Fitch Affirms Ratings on Nelnet Student Loan Trust 2015-3 Notes

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the following ratings on the senior and subordinate notes issued by Nelnet Student Loan Trust 2015-3. The Rating Outlook remains Stable for all notes.

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

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

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

--Class B at 'A+sf'; Outlook Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of Federal Family Education Loan Program (FFELP) loans, including 24.72% rehabilitated (rehab) 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. Fitch's current U.S. sovereign rating is 'AAA'/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 March 31, 2016, senior and total parity are expected to be 104.42% and 102.25%, respectively. A target OC amount equal to the greater of 2.10% of the adjusted pool balance and $2 million must be met before excess spread can be released from the trust.

Adequate Liquidity Support: Liquidity support is provided by a $6,411,026 million reserve account, with a required reserve fund balance of 1.75% of the outstanding note balance until April 2020. On or after the April 2020 distribution date, the specified reserve requirement will be the greater of 0.25% of the outstanding note balance and 0.10% of the initial note balance.

Acceptable Servicing Capabilities: Day to day servicing is provided by Pennsylvania Higher Education Assistance Agency (PHEAA) and Xerox-ES. Xerox-ES will service approximately 93.43% of the portfolio, and PHEAA will service the remaining 6.57%. In Fitch's opinion, both servicers are acceptable servicers of FFELP student loans.

On Nov. 18, 2015, Fitch released its exposure draft which delineates revisions it plans to make to the 'Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria', dated June 23, 2014. Fitch has reviewed this transaction under both the existing and proposed criteria.

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, basis risk, and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Additional defaults, basis shock beyond Fitch's published stresses, lower than expected payment speed, and other factors 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.

DUE DILIGENCE USAGE

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

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Exposure Draft: Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria (pub. 04 Dec 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=874971

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

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

Related Research

Nelnet Student Loan Trust 2015-3 - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865993

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1004315

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1004315

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/20160511006202/en/

Fitch Ratings
Primary Analyst
Jeffrey Prackup
Director
+1-212-908-0839
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-0156
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

---

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

---

You May Also Be Interested In

• CorePower Yoga Announces New Flagship Studio Opening in Downtown Brooklyn
• Pepecoin vs MemeToro: Best Memecoin to Buy 2026, Could MemeToro Surpass Pepecoin’s OG Growth With AI Agents?
• Ace Pickleball Club Media Launches Beyond The Bounce Digital Magazine and Opens Investment Opportunity to the Public