Fitch Affirms Nelnet Student Loan Trust 2012-2 Notes

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms the 'AAAsf' rating on the senior notes and affirms the 'AAsf' rating on the subordinate notes issued by Nelnet Student Loan Trust 2012-2 trust. The Rating Outlook remains Stable for the senior and subordinate notes. A detailed list of rating actions follows at the end of this press release.

KEY RATING DRIVERS

High Collateral Quality:

Although the collateral consists of 100% of rehabilitated 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:

While both the senior and subordinate notes will benefit from overcollateralization (OC; the excess of trust's asset balance over bond balance) and excess spread, the senior notes also benefit from subordination provided by the class B note. As of January 2015, total parity is 101.78% (1.75% CE) and senior parity is 106.55% (6.14% CE). Cash is being released from the trust, given the specified OC amount, which is equal to the greater of 1.75% of the current adjustable pool balance and $2,000,000, has been achieved.

Adequate Liquidity Support:

Liquidity support is provided by a Debt Service Reserve Fund sized at the greater of 0.25% of the pool balance and $333,000, and a capitalized interest account with a current balance of $4,000,000.

Acceptable Servicing Capabilities:

National Education Loan Network, Inc. is the Master Servicer, with Nelnet, Inc. acting as subservicer. Fitch believes both National Education Loan Network, Inc. and Nelnet, Inc. to be acceptable servicers of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS rely 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 CE driven by positive excess spread given favorable basis factor conditions could lead to future upgrades.

Initial Key Rating Drivers and Rating Sensitivity further described in the Presale report published on June 8, 2012.

Fitch has affirmed the following:

Nelnet Student Loan Trust 2012-2:

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

--Class B notes at 'AAsf'; Outlook Stable.

A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for student loans is available by accessing the reports and links below:

--'Nelnet Student Loan Trust 2012-2 - Appendix', dated June 8, 2012;

--'Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions -- Amended', dated April 17, 2013.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' dated August 2014;

--'Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria' dated June 2014.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981794

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.

Fitch Ratings
Primary Analyst
Jeffrey Prackup
Director
+1-212-908-0839
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Paul Jiang
Analyst
+1-212-908-9120
or
Committee Chairperson
Steven Stubbs
Senior Director
+1-212-908-0676
or
Media Relations:
Sandro Scenga, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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