DBRS Morningstar Confirms Rating on Mountcliff Funding LLC

DBRS, Inc. (DBRS Morningstar) confirmed its rating on the 4(2) Commercial Paper (CP) issued by Mountcliff Funding LLC (MCF) at R-1 (low) (sf). MFC, 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.

The rating confirmation reflects the following key analytical considerations:

-- The amendment to one of the fully supported liquidity agreements addresses the timing on certain liquidity funding requirements. This amendment is deemed not to be material. The counterparties that fully support the CP that MCF issues remain unchanged.

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although the coronavirus remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded. Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects, given the expectations of continued fiscal and monetary policy support. The policy response to the pandemic may nonetheless bring other risks to the forefront in coming months and years.

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

-- The amendment does not affect the reliance on the support counterparties that support the ABCP issued from the conduit.

-- The bankruptcy remote structure of MCF.

-- 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.

ESG CONSIDERATIONS
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.

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 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 [email protected].

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