DBRS Morningstar Assigns Provisional Ratings to Amur Equipment Finance Receivables IX LLC

DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following classes of equipment contract backed notes to be issued by Amur Equipment Finance Receivables IX LLC (the Issuer):

-- $41,000,000 Series 2021-1, Class A-1 Notes at R-1 (high) (sf)
-- $223,670,000 Series 2021-1, Class A-2 Notes at AAA (sf)
-- $19,639,000 Series 2021-1, Class B Notes at AA (sf)
-- $19,639,000 Series 2021-1, Class C Notes at A (sf)
-- $19,639,000 Series 2021-1, Class D Notes at BBB (sf)
-- $13,093,000 Series 2021-1, Class E Notes at BB (sf)
-- $9,352,000 Series 2021-1, Class F Notes at B (sf)

The provisional ratings are based on DBRS Morningstar’s review of the following analytical considerations:

-- The transaction analysis considers DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar’s rating analysis.

-- The analytical considerations incorporate the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

-- DBRS Morningstar estimated the expected cumulative net loss (CNL) of 6.00% in its cash flow scenarios using the originator’s actual performance data and accounting for the expected equipment mix in the collateral pool. DBRS Morningstar’s CNL assumption also considers the effect of the 2019 recessionary downturn in the trucking industry on performance of the more recent static pool vintages and the recent improving performance trend for the outstanding asset-backed securities transactions sponsored by Amur Equipment Finance, Inc. (Amur EF).
-- Transaction capital structure, proposed ratings, as well as sufficiency of available credit enhancement, which includes overcollateralization (OC), subordination, and amounts held in the Reserve Account to support the CNL assumption projected by DBRS Morningstar under various stressed cash flow scenarios.

--The rating on the Class A-1 Notes reflects 90.2% of initial hard credit enhancement (as a percentage of the collateral balance) provided by the subordinated notes (81.5%), the Reserve Account (1.2%), and OC (7.5%). The rating on the Class A-2 Notes reflects 30.5% of initial hard credit enhancement provided by the subordinated notes (21.7%), the Reserve Account, and OC. The ratings on the Class B, Class C, Class D, Class E, and Class F Notes reflect 25.2%, 20.0%, 14.7%, 11.2%, and 8.7% of initial hard credit enhancement, respectively.

-- The proposed concentration limits mitigating the risk of material migration in the collateral pool’s composition during the three-month prefunding period.

-- The capabilities of Amur EF, a commercial finance company providing equipment financing solutions to a broad range of small to medium-size businesses across all 50 U.S. states with regard to originations, underwriting, and servicing. DBRS Morningstar performed an operational review of Amur EF and continues to deem the company an acceptable originator and servicer of equipment lease and loan financing contracts. In addition, Wells Fargo Bank, N.A. (rated AA with a Negative trend by DBRS Morningstar), an experienced servicer of equipment lease-backed securitizations, will be the backup servicer for the transaction. On March 23rd, 2021, Wells Fargo & Company announced it had entered into a definitive agreement to sell its corporate trust business to Computershare, Ltd., with an expected closing in the second half of 2021.

-- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Amur EF, that the trustee has a valid first-priority security interest in the assets, and consistency 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 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:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating U.S. Equipment Lease and Loan Securitizations (July 7, 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 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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