DBRS Assigns Ratings to the Loans of Fifth Street Senior Loan Fund II, LLC

DBRS, Inc. (“DBRS”) has today assigned the following ratings to the Class A Loans, Class B Loans and Class C Loans (collectively, the “Loans”) contemplated to be issued under the Fifth Street Senior Loan Fund II, LLC revolving credit facility, up to the Total Class A Commitment of $200,000,000, Total Class B Commitment of $42,100,000 and Total Class C Commitment of $12,230,000, as per the Credit Agreement, dated as of August 19, 2014. The Loans will be collateralized primarily by a portfolio of U.S. middle market corporate loans and other corporate obligations. Fifth Street Senior Loan Fund II, LLC is managed by Fifth Street Management LLC. The DBRS rating on the Class A Loans addresses Fifth Street Senior Loan Fund II, LLC’s ability to make timely payments of interest and ultimate payment of principal on or before the Final Maturity Date (as defined in the Credit Agreement referred to above). The DBRS ratings on the Class B Loans and Class C Loans address Fifth Street Senior Loan Fund II, LLC’s ability to make ultimate payments of interest and ultimate payment of principal on or before the Final Maturity Date (as defined in the Credit Agreement referred to above).

The rating reflects the following:

(1) The Credit Agreement dated August 19, 2014.

(2) The integrity of the transaction structure.

(3) DBRS’s assessment of the portfolio quality.

(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(5) DBRS’s assessment of the origination, servicing and CLO management capabilities of Fifth Street Management LLC.
To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio, not rated by DBRS. Credit estimates are not ratings; rather they represent a model-driven default probability for each obligor that is used in assigning a rating to the Facility.

The principal methodology is Rating Methodology for 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.