Morningstar DBRS Places the Credit Rating on Credit Default Swap of Commodore CDO IV, Ltd. Under Review With Negative Implications

DBRS, Inc. (Morningstar DBRS) placed its credit rating of AA(sf) Under Review with Negative Implications on Commodore CDO IV, Ltd.’s (Commodore) counterparty credit risk with respect to its ability to make any and all payments due under the Credit Default Swap confirmations governed by the ISDA Master Agreement, dated August 19, 2005, between Deutsche Bank AG (rated A (low) with a Positive trend by Morningstar DBRS) and Commodore.

RATING RATIONALE
The rating action is a result of the annual surveillance review of the transaction. The credit rating on Commodore’s counterparty credit risk was placed Under Review with Negative Implication because of insufficient information to conduct surveillance.

The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023, (https://dbrs.morningstar.com/research/425506). These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse pandemic scenarios, which were first published in April 2020. For more information regarding Morningstar DBRS’ additional adjustment for select industries related to COVID-19, please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)”at https://dbrs.morningstar.com/research/361112.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).

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

The principal methodology applicable to the rating is Rating Structured Finance CDO Restructurings (November 8, 2023), https://dbrs.morningstar.com/research/423055.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

Legal Criteria for U.S. Structured Finance (December 7, 2023),
https://dbrs.morningstar.com/research/425081

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.