DBRS Morningstar Confirms Ratings on Notes Issued by Ambrose 2013-5

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on Ambrose 2013-5’s Class A2 Notes Class B Notes at AAA (sf) and AA (sf) respectively. The Class A2 and Class B Notes (collectively, the Notes) were issued by Ambrose 2013-5 pursuant to the Indenture dated as of July 22, 2013.

The Notes are collateralized primarily by a portfolio of investment-grade corporate bonds and structured finance securities. AIG Asset Management (U.S.), LLC acts as the collateral manager for Ambrose 2013-5. DBRS Morningstar considers AIG Asset Management (U.S.), LLC to be an acceptable collateral manager.

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

As the Coronavirus Disease (COVID-19) spread around the world, certain countries imposed quarantines and lockdowns, including the United States, which accounts for more than one fourth of confirmed cases worldwide. The coronavirus pandemic has negatively affected not only the economies of the nations most afflicted, but also the overall global economy with diminished demand for goods and services as well as disrupted supply chains. The effects of the pandemic may result in deteriorated financial conditions for many companies and obligors, some of which will experience the effects of such negative economic trends more than others. At the same time, governments and central banks in multiple regions, including the United States and Europe, have taken significant measures to mitigate the economic fallout from the coronavirus pandemic.

In conjunction with DBRS Morningstar’s commentary, “Global Macroeconomic Scenarios: Implications for Credit Ratings,” published on April 16, 2020, and its updated commentary, “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021, DBRS Morningstar further considers additional adjustments to assumptions for the CLO asset class that consider the moderate economic scenario outlined in the commentary. After a review of the transaction’s target closing portfolio and publicly available ratings on the Collateral Obligations, DBRS Morningstar decided that the collateral credit ratings reflect the economic risk of the coronavirus, commensurate with a moderate-impact scenario.

For more information regarding DBRS Morningstar’s simplified set of macroeconomic scenarios for select economies related to the coronavirus, please see please see its April 16, 2020, commentary, “Global Macroeconomic Scenarios: Implications for Credit Ratings,” at https://www.dbrsmorningstar.com/research/359679; its April 22, 2020, commentary, “Global Macroeconomic Scenarios: Application to Credit Ratings,” at https://www.dbrsmorningstar.com/research/359903; its January 28, 2021, updated commentary, “Global Macroeconomic Scenarios: January 2021 Update,” at https://www.dbrsmorningstar.com/research/372842; and its update March 17, 2021, updated commentary, “Global Macroeconomic Scenarios: March 2021 Update,” at https://www.dbrsmorningstar.com/research/375376.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the coronavirus, please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19),” at https://www.dbrsmorningstar.com/research/361112.

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 methodologies are Rating CLOs and CDOs of Large Corporate Credit (February 8, 2021) and Cash Flow Assumptions for Corporate Credit Securitizations (February 8, 2021), 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.

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.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com.

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