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

DBRS, Inc. (DBRS Morningstar) confirmed its AA (sf) rating on Commodore CDO IV, Ltd.’s (Commodore’s) 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 Negative trend by DBRS Morningstar) and Commodore.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the coronavirus, please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

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/373262.

Notes:
The principal methodologies are Rating Structured Finance CDO Restructurings (November 12, 2020), and Legal Criteria for U.S. Structured Finance (December 15, 2021), 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.

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

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