DBRS Assigns Ratings to Credit Suisse AG Liquidity Instruments Pursuant to Liquidity Agreement – CWF VII Within GIFS Capital Company, LLC

DBRS, Inc. (DBRS) assigned the following ratings to the Liquidity Instruments pursuant to the Liquidity Agreement – CWF VII dated as of December 1, 2017, by and among GIFS Capital Company, LLC, a Delaware limited liability company; Alpine Securitization Ltd. as a Liquidity Institution; Credit Suisse AG, Cayman Islands Branch as a Liquidity Institution; and Credit Suisse AG, New York Branch as Agent, supporting the transaction Liquidity Agreement – CWF VII within GIFS Capital Company, LLC:

-- Liquidity Agreement – CWF VII Class A Loans, rated AA (sf)
-- Liquidity Agreement – CWF VII Class B Loans, rated A (sf)

The transaction is a warehouse for the financing of retail auto loan receivables.

The ratings are based on a review by DBRS of the following analytical considerations:

(1) Transaction capital structure, ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-expected cumulative net loss (CNL) assumption under various stress scenarios.
-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the final scheduled distribution date.
-- The transaction provides for Class A and Class B coverage multiples slightly below the DBRS range of multiples set forth in the criteria for this asset class. DBRS believes that this is warranted given the magnitude of expected loss and structural features of the transaction.
-- The transaction includes triggers that act to mitigate deterioration in the performance of the collateral during the reinvestment period and would result in the early amortization of the bonds.
-- DBRS assumed five months’ seasoning credit while determining the expected CNL rate. Although adjusting the CNL for seasoning credit for only five months is not typical, it was appropriate in this transaction since there is (a) a 24-month revolving period and (b) a minimum five-month seasoning requirement as eligibility criteria.

(2) The transaction parties’ capabilities with regard to originations, underwriting and servicing.

(3) 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 Issuer has a valid first-priority security interest in the assets and the consistency with the DBRS methodology “Legal Criteria for U.S. Structured Finance.”

These rating actions reflect the full and timely repayment of the interest and principal in accordance with the transaction documentation. The ratings 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.

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 and Rating U.S. Retail Auto Loan Securitizations, which can be found on dbrs.com under Methodologies.

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

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

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