Morningstar DBRS Assigns Provisional Credit Ratings to AMCR ABS Trust 2024-A

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings to the following classes of notes to be issued by AMCR ABS Trust 2024-A (AMCR 2024-A or the Issuer):

-- $70,205,000 Class A Notes at (P) A (low) (sf)
-- $18,193,000 Class B Notes at (P) BBB (low) (sf)
-- $17,582,000 Class C Notes at (P) BB (low) (sf)

CREDIT RATING RATIONALE/DESCRIPTION

The provisional credit ratings on the Notes are based on a review by Morningstar DBRS of the following analytical considerations:

(1) The transaction's form and sufficiency of available credit enhancement.
--Subordination, overcollateralization, amounts held in the Reserve Fund, and excess spread create credit enhancement levels that are commensurate with the credit ratings.
--Transaction cash flows are sufficient to repay investors under all A (low)(sf), BBB (low) (sf), and BB (low) (sf) stress scenarios in accordance with the terms of the AMCR 2024-A transaction documents.

(2) The experience, sourcing, and servicing capabilities of Credit9. Morningstar DBRS has performed an operational risk assessment of Credit9 and believes the Company is an acceptable consumer loan servicer with an acceptable Backup Servicer and Backup Servicer Subcontractor.

(3) Americor has an experienced management team.

(4) The experience, sourcing, and servicing capabilities of Credit9, LLC. Morningstar has performed an operational risk assessment of Credit9 and believes the Company is an acceptable consumer loan servicer with an acceptable Backup Servicer and Backup Servicer Subcontractor.

(5) The experience, underwriting, and origination capabilities of Cross River Bank (CRB).

(6) The ability of Wilmington Trust National Association to perform duties as a Backup Servicer and the ability of Nelnet Servicing, LLC dba Firstmark to perform duties as a Backup Servicer Subcontractor.

(7) The annual percentage rate (APR) charged on the loans and the status of CRB as the true lender.
-- Approximately 99% of loans included in AMCR 2024-A are originated by CRB, a New Jersey state-chartered FDIC-insured bank.
-- Loans originated by CRB are all within the New Jersey state usury limit of 30.00%.
-- The weighted-average APR of the loans in the pool is 28.62%.
-- Loans may be in excess of individual state usury laws; however, CRB as the true lender is able to export rates that pre-empt state usury rate caps.
-- Loans originated to borrowers in Vermont, Colorado, Maine, West Virginia and Puerto Rico are excluded from the pool.
-- Under the Loan Sale Agreement, CRB is obligated to repurchase any loan if there is a breach of representation and warranty that materially and adversely affects the interests of the purchaser.

(8) The legal structure and expected legal opinions that will address the true sale of the unsecured loans, the nonconsolidation of the trust, that the trust has a valid perfected security interest in the assets, and consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance.

(9) The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update, published on September 25, 2024. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

Morningstar DBRS' credit rating on the securities referenced herein addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated notes are the related Interest Distributable Amount, and the related Note Balance.

Morningstar DBRS' credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. The associated contractual payment obligations that are not financial obligations are the related interest on unpaid Interest Distributable Amount for each of the rated notes.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS

There were no Environmental/Social/Governance factor(s) 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 Factors in Credit Ratings (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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

The principal methodology applicable to the credit ratings is

Rating U.S. Structured Finance Transactions (Appendix I: U.S. Consumer Loan ABS Transactions) (August 6, 2024) https://dbrs.morningstar.com/research/437571.

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 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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

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

-- Rating U.S. Credit Card Asset-Backed Securities (August 6, 2024), https://dbrs.morningstar.com/research/437551
-- Operational Risk Assessment for U.S. ABS Originators and Servicers (August 6, 2024), https://dbrs.morningstar.com/research/437545
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.