Fitch Ratings has affirmed the ratings on outstanding classes of Nelnet Education Loan Funding Trust 2004-1 (NELF 2004-1) along with Nelnet Student Loan Trusts 2013-1, 2013-3 and 2013-5.

RATING ACTIONS

Entity / Debt

Rating

Prior

Nelnet Student Loan Trust 2013-3

A 64033DAA6

LT

AAAsf

Affirmed

AAAsf

B 64033DAB4

LT

AAsf

Affirmed

AAsf

Nelnet Student Loan Trust 2013-1

A 64033CAA8

LT

AAAsf

Affirmed

AAAsf

B 64033CAB6

LT

AAsf

Affirmed

AAsf

Nelnet Student Loan Trust 2013-5

A 64033GAA9

LT

AAAsf

Affirmed

AAAsf

B 64033GAB7

LT

Asf

Affirmed

Asf

NELF, Inc. - January 2004 Indenture of Trust (NE) 2004-1

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VIEW ADDITIONAL RATING DETAILS

NELF 2004-1: The class A-2 notes are affirmed at 'Bsf' despite not passing Fitch's base case cash flow stresses and in-line with Fitch's (Federal Family Education Loan Program) FFELP criteria. The affirmation is based on historical performance with higher prepayments from increased consolidation activity during the last twelve months, structural considerations (i.e. transaction can be called at 10% pool factor), and potential for sponsor support at maturity. The legal final maturity date of the notes is over seven years away, and the notes have stable credit enhancement with no material changes to the credit or maturity profile since the last review. The Rating Outlook remains Stable.

Nelnet 2013-1, 2013-3, and 2013-5: The class A and B notes pass the credit and maturity stresses in cash flow modeling for their respective ratings with sufficient hard credit enhancement (CE). The class A notes are affirmed at 'AAAsf'. The class B notes are affirmed at 'AAsf' for Nelnet 2013-1 and 2013-3 and 'Asf' for Nelnet 2013-5.

The sustainable constant default rate (sCDR) assumption was increased to 3.75% and 5.3%, for Nelnet 2013-1 and Nelnet 13-3, respectively, because the trend of defaults has increased, while Nelnet 2013-5 was decreased to 9.0% also reflective of recent performance trends. Overall, the performance of all transactions has been in line with Fitch's expectations since the last annual review. The Outlooks on all the notes remain Stable.

KEY RATING DRIVERS

U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (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'/Stable.

Collateral Performance

Nelnet 2013-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 20.25% under the base case scenario and a default rate of 60.75% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate.

Fitch is revising the sCDR upwards to 3.75% from 3.50% and maintaining the sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 11.50% in cash flow modelling. 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 2.00% in the 'AAA' case.

The TTM levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 4.87% (5.71% at Jan. 31, 2022), 7.38% (8.91%) and 27.91% (25.83%). These assumptions are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased from one year ago and are currently 4.45% for 31 DPD and 1.15% for 91 DPD compared to 2.62% and 1.06% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.19%, based on information provided by the sponsor.

Nelnet 2013-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 24.00% under the base case scenario and a default rate of 60.52% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR upwards to 5.30% from 5.00% and maintaining the sCPR of 12.00% in cash flow modelling. 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 2.00% in the 'AAA' case.

The TTM levels of deferment, forbearance and IBR are 5.80% (5.90% at Jan. 31, 2022), 8.20% (10.17%) and 30.34% (28.21%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD and the 91-120 DPD have increased from one year ago and are currently 3.60% for 31 DPD and 1.95% for 91 DPD compared to 3.54% and 1.80% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.09%, based on information provided by the sponsor.

Nelnet 2013-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 47.25% under the base case scenario and a default rate of 94.48% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is revising the sCDR downwards to 9.00% from 9.40% and maintaining the sCPR of 12.00% in cash flow modelling. 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 2.00% in the 'AAA' case.

The TTM levels of deferment, forbearance and IBR are 6.92% (6.79% at Jan. 31, 2022), 11.34% (12.44%) and 18.73% (17.40%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have increased slightly and the 91-120 DPD have decreased slightly from one year ago and are currently 5.76% for 31 DPD and 3.19% for 91 DPD compared to 5.74% and 3.21% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.00%, based on information provided by the sponsor.

NELF 2004-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 11.00% under the base case scenario and a default rate of 33.00% under the 'AAA' credit stress scenario. After applying the default timing curve per criteria, the effective default rate is unchanged from the cumulative default rate. Fitch is maintaining the sCDR of 2.20% and the sCPR of 9.00% in cash flow modelling. 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 2.00% in the 'AAA' case.

The TTM levels of deferment, forbearance and IBR are 3.62% (3.80% at Jan. 31, 2022), 4.74% (5.20%) and 16.69% (15.24%). These assumptions and are used as the starting point in cash flow modelling, and subsequent declines or increases are modelled as per criteria. The 31-60 DPD have decreased slightly and the 91-120 DPD have increased slightly from one year ago and are currently 1.76% for 31 DPD and 0.84% for 91 DPD compared to 2.05% and 0.65% at Jan. 31, 2022 for 31 DPD and 91 DPD, respectively. The borrower benefit is approximately 0.18%, 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 most current reporting period, for Nelnet 2013-1, 2013-3, 2013-5, and NELF 2004-1, 97.52%, 97.57%, 87.57%, and 99.99% of the trust student loans are indexed to one-month LIBOR (with remainder indexed to 91-day T-bills), respectively. Nelnet 2013-1, 2013-3, 2013-5, and NELF 2004-1 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 2013-1: CE is provided by overcollateralization (OC), excess spread, and for the class A notes, subordination provided by the class B notes. As of the December 2022 collection period, Fitch's total and senior parity (including the reserve) are 101.91% (1.87% CE) and 113.23% (11.68% CE), respectively. Liquidity support is provided by a reserve account sized at the greater of 0.50% of the bond balance and $437,500.00, currently sized at $488,860.91. The transaction will continue to release cash as long as the target OC of 2.00% or $2,000,000 is maintained.

Nelnet 2013-3: CE is provided by OC, excess spread and, for the class A notes, subordination provided by the class B notes. As of the December 2022 collection period, Fitch's total and senior parity (including the reserve) are 101.00% (0.99% CE) and 114.93% (12.99% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the bond balance and $765,000.00 currently sized at the floor. The transaction will continue to release cash as long as the target OC of 1.00% (with a floor of $2,000,000) is maintained.

Nelnet 2013-5: CE is provided by OC, excess spread, and for the class A notes, subordination provided by the class B notes. As of the December 2022 collection period, Fitch's total and senior parity (including the reserve) are 102.03% (1.99% CE) and 113.58% (11.95% CE). Liquidity support is provided by a reserve account sized at the greater of 0.25% of the bond balance and $408,000.00, currently sized at the floor. The transaction will continue to release cash as long as the target OC of 1.50% or $2,000,000 is maintained.

NELF 2004-1: CE is provided by excess spread and OC. As of the October 2022 collection period, Fitch's senior parity ratio (including the reserve) is 104.01% (3.86% CE). Liquidity support is provided by a reserve account sized at its floor of $1,515,000.00. The transaction will continue to release cash as long as the 101.00% total parity ratio is maintained.

Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an adequate servicer, due to its extensive track record as one of the largest servicers of FFELP loans.

RATING SENSITIVITIES

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

'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions.

This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread.

The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance.

Nelnet Student Loan Trust 2013-1

Current Ratings: class A 'AAAsf'; class B 'AAsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress)

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 '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'.

Nelnet Student Loan Trust 2013-3

Current Ratings: class A 'AAAsf'; class B 'AAsf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'AAsf' (Credit Stress)

Credit Stress Rating Sensitivity

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

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

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 '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'.

Nelnet Student Loan Trust 2013-5

Current Ratings: class A 'AAAsf'; class B 'Asf'

Current Model-Implied Ratings: class A 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Maturity Stress) / 'Asf' (Credit Stress)

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 '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 'Asf'; class B 'Asf'.

NELF, Inc. - January 2004 Indenture of Trust (NE) 2004-1

Current Ratings: class A-2 'Bsf'

Current Model-Implied Ratings: class A-2 'CCCsf' (Credit and Maturity Stress)

The current ratings reflect the risk the senior notes miss their legal final maturity date under Fitch's base case maturity scenario. If the margin by which these classes miss their legal final maturity date increases, or does not improve as the maturity date nears, the ratings may be downgraded further. Additional defaults, increased basis spreads beyond Fitch's published stresses, lower-than-expected payment speed or loan term extension are factors that could lead to future rating downgrades.

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

Nelnet Student Loan Trust 2013-1

No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings.

Credit Stress Sensitivity

Default decrease 25%: class B 'AAAsf';

Basis Spread decrease 0.25%: class B 'AAAsf'.

Maturity Stress Sensitivity

CPR increase 25%: class B 'AAAsf';

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

Remaining Term decrease 25%: class B 'AAAsf'.

Nelnet Student Loan Trust 2013-3

No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings.

Credit Stress Sensitivity

Default decrease 25%: class B 'AAAsf';

Basis Spread decrease 0.25%: class B 'AAAsf'.

Maturity Stress Sensitivity

CPR increase 25%: class B 'AAAsf';

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

Remaining Term decrease 25%: class B 'AAAsf'.

Nelnet Student Loan Trust 2013-5

No upgrade credit or maturity stress sensitivity is provided for the class A notes, as they are at their highest possible current and model implied ratings.

Credit Stress Sensitivity

Default decrease 25%: class B 'AAAsf';

Basis Spread decrease 0.25%: class B 'AAsf'.

Maturity Stress Sensitivity

CPR increase 25%: class B 'AAAsf';

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

Remaining Term decrease 25%: class B 'AAAsf'.

NELF, Inc. - January 2004 Indenture of Trust (NE) 2004-1

The current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of credit enhancement from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead positive rating action.

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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