DBRS Confirms Ratings on Loans issued by FS Senior Funding LLC and Removes Under Review with Developing Implications

DBRS, Inc. (“DBRS”) has today confirmed the rating of AA (sf) on the Loans issued by FS Senior Funding LLC up to a Total Commitment of $100,000,000 pursuant to the Credit Agreement dated as of November 1, 2013.

The rating addresses FS Senior Funding LLC’s ability to make timely payments of interest and ultimate payment of principal on Loans on or before the Stated Maturity of the Loans. The Loans are collateralized primarily by a portfolio of senior-secured broadly syndicated corporate loans and other corporate obligations. FS Senior Funding LLC is managed by Fifth Street Senior Floating Rate Corp. (the “Collateral Manager”), a business development company (“BDC”) set up by Fifth Street Management LLC (the “Investment Advisor”).

DBRS has also removed the Under Review with Developing Implications designation from the rating. The rating action reflects the conclusion of the review to determine the impact of the updated methodology “Rating CLOs and CDOs of Large Corporate Credit.”

Key changes to the methodology include (a) updates to the Stressed Default Rate calculations, including a new DBRS CLO Asset Model that replaces the DBRS Large Pool Model (b) increased recovery rates for senior secured loans, reflecting an increased expectation for recovery, particularly at the A (sf) through BB (sf) stress levels (c) decreased recovery rates for senior unsecured bonds (d) new stress for covenant-lite loans at the AAA (sf) and AA (sf) stress levels and (e) the removal of regional correlation factors

The principal methodology applicable to this transaction is “Rating CLOs and CDOs of Large Corporate Credit” which can be found on our website under Methodologies.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

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