DBRS Confirms Ratings on Commitments Issued by FS Senior Funding

DBRS, Inc. (DBRS) has today confirmed the rating of AA (sf) on the Class A-R Commitment up to $100,000,000; Class A-T-1 Commitment up to $50,000,000; and Class A-T-2 Commitment up to $50,000,000 (together, the Commitments) issued pursuant to the Amended and Restated Credit Agreement dated as of October 16, 2014, between FS Senior Funding LLC (FS Senior Funding) 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.

The ratings reflect the impact of the execution of Amendment No. 1 to the Amended and Restated Credit Security Agreement dated as of December 1, 2014. The amendment language included the extension of the Maximum Weighted-Average Life Test. 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) Amendment No. 1 to the Amended and Restated Credit and Security Agreement, dated as of December 1, 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 collateralized loan obligation management capabilities of FS Senior Funding.

To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio that is 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.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit (January 2014), which can be found on our website under Methodologies.

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