Morningstar DBRS Withdraws the Credit Rating on Credit Default Swap of Commodore CDO IV, Ltd.

DBRS, Inc. (Morningstar DBRS) withdrew its credit rating 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The credit rating on Commodore’s counterparty credit risk was withdrawn due to insufficient information to conduct surveillance.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: March 2024 Update,” published on March 27, 2024 (https://www.dbrsmorningstar.com/research/430189). These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse pandemic scenarios, which were first published in April 2020.

ENVIRONMENTAL, SOCIAL, AND 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 (January 23, 2024) https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in US Dollars unless otherwise noted.

The principal methodology applicable to the credit 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 not initiated at the request of the rated entity.

The rated entity or its related entities did not participate in the credit rating process for this credit rating action.

Morningstar DBRS did not have 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.

Please, see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

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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 dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.