DBRS Morningstar Confirms Rating on Mountcliff Funding LLC

DBRS, Inc. (DBRS Morningstar) confirmed its rating on the 4(2) Commercial Paper issued by Mountcliff Funding LLC (Mountcliff) at R-1 (low) (sf). Mountcliff, a fully supported multi-seller conduit, is sponsored by 20 Gates Management LLC, which also serves as the Administrator and Sponsor. Global Securitization Services, LLC serves as the Manager and Sub-Administrator. Deutsche Bank Trust Company Americas continues to act as the Master Collateral Trustee on behalf of Mountcliff.

The rating confirmation reflects the following key analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar’s rating analysis.

-- Given the nature of the credit support within this asset-backed commercial paper (ABCP) conduit, the coronavirus pandemic has limited impact. DBRS Morningstar does not believe that additional stresses are warranted in the analysis at this time.

-- The bankruptcy remote structure of Mountcliff.

-- The support providers that provide full credit liquidity instruments on Mountcliff.

-- The counterparty ratings of the support providers are at least as high as the rated ABCP issued.

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 methodology is Rating and Monitoring Asset-Backed Commercial Paper: U.S. ABCP Conduits (January 21, 2021), 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 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.

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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