DBRS Morningstar Finalizes Provisional Ratings on Amur Equipment Finance Receivables XI LLC

DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of equipment contract backed notes issued by Amur Equipment Finance Receivables XI LLC (the Issuer):

-- $59,412,000 Series 2022-2, Class A-1 Notes at R-1 (high) (sf)
-- $319,375,000 Series 2022-2, Class A-2 Notes at AAA (sf)
-- $27,074,000 Series 2022-2, Class B Notes at AA (sf)
-- $15,041,000 Series 2022-2, Class C Notes at A (sf)
-- $25,068,000 Series 2022-2, Class D Notes at BBB (sf)
-- $14,038,000 Series 2022-2, Class E Notes at BB (sf)
-- $6,016,000 Series 2022-2, Class F Notes at B (sf)

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

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns September 2022 Update, published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- Expected cumulative net loss (CNL) of 4.25% used by DBRS Morningstar in its cash flow scenarios was estimated using Amur Equipment Finance, Inc.’s (Amur or the Company) actual performance data and accounting for the expected Asset Pool’s equipment mix.

-- Transaction capital structure, ratings, and 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 89.15% of initial hard credit enhancement (as a percentage of the collateral balance) provided by the subordinated notes (81.10%), the Reserve Account (1.00%), and OC (7.05%). The rating on the Class A-2 Notes reflects 25.45% of initial hard credit enhancement provided by the subordinated notes (17.40%), the Reserve Account, and OC. The ratings on the Class B, Class C, Class D, Class E, and Class F Notes reflect 20.05%, 17.05%, 12.05%, 9.25%, and 8.05% of initial hard credit enhancement, respectively.

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

-- The capabilities of Amur, 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 and continues to deem the Company an acceptable originator and servicer of equipment lease and loan financing contracts. In addition, UMB Bank, N.A, will be the backup servicer for the transaction.

-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Amur, 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.”

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no environmental, social, and governance factors that had a significant or relevant effect on the credit analysis.
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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

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

The principal methodology is Rating U.S. Equipment Lease and Loan Securitizations (July 1, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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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