Fitch Affirms Nelnet 2005-4; Outlook Stable

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms the Nelnet Student Loan Trust 2005-4 senior notes at 'AAAsf' and the subordinate notes at 'Asf'. The Rating Outlooks on both notes remains Stable.

Despite the affirmation, Fitch believes the outstanding class A-4 notes carry significant extension risk. Based on Fitch's cash flow modelling runs, the notes were not paid in full by their legal final maturity date on Mar 22, 2032. Under such scenarios, this may result in technical defaults, although Fitch would expect ultimate repayment of full principal and interest afterwards.

A full list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral is comprised of 100% of Federal Family Education Loan Program (FFELP) loans. The credit quality of the trust collateral is high, in Fitch's opinion, based on the guarantees provided by the transaction's eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. Fitch currently rates the U.S. sovereign 'AAA' with a Stable Outlook.

Sufficient Credit Enhancement: CE is provided by overcollateralization (OC; the excess of trust's asset balance over bond balance) and excess spread, and for the senior notes, subordination of the class B note. As of February 2015, total parity is 100.13% (0.13% CE) and senior parity is 104.97% (4.74% CE). The trust is releasing cash as the required $1,116,966 of overcollateralization has been maintained. As the Dec. 2010 step-down date has passed, class B will continue to receive principal given total parity remains above 100%.

Adequate Liquidity Support: Liquidity support is provided by a reserve account. The reserve is equal to the greater of 0.25% of the pool balance and $2,841,887, currently sized at the floor.

Acceptable Servicing Capabilities: Day to day servicing is provided by Nelnet and ACS. In Fitch's opinion, both are acceptable servicers of FFELP student loans.

RATING SENSITIVITIES

Since the FFELP student loan ABS relies on the U.S. government to reimburse defaults, 'AAAsf' FFELP ABS ratings will likely move in tandem with the 'AAA' U.S. sovereign rating. Aside from the U.S. sovereign rating, defaults and basis risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults and basis shock beyond Fitch's published stresses could result in future downgrades. Likewise, a buildup of credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action

Fitch has affirmed the following ratings:

Nelnet Student Loan Trust 2005-4

--Class A-3 at 'AAAsf'; Outlook Stable;

--Class A-4A-R-1 at 'AAAsf'; Outlook Stable;

--Class A-4A-R-2 at 'AAAsf'; Outlook Stable;

--Class A-4L at 'AAAsf'; Outlook Stable;

--Class B at 'Asf'; Outlook Stable.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Global Structured Finance Rating Criteria (pub. 31 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria (pub. 23 Jun 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750530

Additional Disclosures

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=985835

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150603006588/en/

Fitch Ratings
Primary Analyst:
Paul Jiang, +1-212-908-9120
Associate Director
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Committee Chairperson:
Tracy Wan, +1-212-908-9171
Senior Director
or
Sandro Scenga, +1-212-908-0278
Media Relations, New York
[email protected]

Source: Fitch Ratings

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