KEY RATING DRIVERS
High Collateral Quality: The trust collateral consists of 100% Federal Family Education Loan Program (FFELP) loans including 64.2% rehabilitated (rehab) loans. In Fitch's opinion, the credit quality of the trust collateral is high, based on the guarantees provided by the transaction's eligible guarantors and at least 97% reinsurance of principal and accrued interest provided by the
Sufficient Credit Enhancement: Cash flow scenarios for class A and B notes were satisfactory under Fitch's respective stresses. Total credit enhancement (CE) is provided by overcollateralization (OC) and excess spread, and for the class A notes, 1.45% subordination is provided by the class B notes. At closing, total and senior parity are expected to be 101.79% and 103.29%, respectively. A target OC amount equal to the greater of 2.27% of the adjusted pool balance and
Adequate Liquidity Support: Liquidity support is provided by an approximate
Acceptable Servicing Capabilities: Nelnet, Inc. will service approximately 36.28% of the NSLT 2014-6 portfolio.
Since FFELP student loan ABS 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 published stresses could result in future downgrades. Likewise, a buildup of CE 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 2014-6', dated
Additional information is available at 'www.fitchratings.com'.
--'Global Structured Finance Rating Criteria' (
--'Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria' (
--'Representations, Warranties and Enforcement Mechanism in Global Structure Finance Transactions' (
Global Structured Finance Rating Criteria
Rating U.S. Federal Family Education Loan Program Student Loan ABS Criteria
Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions
Source: Fitch Ratings
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