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

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

CREDIT RATING RATIONALE/DESCRIPTION

The credit rating action is based on the following analytical considerations:

-- 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 underwriting, and servicing.

-- The transaction assumptions consider Morningstar DBRS's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2024 Update, published on June 28, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (13 August 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in US Dollars unless otherwise noted.

The principal methodology applicable to the credit rating is Morningstar DBRS Master U.S. ABS Surveillance (06 August 2024) https://dbrs.morningstar.com/research/437535

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

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.

Morningstar DBRS 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.

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

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://dbrs.morningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024)
https://dbrs.morningstar.com/research/437545

Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024)
https://dbrs.morningstar.com/research/428623

Legal Criteria for U.S. Structured Finance (April 15, 2024)
https://dbrs.morningstar.com/research/431205

Rating U.S. Structured Finance Transactions (August 6, 2024)
https://dbrs.morningstar.com/research/437571

Rating U.S. Private Student Loan Securitizations (August 6, 2024)
https://dbrs.morningstar.com/research/437560

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