DBRS Assigns Ratings to Notes Issued by Ambrose 2012-1

DBRS, Inc. (“DBRS”) has today assigned the following ratings to notes issued by Ambrose 2012-1 pursuant to the Ambrose 2012-1 Indenture dated as of December 11th, 2012:

Class A1 Notes
Interest Rate: 3.50%
Original Principal Amount: $831,068,000
Stated Maturity: December 31, 2060
Rating: AAA (sf)

Class A2 Notes
Interest Rate: LIBOR + 3.00%
Original Principal Amount: $25,000,000
Stated Maturity: December 31, 2060
Rating: AAA (sf)

Class B Notes
Interest Rate: 3.50%
Original Principal Amount: $1,160,000,000
Stated Maturity: December 31, 2060
Rating: A (low) (sf)

The notes issued by Ambrose 2012-1 are collateralized primarily by a portfolio of investment grade corporate bonds and structured finance securities. AIG Asset Management (U.S.), LLC acts as collateral manager for Ambrose 2012-1.

The ratings of the notes address the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity. The ratings of the Class A1 Notes and Class B Notes do not address any other amounts which may be paid to the noteholders, including, but not limited to, their respective Additional Amounts.

The ratings reflect the following:

(1) The Ambrose 2012-1 Indenture, the Collateral Management Agreement between Ambrose 2012-1 and AIG Asset Management (U.S.), LLC and all ancillary documentation.

(2) The integrity of the transaction structure.

(3) DBRS’s assessment of the portfolio quality.

(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(5) DBRS’s assessment of the asset selection, servicing and CDO management capabilities of AIG Asset Management (U.S.), LLC.

(6) Analysis performed in addition to the principal methodology to take into account the following aspects of the transaction:
• Potential corporate prepayments
• Timing differential between assets and liabilities
• Default timing for corporate securities
• Large exposure to AIG, Inc. and its affiliates
• Foreign currency exposure
• Premium asset purchases in the corporate portfolio

The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies.

These credit ratings have been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

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