Fitch Expects to Rate Nelnet Student Loan Trust 2015-3; Presale Issued

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings expects to assign the following ratings to the Nelnet Student Loan Trust (NSLT) 2015-3 student loan asset-backed notes:

--$394,500,000 class A notes 'AAAsf(EXP)'; Outlook Stable;

--$7,500,000 class B notes 'A+sf(EXP)'; Outlook Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of 100% Federal Family Education Loan Program (FFELP) loans including 24.68% rehabilitated (rehab) loans. In Fitch's opinion, the credit quality of the trust collateral is high, based on the guarantees provided by the transaction's eligible guarantors and at least 97% reinsurance of principal and accrued interest provided by the U.S. Department of Education (ED). Fitch currently rates the U.S. 'AAA' with a Stable Outlook.

Sufficient Credit Enhancement: Cash flow scenarios for class A and B notes were satisfactory under Fitch's respective stresses. Total credit enhancement (CE) is provided by overcollateralization (OC) and excess spread, and for the class A notes, 1.87% subordination is provided by the class B notes. At closing, senior and total parity are expected to be 103.51% and 101.58%, 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 an approximate $7.04 million reserve account (1.75% of outstanding note balance), funded at closing with note proceeds. 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: Xerox Education Services, LLC will service approximately 93.65% of the NSLT 2015-3 portfolio and PHEAA will service the remaining 6.35%. In Fitch's opinion, both servicers are 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 credit enhancement driven by positive excess spread given favorable basis factor conditions could lead to future upgrades. For further discussion of Fitch's sensitivity analysis, please see the presale titled 'Nelnet Student Loan Trust 2015-3', dated May 13, 2015, available at www.fitchratings.com.

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (March 31, 2015);

--'Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria' (June 23, 2014);

--'Representations, Warranties and Enforcement Mechanism in Global Structure Finance Transactions' (March 26, 2015).

Applicable Criteria and Related Research: Nelnet Student Loan Trust 2015-3 (US ABS)

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865958

Global Structured Finance Rating Criteria

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

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

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

Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863817

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=984601

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
Victoria Ohorodnyk, +1-212-908-0866
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Charlene M. Davis, +1-212-908-0213
Director
or
Committee Chairperson
Tracy Wan, +1-212-908-9171
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
[email protected]

Source: Fitch Ratings

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