DBRS Morningstar Confirms Rating on Liquidity Agreement - NSCS (Shenandoah Funding Trust - GIFS) Transaction

DBRS, Inc. (DBRS Morningstar) confirmed its rating of AAA (sf) on the Liquidity Agreement - NSCS (Shenandoah Funding Trust - GIFS).

CREDIT RATING RATIONALE
The rating actions are based on the following analytical 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: June 2023 Update,” published on June 30, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

-- Transaction capital structure, current rating, and sufficient credit enhancement level.

-- Credit enhancement is in the form of overcollateralization, reserve account, and excess spread.

-- Collateral performance is within expectations. Forbearance, deferment, and delinquency levels remain stable.

-- No performance triggers or events are in effect.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance (ESG) factors that had a significant or relevant effect on the credit analysis.

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/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit ratings is DBRS Morningstar Master U.S. ABS Surveillance (July 20, 2023), https://www.dbrsmorningstar.com/research/417414.

Other methodologies referenced in this transaction are listed at the end of this press release.

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.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.commethodologies.

-- Operational Risk Assessment for U.S. ABS Servicers (July 20, 2023),
https://www.dbrsmorningstar.com/research/417415
-- Operational Risk Assessment for U.S. ABS Originators (July 20, 2023),
https://www.dbrsmorningstar.com/research/417416
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
https://www.dbrsmorningstar.com/research/415687
-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008
-- Rating U.S. Structured Finance Transactions (February 6, 2023),
https://www.dbrsmorningstar.com/research/409449
-- Rating U.S. Private Student Loan Securitizations (October 28, 2022)
https://www.dbrsmorningstar.com/research/404500

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