's graduating students defer for an average of 2.5 years the
payment of interest on the loans commencing with the Payment Date
immediately after termination of the Interest Support Period; and
(iv) the interest rate on the Student Loans is 9.185%; the interest rate on
the Outstanding Class A and Class B Bonds is 7.45% and 8.25%, respectively,
and reinvestment income on funds in the Reserve Fund, the Interest Support
Account and the Collateral Proceeds Account is earned at the rate of 5% per
year.
(2) Assumes 1% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period and that prepayments receipts are used to retire bonds
prior to the first principal date as defined in the prospectus.
(3) Assumes 2% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period.
(4) Assumes 3% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period.
(5) Assumes 4% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period.
(6) Assumes 5% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period.
(7) Assumes 6% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period.
(8) Assumes 7% (on an annualized basis) of the principal outstanding on the
Student Loan at the beginning of each Interest Accrual Period prepays
during that period.
================================================================================
No representation is made that these Computational Materials are accurate or
complete. Certain assumptions may have been made in this analysis which have
resulted in any results detailed herein. No representation is made that any
returns indicated will be achieved. Changes to the assumptions may have a
material impact on any returns detailed. The foregoing has been prepared solely
for informational purposes, and is not an offer to buy or sell or a solicitation
of an offer to buy or sell any security or instrument or to participate in any
particular trading strategy. BancAmerica Securities, Inc. and/or affiliates may
have positions in, and effect transactions in securities and instruments of
issuers mentioned herein and may also provide or seek to provide significant
advice or investment services, including investment banking, for the issuers of
such securities and instruments. Additional information is available upon
request. NOTE TO RECIPIENTS: In addition, please note that this information has
been provided by BA Securities, Inc. We recommend that investors obtain the
advice of their BancAmerica Securities, Inc. representative about the investment
concerned.
