DBRS Discontinues Rating on Loans and Assigns Rating on Commitments Issued by FS Senior Funding

DBRS, Inc. (“DBRS”) has today discontinued 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, to reflect the payment in full of the Loans and the replacement of the Commitment with the Class A-R Commitment, Class A-T-1 Commitment, and Class A-T-2 Commitment (together the “Commitments”) issued pursuant to the Amended and Restated Credit Agreement dated as of October 16, 2014, among FS Senior Funding LLC as Borrower, Natixis as Administrative Agent, U.S. Bank National Association as Collateral Agent and Custodian, and the Versailles Assets LLC, Fifth Third Bank, and Bleachers Finance I Ltd. as Lenders. On the Class A-R Commitment, Class A-T-1 Commitment, and Class A-T-2 Commitment issued pursuant to the Amended and Restated Credit Agreement up to $100,000,000, $50,000,000 and $50,000,000, respectively, DBRS today assigns ratings of AA (sf) to the Commitments.

The rating actions were taken to reflect the impact of the execution of the Amended and Restated Credit Security Agreement dated as of October 16, 2014. The amendment language included the replacement of the existing commitment into three separate commitments which resulted in a $100,000,000 upsizing of the entire facility. The execution of the proposed amendment will not in and of itself result in the ratings being downgraded or discontinued. The rating confirmation by DBRS does not signify the approval of the amendment by DBRS or an opinion by DBRS as to whether the amendment is beneficial or detrimental to the holders of the securities.

The rating actions reflect the following:

(1) Amended and Restated Credit and Security Agreement, dated as of October 16, 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 FS Senior Funding 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 Notes.

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.