Fitch Ratings has affirmed the ratings on all outstanding classes of Nelnet Student Loan Trust (Nelnet) 2012-4, 2012-5, and 2012-6.

The Rating Outlooks on the class A notes of Nelnet 2012-5 and the class B notes of Nelnet 2012-6 remain Negative. All other Outlooks remain Stable.

RATING ACTIONS

Entity / Debt

Rating

Prior

Nelnet Student Loan Trust 2012-6

A 64032YAA1

LT

AAAsf

Affirmed

AAAsf

B 64032YAB9

LT

AAsf

Affirmed

AAsf

Nelnet Student Loan Trust 2012-4

A 64033AAA2

LT

AAAsf

Affirmed

AAAsf

B 64033AAB0

LT

AAsf

Affirmed

AAsf

Nelnet Student Loan Trust 2012-5

A 64033BAA0

LT

AAAsf

Affirmed

AAAsf

B 64033BAB8

LT

AAsf

Affirmed

AAsf

Page

of 1

VIEW ADDITIONAL RATING DETAILS

Nelnet 2012-4 and 2012-5: The affirmations reflect the stable collateral performance of the transactions, in line with Fitch's expectations since last review. The class A and B notes pass credit and maturity stresses at the notes' corresponding rating levels with low maturity risk and sufficient hard credit enhancement (CE). Fitch has affirmed the class A notes at 'AAAsf' and the class B notes at 'AAsf'. The class B notes of 2012-5 are rated one category below their model-implied rating of 'AAAsf' due to parity projections commensurate with current ratings of 'AAsf', in accordance with Fitch's FFELP criteria. The Outlook for the senior notes of Nelnet 2012-5 remains Negative due to increased maturity risk and slow declining remaining term, decreasing five months since the last review. All other Outlooks remain Stable.

Nelnet 2012-6: The affirmations of the notes reflect the stable collateral performance of the transaction, in line with Fitch's expectations since last review. The class A notes pass all credit and maturity stresses in Fitch's cash flow modelling with low maturity risk and sufficient hard CE. The Negative Outlook on the class B notes reflects the failure of the 'AAsf' credit stress. The transaction is sensitive to defaults and faces additional stress due to interest rate volatility. The reserve remains above its target and is expected to hit its floor. The model-implied rating is within one rating category of the current rating, as permitted by Fitch's Federal Family Education Loan Program (FFELP) rating criteria. The Outlook on the class A notes remains Stable.

The sustainable constant default rate (sCDR) assumptions were increased to 5.00% and 3.50% from 4.50% and 3.00% for Nelnet 2012-4 and 2012-5, respectively.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable.

Collateral Performance: For all transactions, after applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch applies the standard default timing curve in its credit stress cash flow analysis. Additionally, consolidation from the Public Service Loan Forgiveness Program is driving the short-term inflation of CPR, and the claim reject rate is assumed to be 0.25% in the base case and 2.00% in the 'AAAsf' case.

Nelnet 2012-4: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 23.00% under the base case scenario and a default rate of 55.70% under the 'AAAsf' credit stress scenario. Fitch is revising the sCDR upwards to 5.00% from 4.50% and maintaining the sCPR of 11.00% in cash flow modelling. Defaults have returned to pre-pandemic levels. The trailing-twelve-month (TTM) levels of deferment, forbearance and IBR are 6.96% (7.21% at Jan. 31, 2022), 7.47% (9.50%) and 27.47% (25.46%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 days past due (DPD) have increased and the 91-120 DPD have declined from one year ago and are currently 4.65% for 31 DPD and 1.33% for 91 DPD compared to 3.97% and 2.13% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor.

Nelnet 2012-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 19.00% under the base case scenario and a default rate of 47.50% under the 'AAA' credit stress scenario. Fitch is revising the sCDR upwards to 3.50% from 3.00% and maintaining the sCPR of 11.00% in cash flow modelling. Defaults have returned to pre-pandemic levels. The TTM levels of deferment, forbearance and IBR are 4.36% (4.38% at Jan. 31, 2022), 9.66% (9.90%) and 25.17% (22.37%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have declined from one year ago and are currently 3.41% for 31 DPD and 1.39% for 91 DPD compared to 3.44% and 1.50% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.16%, based on information provided by the sponsor.

Nelnet 2012-6: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 28.50% under the base case scenario and a default rate of 74.46% under the 'AAA' credit stress scenario. Fitch is maintaining the sCDR of 5.50% and the sCPR of 12.00% in cash flow modelling. Defaults have remained in line with expectations. The TTM levels of deferment, forbearance and IBR are 5.07% (5.25% at Jan. 31, 2022), 8.32% (9.60%) and 23.68% (21.00%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased and the 91-120 DPD have declined from one year ago and are currently 3.11% for 31 DPD and 1.50% for 91 DPD compared to 3.02% and 1.57% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.11%, based on information provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the February 2023 distribution period, for Nelnet 2012-4, 2012-5, and 2012-6, 95.89%, 95.20% and 92.77%, of the trust student loans are indexed to one-month LIBOR, respectively, (with remainder indexed to 91-day T-bills). All notes pay one-month LIBOR plus a spread. Fitch applies its standard basis and interest rate stresses to these transactions as per criteria.

Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and, for the class A notes, subordination provided by the class B notes. As of the February 2023 distribution period, Fitch's total parity ratios (including the reserve account) are 101.11% (1.10% CE), 100.82% (0.81% CE), and 100.66% (0.65% CE) for Nelnet 2012-4, 2012-5, and 2012-6, respectively. Fitch's senior parity ratios (including the reserve account) are 111.12% (10.01% CE), 115.64% (13.52% CE), and 114.06% (12.33% CE) for Nelnet 2012-4, 2012-5, and 2012-6, respectively. Liquidity support is provided by reserve accounts currently sized at $937,500.00 (2012-4), $1,426,680.00 (2012-5), and $1,407,432.00 (2012-6). Nelnet 2012-4 will release cash when the target OC of $2,000,000 or 1.20% is reached, and Nelnet 2012-5 and 2012-6 will release cash when the target OC of $2,000,000 or 1.00% is reached.

Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal.

Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.

Nelnet Student Loan Trust 2012-4

Current Ratings: class A 'AAAsf'; class B 'AAsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress)

Credit Stress Rating Sensitivity

Default increase 25%: class A 'AAAsf'; class B 'Asf';

Default increase 50%: class A 'AAAsf'; class B 'BBBsf';

Basis spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf';

Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBsf';

Maturity Stress Rating Sensitivity

CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';

CPR decrease 50%: class A 'AAAsf'; class B 'AAsf';

IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';

IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';

Remaining Term increase 25%: class A 'AAAsf'; class B 'AAsf';

Remaining Term increase 50%: class A 'AAAsf'; class B 'AAsf'.

Nelnet Student Loan Trust 2012-5

Current Ratings: class A 'AAAsf'; class B 'AAsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress)

Credit Stress Rating Sensitivity

Default increase 25%: class A 'AAAsf'; class B 'AAsf';

Default increase 50%: class A 'AAAsf'; class B 'Asf';

Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAsf';

Basis spread increase 0.50%: class A 'AAAsf; class B 'BBBsf';

Maturity Stress Rating Sensitivity

CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';

CPR decrease 50%: class A 'AAsf'; class B 'AAsf';

IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';

IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';

Remaining Term increase 25%: class A 'Asf'; class B 'AAsf';

Remaining Term increase 50%: class A 'BBsf'; class B 'AAsf'.

Nelnet Student Loan Trust 2012-6 Credit Stress Rating Sensitivity

Current Ratings: class A 'AAAsf'; class B 'AAsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'Asf' (Credit Stress)

Default increase 25%: class A 'AAAsf'; class B 'BBBsf'

Default increase 50%: class A 'AAAsf'; class B 'BBBsf'

Basis spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf'

Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBsf'

Maturity Stress Rating Sensitivity

CPR decrease 25%: class A 'AAAsf'; class B 'AAsf'

CPR decrease 50%: class A 'AAAsf'; class B 'AAsf'

IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf'

IBR usage increase 50%: class A 'AAAsf; class B 'AAsf'

Remaining Term increase 25%: class A 'AAAsf'; class B 'AAsf';

Remaining Term increase 50%: class A 'AAAsf'; class B 'AAsf'.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Nelnet Student Loan Trust 2012-4

No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.

Credit Stress Sensitivity

Default decrease 25%: class B 'AAAsf';

Basis Spread decrease 0.25%: class B 'AAAsf';

Maturity Stress Sensitivity

CPR increase 25%: class B 'AAAsf';

IBR usage decrease 25%: class B 'AAAsf';

Remaining Term decrease 25%: class B 'AAAsf'.

Nelnet Student Loan Trust 2012-5

No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.

Credit Stress Sensitivity

Default decrease 25%: class B 'AAAsf';

Basis Spread decrease 0.25%: class B 'AAAsf';

Maturity Stress Sensitivity

CPR increase 25%: class B 'AAAsf';

IBR usage decrease 25%: class B 'AAAsf';

Remaining Term decrease 25%: class B 'AAAsf'.

Nelnet Student Loan Trust 2012-6

No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.

Credit Stress Sensitivity

Default decrease 25%: class B 'AAsf';

Basis Spread decrease 0.25%: class B 'AAsf';

Maturity Stress Sensitivity

CPR increase 25%: class B 'AAAsf';

IBR usage decrease 25%: class B 'AAAsf';

Remaining Term decrease 25%: class B 'AAAsf'.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG Considerations

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg

Additional information is available on www.fitchratings.com

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