DBRS Confirms Rating on Credit Suisse AG Liquidity Instrument Pursuant to Liquidity Agreement - WST within GIFS Capital Company, LLC

DBRS, Inc. (DBRS) has today confirmed the rating of A (high) (sf) on the Liquidity Instrument, pursuant to the Liquidity Agreement supporting the WST transaction within GIFS Capital Company, LLC. The confirmation relates to the downgrade of the Hedge Provider to an investment-grade rating below the published first threshold of A (high) (sf) for derivative counterparties pursuant to DBRS’s “Legal Criteria for U.S. Structured Finance” methodology. DBRS believes that the confluence of overall factors, including the creditworthiness of the derivative counterparty, counterparty rating provisions in the transaction documents and the interest rate hedging structure set forth in the transaction documents are consistent with the assigned rating of A (high) (sf). The notes are secured by a revolving pool of timeshare loans originated and serviced by a captive finance company (the Company).

This rating reflects the full and timely repayment of the interest and principal in accordance with the transaction documentation. The rating assumes that the Liquidity Agreement has been invoked, and as such, the liquidity institution is the investor of the notes. The sources of information used for this rating include parties involved in the rating including, but not limited to, Credit Suisse AG.

The ratings are based on DBRS’s review of the following analytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. The transaction benefits from credit enhancement in the form of overcollateralization, the reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios.

-- The transaction parties’ capabilities with regard to resort management, originations, underwriting and servicing.

-- The ability of the transaction to withstand stressed cash flow assumptions and repay according to the terms under which the transaction parties have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and principal by the Maturity Date.

-- The quality of the collateral and the inclusion of concentration eligibility criteria for funding of the collateral under the Facility.

-- The availability of a sizable amount of historical performance information.

-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer; the non-consolidation of the special-purpose vehicle; that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS methodology “Legal Criteria for U.S. Structured Finance.”

Consistent with the “Rating U.S. Timeshare Loan Securitizations” methodology and as part of the operational risk review of an originator and servicer, DBRS typically performs an on-site visit or has a call with the originator and servicer. For the initial rating on this transaction, DBRS was asked to provide the rating by a liquidity provider, not the servicer or any affiliate. This resulted in limited access to the Company; consequently, a management meeting was conducted in lieu of an on-site review by DBRS. DBRS believes that any potential risks related to not conducting an on-site review were mitigated by a number of factors, as enumerated in the March 18, 2016, press release.

DBRS has subsequently conducted a visit to the servicer in addition to an operational risk update call with the liquidity provider on behalf of the Company and deems the operational capacity of the originator and servicer to be acceptable.

The rating on the liquidity instrument reflects the 42.50% of initial hard credit enhancement provided by the reserve account (2.00%) and overcollateralization (40.50%).

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

The principal methodologies are Asset-Backed Commercial Paper Criteria Report: U.S. ABCP Conduits (May 2015) and Rating U.S. Timeshare Loan Securitizations (June 2015), which can be found on dbrs.com under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

This rating was not initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.