Press Release

DBRS Places 53 Classes from 18 U.S. CLO and CDO Transactions Under Review after CLO Methodology Update

Structured Credit
April 07, 2015

DBRS, Inc. (DBRS) has today placed Under Review 18 transactions and 53 ratings for Collateralized Loan Obligation (CLO) and collateralized debt obligation (CDO) transactions backed primarily by portfolios of corporate credit with either Positive or Negative Implications.

The rating actions reflect material updates to the methodology DBRS uses to rate and monitor CLOs and CDOs backed by large corporate credit (see Rating CLOs and CDOs of Large Corporate Credit, published April 7, 2015). Key changes to “Rating Methodology for CLOs and CDOs of Large Corporate Credit” include:
-- Additional recovery rates for non-investment grade rating categories;
-- Minor updates to country tiers; and
-- A new DBRS CLO Asset Model, which is publicly available on www.dbrs.com.

The updates to the methodology will have minimal impact on outstanding ratings. The updates are generally expected to have a neutral to minimally positive impact on current ratings placed Under Review with Positive Implications and a neutral to minimally negative impact on current ratings placed Under Review with Negative Implications.

DBRS has also reviewed and deemed that the A (high) (sf) rating on the Class A Notes Issued by Topco Holdings Ltd. will not be affected by the methodology updates.

This methodology supersedes the previous methodology, Rating Methodology for CLOs and CDOs of Large Corporate Credit, published January 21, 2014.

A list of public ratings affected by today’s rating action can be found listed below. DBRS re-rates all credit ratings that have been assigned based on the methodology changes and discloses all resulting ratings and rating actions changes.

The ratings listed are under review. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. As this review pertains to a methodological change, a resolution of today’s Under Review with Positive or Negative Implications placements should be completed within a six-month period. The purpose of these rating actions was solely based upon the update to the current methodology. DBRS reviews and ratings are under regular surveillance.

These credit ratings have been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

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

Ratings

Ambrose 2012-1
Ambrose 2013-2
Ambrose 2013-3
Ambrose 2013-4
Ambrose 2013-5
Ambrose 2014-6
Brightwood Capital Fund III Holdings SPV, LLC
Cerberus ICQ Levered LLC
Confluent Senior Loans Opportunities p.l.c.
Energy Funding LLC
FS Senior Funding LLC
Fifth Street Senior Loan Fund II, LLC
Jay Street Market Value CLO I Ltd.
Kodiak CDO I Ltd.
Salus CLO 2012-1 Ltd.
Senior Credit Fund SPV I, LLC
TPG SL SPV, LLC
WhiteHorse Finance Warehouse, LLC
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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