|[March 20, 2014]
Fitch Maintains Nelnet Student Loan Trust 2012-1 Sr. Notes on Negative Watch; Upgrades Subs
NEW YORK --(Business Wire)--
Fitch Ratings maintains the Rating Watch Negative on the 'AAAsf' senior
notes and upgrades the subordinate notes to 'AAsf' from 'A+sf' issued by
Nelnet Student Loan Trust 2012-1. The Rating Outlook remains Stable for
the subordinate notes.
KEY RATING DRIVERS
High Collateral Quality: The collateral consists of 100% Federal Family
Education Loan Program (FFELP) loans (including 10.4% of rehabilitated
loans as of February 2014). 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
Rating Watch Maintained: 'AAAsf' rated tranches of U.S. FFELP student
loan ABS (News - Alert) are maintained on Rating Watch Negative following the revision
of the U.S. sovereign rating on Oct. 15, 2013.
Sufficient Credit Enhancement (CE): CE is provided by
overcollateralization (OC; the excess of trust's asset balance over bond
balance), excess spread, and for the class A notes, subordination
provided by the class B notes. As of February 2014, senior and total
parity is at 104.32% and 101.40% respectively. The trust is currently
releasing cash at its cash release level of the greater of 1.38% OC and
Adequate Liquidity Support: Liquidity support is provided by a Debt
Service Reserve Fund currently sized at $686,727.
Acceptable Servicing Capabilities: National Education Loan Network, Inc.
is the Master Servicer, with Nelnet, Inc. acting as subservicer. Fitch
believes National Education Loan Network, Inc. and Nelnet, Inc. to be
acceptable servicers of FFELP student loans.
Initial Key Rating Drivers further described in the presale report
published on May 2, 2012.
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 CE driven by positive excess spread
given favorable basis factor conditions could lead to future upgrades.
Fitch has taken the following rating actions:
Nelnet Student Loan Trust 2012-1:
--Class A at 'AAAsf'; Rating Watch Negative maintained;
--Class B upgraded to 'AAsf' from 'A+sf'; Outlook Stable.
A comparison of the transaction's Representations, Warranties &
Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset
class is available by accessing the appendix that accompanies the
initial Presale Report. Please refer to 'Nelnet Student Loan Trust
2012-1 - Appendix', published on May 2, 2012 at www.fitchratings.com.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 24, 2013);
--'Rating U.S. Federal Family Education Loan Program Student Loan ABS
Criteria' (May 17, 2013);
--'Nelnet Student Loan Trust 2012-1 (US ABS)' (May 2, 2012);
--'Nelnet Student Loan Trust 2012-1 - Appendix' (May 2, 2012);
--'Representations, Warranties, and Enforcement Mechanisms in Global
Structured Finance Transactions' (April 17, 2012).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Rating U.S. Federal Family Education Loan Program Student Loan ABS
Criteria -- Amended
Nelnet Student Loan Trust 2012-1 (US ABS)
Nelnet Student Loan Trust 2012-1 - Appendix
Representations, Warranties, and Enforcement Mechanisms in Global
Structured Finance Transactions -- Amended
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THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS.
AVAILABLE ON (News - Alert) THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'.
PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS
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OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES
AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF
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CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH
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