DBRS Morningstar Assigns New Rating to Credit Suisse Liquidity Instrument Pursuant to Liquidity Agreement – NAVB within GIFS Capital Company, LLC

DBRS, Inc. (DBRS Morningstar) assigned a new rating to the Credit Suisse Liquidity Instrument pursuant to the Liquidity Agreement – NAVB within GIFS Capital Company, LLC:

-- Liquidity Agreement - NAVB at AAA (sf)

The rating is based on DBRS Morningstar’s review of the following 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: June Update, published on June 1, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020. The scenarios were updated on June 1, 2020, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary (the moderate scenario serving as the primary anchor for current ratings). The moderate scenario assumes some success in containment of the coronavirus within Q2 2020 and a gradual relaxation of restrictions, enabling most economies to begin a gradual economic recovery in Q3 2020.

-- DBRS Morningstar revised its base-case default and forbearance assumptions for this transaction.

-- The transaction’s capital structure, proposed rating, and form and sufficiency of available credit enhancement.

-- The ability of the transaction to withstand stressed cash flow assumptions and repay investors in accordance with the terms of the transaction documents.

-- The quality and credit characteristics of the student loans and underlying borrowers.

-- The ability of Navient Solutions, LLC (Navient) as servicer and Earnest Operations LLC (Earnest) as subservicer to perform collections on the collateral pool and other required activities.

-- The legal structure and legal opinions that are consistent with DBRS Morningstar’s “Legal Criteria for U.S. Structured Finance.”

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

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

The principal methodology is Rating U.S. Private Student Loan Securitizations (November 20, 2019), 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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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