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TMCNet:  Fitch Rates Nelnet Student Loan Trust 2014-4

[May 23, 2014]

Fitch Rates Nelnet Student Loan Trust 2014-4

NEW YORK --(Business Wire)--

Fitch Ratings has assigned the following ratings to Nelnet Student Loan Trust 2014-4, student loan asset-backed notes:

--$267,500,000 class A-1 notes 'AAAsf'; Outlook Stable;

--$107,500,000 class A-2 notes 'AAAsf'; Outlook Stable;

--$9,500,000 class B notes 'A+sf'; Outlook Stable.

KEY RATING DRIVERS

High Collateral Quality: The trust collateral consists of 100% Federal Family Education Loan Program (FFELP) loans including 19.9% of rehabilitated (rehab) 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 at least 97% reinsurance of principal and accrued interest provided by the U.S. Department of Education (ED). Fitch affirmed and assigned a Outlook Stable to the U.S. Sovereign rating on March 24, 2014.

Sufficient Credit Enhancement: Cash flows scenarios for the class A and B notes were satisfactory under Fitch's stresses. At closing, total parity is expected to be 101.07% and senior parity is expected to be 103.63%. Total credit enhancement (CE) is provided by overcollateralization (OC), excess spread and, for the class A notes, 2.47% in subordination provided by the class B notes.

Adequate Liquidity Support: Liquidity support is initially provided by a $7,690,000 reserve account (2.00% of outstanding note balance), funded at closing with note proceeds. On or after the July 2015 distribution date, the specified reserve requirement is reduced to 1.25% of the outstanding note balance with a floor of $384,500.

Target (News - Alert) Overcollateralization Level: For the pass-through structure, excess spread must build to the greater of: 1.25% of the adjusted pool balance or $2 million before excess cash may be released from the trust.

Acceptable Servicing Capabilities: Nelnet, Inc. will be responsible for servicing approximately 59.4% of the NSLT 2014-4 portfolio; Pennsylvania Higher Education Assistance Agency (PHEAA; 33.3%) and Xerox-ES (7.3%) will service the remaining portfolio. In Fitch's opinion, all the servicers listed are acceptable servicers of FFELP student loans.

RATING SENSITIVITIES

Since FFELP student loan ABS (News - Alert) 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 pubished 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 'NSLT 2014-4', dated May 14, 2014, available at www.fitchratings.com.

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria' (May 17, 2013);

--'Representations, Warranties and Enforcement Mechanism in Global Structure Finance Transactions' (April 17, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

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

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708795

Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=676496

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=831526

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 (News - Alert) 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.


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