Fitch Ratings has affirmed the class A and B notes of Nelnet Student Loan Trust (Nelnet) 2012-4, 2012-5, and 2012-6.

RATING ACTIONS

Entity / Debt

Rating

Prior

Nelnet Student Loan Trust 2012-6

A 64032YAA1

LT

AAAsf

Affirmed

AAAsf

B 64032YAB9

LT

AAsf

Affirmed

AAsf

Nelnet Student Loan Trust 2012-4

A 64033AAA2

LT

AAAsf

Affirmed

AAAsf

B 64033AAB0

LT

AAsf

Affirmed

AAsf

Nelnet Student Loan Trust 2012-5

A 64033BAA0

LT

AAAsf

Affirmed

AAAsf

B 64033BAB8

LT

AAsf

Affirmed

AAsf

Page

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VIEW ADDITIONAL RATING DETAILS

Transaction Summary

Nelnet 2012-4 and Nelnet 2012-5: The affirmations of the ratings reflect stable collateral performance, in line with Fitch's expectations, and Fitch cashflow model results passing all credit and maturity stresses at the notes' corresponding rating levels.

Nelnet 2012-6: The affirmations of the ratings reflect stable collateral performance, in line with Fitch's expectations. The class A notes pass all credit and maturity stresses at the notes' corresponding rating levels. The Negative Rating Outlook on the class B notes reflects the failure of the 'AAsf' credit stress; however, the model implied rating is within one rating category of the current rating, as permitted by Fitch's Federal Family Education Loan Program (FFELP) rating criteria.

The Negative Rating Outlooks assigned to all 'AAAsf'-rated bonds reflect Fitch's Negative Rating Outlook on the U.S. sovereign's 'AAA' Issuer Default Rating (IDR).

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises 100% 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 Negative.

Collateral Performance:

Nelnet 2012-4: Fitch assumes a base case default rate of 21.75% and a default rate of 52.43% under the 'AAAsf' credit stress scenario and a sustainable constant default rate (sCDR) of 4.50%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case. The TTM levels of deferment, forbearance and income-based repayment are 7.2%, 9.5%, and 25.46%, respectively, and are used as the starting point in cash flow modelling. The sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) is assumed to be 11.0%. Subsequent declines or increases in the above assumptions are modelled as per criteria. The borrower benefit is assumed to be approximately 0.09%, based on information provided by the sponsor.

Nelnet 2012-5: Fitch assumes a base case default rate of 16.25% and a default rate of 39.72% under the 'AAAsf' credit stress scenario and a sCDR of 3.00%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case. The TTM levels of deferment, forbearance and income-based repayment are 4.4%, 9.9%, and 22.4%, respectively, and are used as the starting point in cash flow modelling. The sCPR; is assumed to be 11.0%. Subsequent declines or increases in the above assumptions are modelled as per criteria. The borrower benefit is assumed to be approximately 0.17%, based on information provided by the sponsor.

Nelnet 2012-6: Fitch assumes a base case default rate of 28.75% and a default rate of 75.55% under the 'AAAsf' credit stress scenario and a sCDR of 5.50%. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case. The trailing TTM levels of deferment, forbearance and income-based repayment are 5.3%, 9.6%, and 21.0%, respectively, and are used as the starting point in cash flow modelling. The sustainable sCPR is assumed to be 12.00%. Subsequent declines or increases in the above assumptions are modelled as per criteria. The borrower benefit is assumed to be approximately 0.12%, based on information provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the current reporting, for 2012-4, 2012-5, and 2012-6, respectively, 95.9%, 95.6 and 93.3%, of the trust student loans are indexed to one-month LIBOR (with remainder indexed to 91 day T-bills). All notes pay one-month LIBOR plus a spread. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria.

Payment Structure:

Nelnet 2012-4: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and, for the class A notes, subordination. As of the January 2022 collection period, total and senior effective parity ratios (which includes the reserve account) are, respectively, 101.21% (1.20% CE) and 108.87% (8.15% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the bond balance, and $937,500, currently equal to $937,500. The transaction will continue to release cash as long as the target OC of $2,000,000 or 1.2% is maintained.

Nelnet 2012-5: CE is provided by OC, excess spread and, for the class A notes, subordination. As of the January 2022 collection period, total and senior effective parity ratios (which includes the reserve account) are, respectively, 101.01% (1.00% CE) and 110.03% (9.12% CE). Liquidity support is provided by a reserve account sized at the greater of 0.60% of the bond balance, and $1,174,000, currently equal to $1,901,419. The transaction will continue to release cash as long as the target OC of $2,000,000 or 1% is maintained.

Nelnet 2012-6: CE is provided by OC, excess spread, and for the class A notes, subordination. As of the January 2022 collection period, total and senior parity (including the reserve) are, respectively, 101.01% (1.00% CE) and 111.77% (10.53% CE). Liquidity support is provided by a reserve account sized at the greater of 0.65% of the bond balance and $1,012,000, currently sized at $1,821,461.07. The transaction will continue to release cash as long as the target OC of 1.00% or $2,000,000 is maintained.

Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. Fitch also confirmed with the servicer the availability of a business continuity plan to minimize disruptions in the collection process during the coronavirus pandemic.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Nelnet Student Loan Trust 2012-4

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 'AAAsf';

IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';

IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf';

Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf';

Remaining term increase 50%: class A 'AAAsf'; class B 'AAAsf'.

Nelnet Student Loan Trust 2012-5

Credit Stress Rating Sensitivity

Default increase 25%: class A 'AAAsf'; class B 'AAAsf';

Default increase 50%: class A 'AAAsf'; class B 'AAsf';

Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAsf';

Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBBsf'.

Maturity Stress Rating Sensitivity

CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';

CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';

IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';

IBR usage increase 50%: class A 'AAAsf'; class B 'AAAsf';

Remaining term increase 25%: class A 'Asf'; class B 'AAAsf';

Remaining term increase 50%: class A 'Bsf'; class B 'AAAsf'.

Nelnet Student Loan Trust 2012-6

Credit Stress Rating Sensitivity

Default increase 25%: class A 'AAAsf'; class B 'BBBsf';

Default increase 50%: class A 'AAAsf'; class B 'BBBsf';

Basis spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf';

Basis spread increase 0.50%: class A 'AAsf'; class B 'CCCsf'.

Maturity Stress Rating Sensitivity

CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf';

CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf';

IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf';

IBR usage increase 50%: class A 'AAAsf'; class B 'AAAsf';

Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf';

Remaining term increase 50%: class A 'AAAsf'; class B 'AAAsf'.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Nelnet Student Loan Trust 2012-4

Credit Stress Sensitivity

Default decrease 25%: class A 'AAAsf'; class B 'AAAsf';

Basis spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf'.

Maturity Stress Sensitivity

CPR increase 25%: class A 'AAAsf';' class B 'AAAsf';

IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';

Remaining term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.

Nelnet Student Loan Trust 2012-5

Credit Stress Sensitivity

Default decrease 25%: class A 'AAAsf'; class B 'AAAsf';

Basis spread decrease 0.25%: class A 'AAAsf'; class B 'AAAsf'.

Maturity Stress Sensitivity

CPR increase 25%: class A 'AAAsf';' class B 'AAAsf';

IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';

Remaining term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.

Nelnet Student Loan Trust 2012-6

Credit Stress Sensitivity

Default decrease 25%: class A 'AAAsf'; class B 'AAsf';

Basis spread decrease 0.25%: class A 'AAAsf'; class B 'Asf'.

Maturity Stress Sensitivity

CPR increase 25%: class A 'AAAsf';' class B 'AAAsf';

IBR usage decrease 25%: class A 'AAAsf'; class B 'AAAsf';

Remaining term decrease 25%: class A 'AAAsf'; class B 'AAAsf'.

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

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