Fitch Ratings has affirmed the A and B classes on five Nelnet Student Loan Trust transactions, and upgraded the class B notes on the Nelnet 2004-4 deal, citing strong collateral performance, plus high and increasing total parity available to the bonds that can with stand Fitch’s ‘AAA’ credit stresses.
The affirmed classes are on the 2004-3, 2005-2, 2005-3, 2005-4, and 2006-1.
For the 2004-3 rating action, Fitch assumed a cumulative default rate of 16.5% under the base case scenario, and 48.75% under the ‘AAA’ credit stress scenario. For the 2004-4 rating action, Fitch assumed a cumulative default rate of 22.2% under the base case scenario and 66.7% under the ‘AAA’ credit stress scenario.
Under the 2005-2 deal, Fitch assumed a cumulative default rate of 16.7% under the base case scenario and 50.2% under the ‘AAA’ credit stress scenario. On the Nelnet 2005-3, Fitch assumed a cumulative default rate of 17.2% under the base case scenario and 51.7% under the ‘AAA’ credit stress scenario.
On the 2005-4 Fitch assumed a cumulative default rate of 15%, under the base case scenario and 45% under the ‘AAA’ credit stress scenario; and on the 2006-1 transaction Fitch assumed a cumulative default rate of 13.2% under the base case scenario and 39.7% under the ‘AAA’ credit stress scenario.
Fitch noted another key rating driver in the update, namely U.S. Sovereign Risk, because the collateral comprises loans with guarantees provided by the Federal Family Education Loan Program, and the rating agency currently has a U.S. sovereignty rating of ‘AAA’ with a negative outlook.
