DBRS Morningstar Assigns Provisional Ratings to Nelnet Student Loan Trust 2021-D

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of notes (the Notes) to be issued by Nelnet Student Loan Trust 2021-D (Nelnet 2021-D):

-- $534,330,000 Floating Rate Class A-FL Notes rated AAA (sf)
-- $534,330,000 Fixed Rate Class A-FX Notes rated AAA (sf)
-- $186,410,000 Fixed Rate Class B Notes rated AA (sf)
-- $74,700,000 Fixed Rate Class C Notes rated A (sf)
-- $34,990,000 Fixed Rate Class D Notes rated BBB (sf)

The provisional ratings on the Notes are based on a review by DBRS Morningstar of the following considerations:
-- The transaction assumptions 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 replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although COVID-19 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 COVID-19 may nonetheless bring other risks to the forefront in coming months and years.

-- The transaction’s form and sufficiency of available credit enhancement.
-- Overcollateralization, note subordination, reserve account amounts, and excess spread create credit enhancement levels that are commensurate with the proposed ratings.
-- Transaction cash flows are sufficient to repay investors under all AAA (sf), AA (sf), A (sf), and BBB (sf) stress scenarios in accordance with the terms of the Nelnet 2021-D transaction documents.
-- The quality and credit characteristics of the student loans borrowers.
-- The sequential pay structure.
-- Structural features of the transaction that require the Notes to enter into full turbo principal amortization if certain minimum parity levels are not maintained.
-- The ability of the Servicer to perform collections on the collateral pool and other required activities.
-- DBRS Morningstar has performed an operational review of Nelnet Servicing, LLC (doing business as Firstmark Services) and considers the entity to be an acceptable servicer of private student loans.
-- The legal structure and expected legal opinions that will address the true sale of the student loans, the nonconsolidation of the trust, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's “Legal Criteria for U.S. Structured Finance.”

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:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Private Student Loan Securitizations (November 5, 2020), 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 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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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