DBRS Morningstar Takes Rating Actions on Three Amur Equipment Finance Transactions

DBRS, Inc. (DBRS Morningstar) confirmed or downgraded its ratings on the following classes of securities included in three Amur Equipment Finance transactions:

Amur Equipment Finance Receivables V LLC:
-- Series 2018-1, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2018-1, Class B Notes, confirmed at AA (sf)
-- Series 2018-1, Class C Notes, confirmed at A (sf)
-- Series 2018-1, Class D Notes, confirmed at BBB (sf)
-- Series 2018-1, Class E Notes, confirmed at BB (sf)
-- Series 2018-1, Class F Notes, downgraded to CCC (high) (sf) and removed from Under Review with Negative Implications

Amur Equipment Finance Receivables VI LLC:
-- Series 2018-2, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2018-2, Class B Notes, confirmed at AA (sf)
-- Series 2018-2, Class C Notes, confirmed at A (sf) and removed from Under Review with Negative Implications
-- Series 2018-2, Class D Notes, confirmed at BBB (low) (sf) and removed from Under Review with Negative Implications
-- Series 2018-2, Class E Notes, confirmed at B (high) (sf) and removed from Under Review with Negative Implications
-- Series 2018-2, Class F Notes, confirmed at CCC (high) (sf) and removed from Under Review with Negative Implications

Amur Equipment Finance Receivables VII LLC:
-- Series 2019-1, Class A-2 Notes, confirmed at AAA (sf)
-- Series 2019-1, Class B Notes, confirmed at AA (sf) and removed from Under Review with Negative Implications
-- Series 2019-1, Class C Notes, downgraded to A (low) (sf) and removed from Under Review with Negative Implications
-- Series 2019-1, Class D Notes, downgraded to BBB (low) (sf) and removed from Under Review with Negative Implications
-- Series 2019-1, Class E Notes, downgraded to B (high) (sf) and removed from Under Review with Negative Implications
-- Series 2019-1, Class F Notes, downgraded to CCC (high) (sf) and removed from Under Review with Negative Implications

The rating actions are based on the following analytical 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: September Update,” published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. Observed performance during the 2008–09 financial crisis and the possible impact from a stimulus package were also incorporated into the analysis.

-- There have been material changes in Amur Equipment Finance, Inc.’s (AEF) origination strategies, underwriting framework, financed asset mix, and access to liquidity since the Great Recession of 2008–09, which DBRS Morningstar considered in assessing the additional economic stress related to the coronavirus pandemic. DBRS Morningstar also views these factors as potentially mitigating some of the impact of recessionary conditions stemming from the coronavirus pandemic.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance, including upward revisions to the expected cumulative net loss assumptions that take into account the increased stress commensurate with the moderate macroeconomic scenario.

-- The currently available hard credit enhancement in the form of overcollateralization, subordination (as applicable), and amounts of deposit in the cash reserve account, as well as the change in the level of protection afforded by each form of credit enhancement since the closing of each transaction.

-- The relative benefit from obligor and geographic diversification of collateral pools.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

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:
The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), 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 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. For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact 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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