Fitch Ratings has taken various rating actions on outstanding classes of Nelnet Student Loan Trusts (
RATING ACTIONS
Entity / Debt
Rating
Prior
A 64033DAA6
LT
AA+sf
Affirmed
AA+sf
B 64033DAB4
LT
AAsf
Affirmed
AAsf
A 64033CAA8
LT
AA+sf
Affirmed
AA+sf
B 64033CAB6
LT
AAsf
Affirmed
AAsf
A 64033GAA9
LT
AA+sf
Affirmed
AA+sf
B 64033GAB7
LT
Asf
Affirmed
Asf
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
Fitch has affirmed the class A and B notes of
KEY RATING DRIVERS
Collateral Performance:
For all transactions, 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 1.65% in the 'AA' case.
The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 4.63% (4.87% at
The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 5.66% (5.80% at
The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 6.44% (6.92% at
Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the November distribution, for
Payment Structure:
Operational Capabilities: Day-to-day servicing is provided by
RATING SENSITIVITIES
Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade
Current Ratings: class A 'AA+sf'; class B 'AAsf'
Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'AA+sf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AA+sf'; class B 'AAsf';
Default increase 50%: class A 'AA+Asf'; class B 'Asf';
Basis spread increase 0.25%: class A 'AA+sf'; class B 'AAsf';
Basis spread increase 0.50%: class A 'AA+sf; class B 'Asf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AA+sf'; class B 'AAsf';
CPR decrease 50%: class A 'AA+sf'; class B 'AAsf';
IBR usage increase 25%: class A 'AA+sf'; class B 'AAsf';
IBR usage increase 50%: class A 'AA+sf; class B 'AAsf';
Remaining Term increase 25%: class A 'AA+sf'; class B 'AAsf';
Remaining Term increase 50%: class A 'AA+sf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'AAsf'
Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'AA+sf' (Maturity Stress) / 'Asf' (Credit Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AA+sf'; class B 'Asf';
Default increase 50%: class A 'AA+sf'; class B 'Asf';
Basis spread increase 0.25%: class A 'AA+sf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AA+sf; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AA+sf'; class B 'AAsf';
CPR decrease 50%: class A 'AA+sf'; class B 'AAsf';
IBR usage increase 25%: class A 'AA+sf'; class B 'AAsf';
IBR usage increase 50%: class A 'AA+sf; class B 'AAsf';
Remaining Term increase 25%: class A 'AA+sf'; class B 'AAsf';
Remaining Term increase 50%: class A 'AA+sf'; class B 'AAsf'.
Current Ratings: class A 'AA+sf'; class B 'Asf'
Current Model-Implied Ratings: class A 'AA+sf' (Credit and Maturity Stress); class B 'AA+sf' (Credit and Maturity Stress)
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AA+sf'; class B 'Asf';
Default increase 50%: class A 'AA+sf'; class B 'Asf';
Basis spread increase 0.25%: class A 'AA+sf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AA+sf; class B 'Asf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AA+sf'; class B 'Asf';
CPR decrease 50%: class A 'AA+sf'; class B 'Asf';
IBR usage increase 25%: class A 'AA+sf'; class B 'Asf';
IBR usage increase 50%: class A 'AA+sf; class B 'Asf;
Remaining Term increase 25%: class A 'AA+sf'; class B 'Asf';
Remaining Term increase 50%: class A 'Asf'; class B 'Asf'.
Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade
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 'AA+sf's;
Basis Spread decrease 0.25%: class B 'AA+sf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AA+sf';
IBR usage decrease 25%: class B 'AA+sf';
Remaining Term decrease 25%: class B 'AA+sf'.
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 AA+sf';
Basis Spread decrease 0.25%: class B 'AA+sf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AA+sf';
IBR usage decrease 25%: class B 'AA+sf';
Remaining Term decrease 25%: class B 'AA+sf'.
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 'AA+sf';
Basis Spread decrease 0.25%: class B 'AA+sf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AA+sf';
IBR usage decrease 25%: class B 'AA+sf';
Remaining Term decrease 25%: class B 'AA+sf'.
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
The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' 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. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. For more information on Fitch's ESG Relevance Scores, visit https://www.fitchratings.com/topics/esg/products#esg-relevance-scores.
Additional information is available on www.fitchratings.com
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