DBRS Morningstar Confirms Rating of Liquidity Agreement – CF III Within GIFS Capital Company, LLC

DBRS, Inc. (DBRS Morningstar) confirmed its AA (sf) rating on the Liquidity Instrument pursuant to the Liquidity Agreement – CF III within GIFS Capital Company, LLC. The rating assumes that the Liquidity Agreement has been invoked and, as such, the Liquidity Institution is the investor of the notes. The rating addresses the timely distribution of scheduled monthly interest payments and the ultimate distribution of principal in accordance with the transaction documents.

The sources of information DBRS Morningstar used for this rating include parties involved in the rating, including, but not limited to, Credit Suisse AG.

The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19) pandemic, available in its commentary “Global Macroeconomic Scenarios: January 2021 Update,” published on January 28, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on January 28, 2021, and are reflected in DBRS Morningstar’s rating analysis. The assumptions also take into consideration observed performance during the 2008–09 financial crisis and the possible impact of stimulus. The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found 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 methodologies are Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (January 21, 2021), U.S. ABS General Ratings Methodology (October 19, 2020), Rating U.S. Retail Auto Loan Securitizations (May 13, 2020), and Legal Criteria for U.S. Structured Finance (December 21, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905

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.

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

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