DBRS Morningstar Downgrades Ratings on AM Capital Funding, LLC Series 2018-1

On November 8, 2022, DBRS, Inc. (DBRS Morningstar) finalized its Appendix XVI: Obligations Backed by Market-Value Collateral of the “Rating U.S. Structured Finance Transactions” methodology, after the closure of a request for comment period. DBRS Morningstar also finalized its new exhibits in the “Operational Risk Assessment for U.S. ABS Originators” and “Operational Risk Assessment for U.S. ABS Servicers” methodologies for the U.S. Precious Metals asset class and a new Appendix XXXI: Obligations Backed by Market-Value Collateral of the “DBRS Morningstar Master U.S. ABS Surveillance” methodology (collectively, the Methodology Appendices).

As a result of the application of the finalized Methodology Appendices, DBRS Morningstar downgraded its ratings on the two classes of debt issued by AM Capital Funding, LLC Series 2018-1 as follows:

-- Class A Notes to A (high) (sf) from AA (sf)
-- Class B Notes to BB (sf) from BBB (sf)

ENVIRONMENTAL, SOCIAL, 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 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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

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

The principal methodologies are DBRS Morningstar Master U.S. ABS Surveillance (November 8, 2022) and Rating U.S. Structured Finance Transactions (November 8, 2022), 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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did not 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.

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

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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