Fitch Ratings has affirmed the ratings on Nelnet Student Loan Trusts (Nelnet) 2012-3, 2015-1, 2015-2, 2015-3, 2016-1, 2017-1, and 2018-2.
Fitch has also revised the Rating Outlook to Stable from Negative on the Nelnet 2012-3 class B notes.
RATING ACTIONS
Entity / Debt
Rating
Prior
Nelnet Student Loan Trust 2016-1
A 64033UAA8
LT
AAAsf
Affirmed
AAAsf
Nelnet Student Loan Trust 2012-3
A 64032XAA3
LT
AAAsf
Affirmed
AAAsf
B 64032XAB1
LT
AAsf
Affirmed
AAsf
Nelnet Student Loan Trust 2018-2
A 64034LAA7
LT
AAAsf
Affirmed
AAAsf
Nelnet Student Loan Trust 2015-3
A-2 64033TAC7
LT
AAAsf
Affirmed
AAAsf
A-3 64033TAD5
LT
AAAsf
Affirmed
AAAsf
Page
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VIEW ADDITIONAL RATING DETAILS
The affirmations of Nelnet 2012-3, 2015-1, 2015-2, 2015-3, 2016-1, 2017-1, and 2018-2 reflect the stable collateral performance for the transactions, in line with Fitch's expectations since last review. The class A and B notes pass the credit and maturity stresses at the notes' corresponding rating levels with low maturity risk and sufficient hard credit enhancement (CE). The revision of the Outlook to Stable from Negative for the class B of Nelnet 2012-3 reflects the improved credit profile of the notes.
KEY RATING DRIVERS
U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) 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. The U.S. sovereign rating is currently 'AAA'/Outlook Stable.
Collateral Performance: Nelnet 2012-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 25.75% under the base case scenario and a 69.94% default rate under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining a sustainable constant default rate (sCDR) of 5.00% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary) of 12.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are currently 5.62% (6.2% at Dec. 31, 2021), 6.09% (15.0%), and 28.98% (27.5%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 days past due (DPD) and the 91-120 DPD are slightly lower than one year ago and are currently 3.54% for 31 DPD and 1.48% for 91 DPD compared to 6.85% and 1.69% at Dec. 31, 2021 for 31 DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.13%, based on information provided by the sponsor.
Nelnet 2015-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 21.75% under the base case scenario and a 55.18% default rate under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining a sCDR of 4.00% and its sCPR of 9.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR are currently 4.52% (4.8% at Dec. 31, 2021), 5.86% (12.5%), and 19.90% (18.3%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly lower and the 91-120 DPD are slightly higher than one year ago and are currently 3.48% for 31 DPD and 1.42% for 91 DPD compared to 4.87% and 1.16% at Dec. 31, 2021 for 31 DPD and 91 DPD, respectively. The borrower benefit is assumed to be approximately 0.12%, based on information provided by the sponsor.
Nelnet 2015-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 33.00% under the base case scenario and a 85.16% default rate under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining a sCDR of 6.00% and its sCPR of 15.50%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR are currently 6.33% (7.3% at Dec. 31, 2021), 12.47% (16.7%), and 32.97% (31.8%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly lower and the 91-120 DPD are slightly higher than one year ago and are currently 4.04% for 31 DPD and 1.72% for 91 DPD compared to 5.22% and 1.47% at Dec. 31, 2021 for 31 DPD and 91 DPD, respectively. The borrower benefit is assumed to be approximately 0.06%, based on information provided by the sponsor.
Nelnet 2015-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 36.50% under the base case scenario and a 100.00% default rate under the 'AAA' credit stress scenario with an effective default rate of 95.08% after applying the default timing curve, as per criteria. Fitch is maintaining a sCDR of 6.50% and its sCPR of 12.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR are currently 5.72% (6.4% at Dec. 31, 2021), 7.67% (14.8%), and 24.06% (22.9%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD and the 91-120 DPD are slightly lower than one year ago and are currently 3.45% for 31 DPD and 1.78% for 91 DPD compared to 6.91% and 1.90% at Dec. 31, 2021 for 31 DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.12%, based on information provided by the sponsor.
Nelnet 2016-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 23.25% under the base case scenario and a 56.03% default rate under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining a sCDR of 6.50% and its sCPR of 10.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR are currently 7.24% (7.7% at Dec. 31, 2021), 8.89% (15.7%), and 30.78% (30.0%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are lower and the 91-120 DPD are slightly higher than one year ago and are currently 3.99% for 31 DPD and 1.89% for 91 DPD compared to 8.40% and 1.78% at Dec. 31, 2021 for 31 DPD and 91 DPD, respectively. The borrower benefit is assumed to be approximately 0.04%, based on information provided by the sponsor.
Nelnet 2017-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 29.25% under the base case scenario and a 83.02% default rate under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising its sCDR upward to 4.50% from 4.00% and maintaining its sCPR of 10.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR are currently 4.64% (4.9% at Dec. 31, 2021), 12.25% (16.8%), and 30.23% (26.2%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly lower and the 91-120 DPD are slightly higher than one year ago and are currently 2.84% for 31 DPD and 1.47% for 91 DPD compared to 4.24% and 1.36% at Dec. 31, 2021 for 31 DPD and 91 DPD, respectively. The borrower benefit is assumed to be approximately 0.24%, based on information provided by the sponsor.
Nelnet 2018-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 24.50% under the base case scenario and a 64.99% default rate under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining its sCDR of 5.00% and maintaining its sCPR of 10.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and IBR are currently 5.39% (5.7% at Dec. 31, 2021), 6.41% (12.6%), and 21.95% (20.8%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD and the 91-120 DPD are slightly lower than one year ago and are currently 3.01% for 31 DPD and 1.18% for 91 DPD compared to 5.91% and 1.59% at Dec. 31, 2021 for 31 DPD and 91 DPD, respectively. The borrower benefit is assumed to be approximately 0.08%, based on information provided by the sponsor.
Basis and Interest Rate Risk: Nelnet 2012-3: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of October 2022, 95.26% of the principal balance is indexed to one-month LIBOR with 4.74% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Nelnet 2015-1: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of October 2022, 98.01% of the principal balance is indexed to one-month LIBOR with 1.99% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Nelnet 2015-2: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of October 2022, 99.19% of the principal balance is indexed to one-month LIBOR with 0.81% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Nelnet 2015-3: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of October 2022, 96.75% of the principal balance is indexed to one-month LIBOR with 3.25% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Nelnet 2016-1: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of October 2022, 92.72% of the principal balance is indexed to one-month LIBOR with 7.28% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Nelnet 2017-1: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of October 2022, 99.43% of the principal balance is indexed to one-month LIBOR with 0.57% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Nelnet 2018-2: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of October 2022, 98.65% of the principal balance is indexed to one-month LIBOR with 1.35% indexed to 91 Day T-Bills. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.
Payment Structure: Nelnet 2012-3: CE is provided by overcollateralization (OC), excess spread and, for the class A notes, subordination provided by the class B notes. As of October 2022, total and senior parity ratios (including the reserve) are 102.14% (2.09% CE) and 114.37% (12.56% CE), respectively. Liquidity support is provided by a reserve, which is currently at its floor of $424,300.00. The transaction will continue to release cash as long as the target OC of $2,000,000 or 1.00% is maintained.
Nelnet 2015-1: CE is provided by OC excess spread and, for the class A notes, subordination provided by the class B notes. As of October 2022, total and senior parity ratios (including the reserve) are 101.27% (1.25% CE) and 109.07% (8.32% CE), respectively. Liquidity support is provided by a reserve, which is currently at its floor of $566,346.00. The transaction will continue to release cash as long as the target OC of 1.25% or $2,000,000 is maintained.
Nelnet 2015-2: CE is provided by OC, excess spread and, for the class A notes, subordination provided by the class B notes. As of October 2022, total and senior effective parity ratios (including the reserve) are 102.56% (2.50% CE) and 110.88% (9.81% CE), respectively. Liquidity support is provided by a reserve, which is currently at its floor of $722,000.00. The transaction will continue to release cash as long as the target OC of $2,000,000 or 2.50% is maintained.
Nelnet 2015-3: CE is provided by OC, excess spread, and for the class A notes, subordination provided by the class B notes. As of October 2022, total and senior parity ratios (including the reserve) are 102.25% (2.20% CE) and 108.48% (7.81% CE) respectively. Liquidity support is provided by a reserve, which is currently at its floor of $401,400.00. The transaction will continue to release cash as long as the target OC of 2.20% or $2,000,000 is maintained.
Nelnet 2016-1: CE is provided by OC, excess spread. As of October 2022, the effective parity ratio (including the reserve) is 108.12% (7.51% CE). Liquidity support is provided by a reserve, which is currently at its floor of $426,000.00. The transaction began turbo amortization in October 2021, no longer releasing cash.
Nelnet 2017-1: CE is provided by overcollateralization and excess spread. As of October 2022, the effective parity ratio (including the reserve) is 108.82% (8.10% CE). Liquidity support is provided by a reserve, which is currently sized at $1,217,604.39. The transaction will continue to release cash as long as the target OC amount of $20,820,820 is maintained.
Nelnet 2018-2: CE is provided by OC, and excess spread. As of October 2022, total effective parity ratios (including the reserve) is 104.44% (4.25% CE). Liquidity support is provided by a reserve, which is currently sized at $1,226,939.76. The transaction will release cash as long as OC is maintained at the greater of 4.25% of the Adjusted Pool Balance for that monthly distribution date or $10,000,000. After June 2025, any excess cash will be used to pay down the note.
Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans.
RATING SENSITIVITIES
Factors that could, individually or collectively, lead to negative rating action/downgrade:
'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. 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. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.
Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased highlighted in the special report, 'What a Stagflation Scenario Would Mean for Global Structured Finance', an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario. Fitch expects the FFELP student loan ABS sector, under this scenario, to experience mild to modest asset performance deterioration, indicating some Outlook changes (between 5% and 20% of outstanding ratings).
Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption is uncertain, but is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide support in the near term to households faced with falling real incomes.
Nelnet Student Loan Trust 2012-3
Current Ratings: class A 'AAAsf'; class B 'AAsf'.
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'Asf';
Default increase 50%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';
Remaining term increase 25%: class A 'AAAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'AAAsf'; class B 'AAsf'.
Nelnet Student Loan Trust 2015-1
Current Ratings: class A 'AAAsf'; class B 'AAsf'.
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'AAsf';
Default increase 50%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';
Remaining term increase 25%: class A 'AAAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'AAAsf'; class B 'AAsf'.
Nelnet Student Loan Trust 2015-2
Current Ratings: class A 'AAAsf'; class B 'AAsf'.
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'Asf';
Default increase 50%: class A 'AAAsf'; class B 'BBBsf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAsf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'Asf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';
Remaining term increase 25%: class A 'AAAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'AAAsf'; class B 'AAsf'.
Nelnet Student Loan Trust 2015-3
Current Ratings: class A-2 'AAAsf'; class A-3 'AAAsf'; class B 'AAsf'.
Current Model-Implied Ratings: class A-2 'AAAsf' (Credit and Maturity Stress); class A-3 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'Asf' (Credit Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf'; class B 'AAsf';
Default increase 50%: class A 'AAAsf'; class B 'AAsf';
Basis spread increase 0.25%: class A 'AAAsf'; class B 'Asf';
Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBBsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf'; class B 'AAsf';
CPR decrease 50%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf';
IBR usage increase 50%: class A 'AAAsf; class B 'AAsf';
Remaining term increase 25%: class A 'AAAsf'; class B 'AAsf';
Remaining term increase 50%: class A 'AAAsf'; class B 'AAsf'.
Nelnet Student Loan Trust 2016-1
Current Ratings: class A 'AAAsf';
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf';
Default increase 50%: class A 'AAAsf';
Basis spread increase 0.25%: class A 'AAAsf';
Basis spread increase 0.50%: class A 'AAAsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf';
CPR decrease 50%: class A 'AAAsf';
IBR usage increase 25%: class A 'AAAsf';
IBR usage increase 50%: class A 'AAAsf;
Remaining term increase 25%: class A 'AAAsf';
Remaining term increase 50%: class A 'AAAsf'.
Nelnet Student Loan Trust 2017-1
Current Ratings: class A 'AAAsf'.
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf';
Default increase 50%: class A 'AAAsf';
Basis spread increase 0.25%: class A 'AAAsf';
Basis spread increase 0.50%: class A 'AAAsf'.
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf';
CPR decrease 50%: class A 'AAAsf';
IBR usage increase 25%: class A 'AAAsf';
IBR usage increase 50%: class A 'AAAsf;
Remaining term increase 25%: class A 'AAAsf';
Remaining term increase 50%: class A 'AAAsf'.
Nelnet Student Loan Trust 2018-2
Current Ratings: class A 'AAAsf'.
Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress).
Credit Stress Rating Sensitivity
Default increase 25%: class A 'AAAsf';
Default increase 50%: class A 'AAAsf';
Basis spread increase 0.25%: class A 'AAAsf';
Basis spread increase 0.50%: class A 'AAAsf';
Maturity Stress Rating Sensitivity
CPR decrease 25%: class A 'AAAsf';
CPR decrease 50%: class A 'AAAsf';
IBR usage increase 25%: class A 'AAAsf';
IBR usage increase 50%: class A 'AAAsf;
Remaining term increase 25%: class A 'AAAsf';
Remaining term increase 50%: class A 'AAAsf'.
Factors that could, individually or collectively, lead to positive rating action/upgrade:
Nelnet Student Loan Trust 2012-3
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining term decrease 25%: class B 'AAAsf'.
Nelnet Student Loan Trust 2015-1
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining term decrease 25%: class B 'AAAsf'.
Nelnet Student Loan Trust 2015-2
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining term decrease 25%: class B 'AAAsf'.
Nelnet Student Loan Trust 2015-3
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model-implied ratings.
Credit Stress Sensitivity
Default decrease 25%: class B 'AAAsf';
Basis Spread decrease 0.25%: class B 'AAAsf'.
Maturity Stress Sensitivity
CPR increase 25%: class B 'AAAsf';
IBR usage decrease 25%: class B 'AAAsf';
Remaining term decrease 25%: class B 'AAAsf'.
Nelnet Student Loan Trust 2016-1
Nelnet Student Loan Trust 2017-1
Nelnet Student Loan Trust 2018-2
No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are already at their highest possible current and model-implied ratings.
Best/Worst Case Rating Scenario
International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.
USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING
The principal sources of information used in the analysis are described in the Applicable Criteria.
ESG Considerations
Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg
Additional information is available on www.fitchratings.com
NELNET, INC. 
