Morningstar DBRS Takes Credit Rating Actions on Two Amur Equipment Finance Transactions

DBRS, Inc. (Morningstar DBRS) upgraded five credit ratings and confirmed seven credit ratings across two Amur Equipment Finance Transactions.

The credit rating actions are based on the following analytical considerations:

-- Amur Equipment Finance Receivables X LLC, Series 2022-1 has amortized to a pool factor of 20.05% and has a current cumulative net loss (CNL) to date of 5.25%. Despite losses tracking slightly above Morningstar DBRS' initial base case CNL expectation of 4.85%, available hard credit enhancement (CE) has grown across all tranches, sufficient to support a revised projected remaining CNL assumption at a multiple coverage commensurate with the credit ratings.

Class A-2, B, C, D, and E Notes have benefited from deleveraging and their available CE has grown significantly relative to closing, sufficient to support a revised Morningstar DBRS projected remaining CNL assumption at a multiple above their current rating category range. Morningstar DBRS has confirmed and upgraded credit ratings on these classes.

Although Class F Notes have also shown considerable growth in CE, given it is the most subordinate tranche, Morningstar DBRS has confirmed its credit rating.

-- Amur Equipment Finance Receivables XI LLC, Series 2022-2 has amortized to a pool factor of 35.29% and has a current CNL to date of 6.60%. Losses are tracking above Morningstar DBRS' initial base case CNL expectation of 4.25%. Given the speed at which losses have come in in the past year and delinquencies remain at elevated levels with high roll rates, Morningstar DBRS has raised the projected CNL assumption for this transaction. Higher losses are primarily driven by exposure to the transportation industry, which has been under stress in recent years and may remain stressed in the near term.

The current overcollateralization (OC) amount is 5.32%, below the target of 8.50% of the outstanding receivables balance and lower than the initial OC of 7.05%. Despite that, the Class F, E, and D Notes still have enough CE to support the revised CNL assumption commensurate with their current credit ratings. Therefore, Morningstar DBRS has confirmed the credit ratings on these classes.

Class A-2, B and C Notes have benefited from deleveraging and their available CE has grown higher than CE at closing, sufficient to support the revised Morningstar DBRS projected remaining CNL assumption at a multiple above their current rating category range. Therefore, Morningstar DBRS has confirmed and upgraded credit ratings on these classes.

-- The relative benefit from obligor and geographic diversification of collateral pools.

-- The transaction parties' capabilities with respect to origination, underwriting, and servicing.

-- The Transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary, " Baseline Macroeconomic Scenarios for Rated Sovereigns March 2025 Update," published on March 26, 2025. These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

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 Morningstar DBRS Master U.S. ABS Surveillance (April 10, 2025) https://dbrs.morningstar.com/research/451793.

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

The credit ratings were initiated at the request of the rated entity.

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

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

These are solicited credit ratings.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

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

DBRS, Inc.
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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.

Operational Risk Assessment for U.S. ABS Originators and Servicers (March 26, 2025),
https://dbrs.morningstar.com/research/450709

Legal Criteria for U.S. Structured Finance (December 3, 2024),
https://dbrs.morningstar.com/research/444064

Rating U.S. Structured Finance Transactions (March 10, 2025),
https://dbrs.morningstar.com/research/449616

Rating U.S. Equipment Lease and Loan Securitizations (August 6, 2024)
https://dbrs.morningstar.com/research/437575

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