DBRS Morningstar Confirms Ratings on Certain Nelnet Student Loan Trust Transactions

DBRS, Inc. (DBRS Morningstar) confirmed its ratings on all classes of rated notes (the Notes) issued by Nelnet Student Loan Trust 2021-A (Nelnet 2021-A), Nelnet Student Loan Trust 2021-B (Nelnet 2021-B), and Nelnet Student Loan Trust 2021-C (Nelnet 2021-C).

The rating confirmations are based on a review by DBRS Morningstar of the following considerations:

-- A discrepancy in the payment status of certain of the Nelnet 2021-A, Nelnet 2021-B, and Nelnet 2021-C student loans resulted in such student loans not being properly identified as being in forbearance. As a result, the amount of student loans identified as being in forbearance for each of the above referenced transactions was underreported. DBRS Morningstar has determined that the discrepancy is not material and will not result in a revision to the transaction’s stressed cash flow assumptions.

-- The transaction assumptions for each of the above referenced transactions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns, published on September 8, 2021. These baseline macroeconomic scenarios replaced DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios appear to incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to coronavirus may nonetheless bring other risks to the forefront in coming months and years.

-- Transaction capital structure and credit enhancement levels are sufficient for the current ratings.

-- Credit enhancement is in the form of overcollateralization, reserve accounts, and excess spread, with senior notes benefiting from the subordination of junior notes. Credit enhancement levels are sufficient to support the DBRS Morningstar-expected default and loss severity assumptions under various stress scenarios.

-- Collateral performance is within expectations and cumulative net losses remain low.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found at in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 26, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277