DBRS Assigns Provisional Ratings to the Senior Funding Facility and the Mezzanine Funding Facility of Annisa CLO, Ltd.

DBRS, Inc. (DBRS) has today assigned the following provisional ratings to the Senior Funding Facility and the Mezzanine Funding Facility (together, the Facilities) of Annisa CLO, Ltd. (Annisa):

-- Senior Funding Facility due May 2025 rated A (sf)
-- Mezzanine Funding Facility due May 2025 rated BBB (low) (sf)

The provisional ratings of the Facilities are being assigned pursuant to the Warehouse Agreement, dated as of May 10, 2016, by and among Annisa as Borrower; Barclays Bank PLC, New York Branch (Barclays) as Facility Agent; Invesco Senior Secured Management, Inc. (Invesco) as Collateral Manager; and The Bank of New York Mellon, N.A. as Collateral Administrator.

The Borrower is a limited liability company incorporated under the laws of the Cayman Islands. This transaction is set up as a cash flow securitization, which will be collateralized by a portfolio of leveraged loans subject to Collateral Quality and Portfolio Profile Tests. As of the provisional rating date, there exist no collateral loans in the transaction portfolio. Invesco will act as the Collateral Manager of the Borrower.

The Borrower will start to draw on the Facilities based on a predetermined schedule. Upon each drawing request, the Collateral Manager will ensure that certain tests are in compliance. The warehouse will have a six-month reinvestment period followed by an amortization period. The warehouse will reach its maturity date at the earliest of the CLO Closing Date; the business day following the Amortization Period End Date; an Early Maturity Date; or May 2025. An Early Maturity Date can be caused by an Optional Early Maturity Date (no earlier than 12 months after the reinvestment period end date) following an Event of Default (EOD) or at the sole option of the Instructing Lender (Barclays) following an EOD. Upon an occurrence of an EOD and so long as the Senior Funding Facility and/or the Mezzanine Funding Facility remain outstanding, Barclays (as the Instructing Lender) may in its sole option elect to designate an Early Maturity Date and liquidate the portfolio.

These ratings on the Facilities are provisional. Finalized ratings will be issued upon receipt of confirmation that the aggregated funding amount of the Facilities has reached $30 million as per the funding matrix stipulated in the Warehouse Agreement. To the extent that the documents and information provided to DBRS by the Borrower, Barclays, and the Collateral Manager as of this date differ from the executed versions of the governing transaction documents, DBRS may assign lower finalized ratings to the Facilities or may avoid assigning finalized ratings to the Facilities altogether.

The provisional ratings reflect the following primary considerations:

(1) The Warehouse Agreement dated as of May 10, 2016.

(2) The integrity of the transaction structure.

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

Finalized ratings will reflect the above considerations, but will also take into consideration an assessment of capabilities of the Collateral Manager as they relate to collateralized loan obligation management. As of the date of these provisional ratings, DBRS has not yet evaluated Invesco as a Collateral Manager. DBRS will perform an assessment of the origination and servicing capabilities of the Collateral Manager prior to finalizing its ratings on the Facilities.

The rating on the Senior Funding Facility addresses the timely payment of the Senior Base Interest Amount and ultimate payment of the Senior Commitment Fees on or before the Scheduled Maturity Date in May 2025. The rating on the Mezzanine Funding Facility addresses the ultimate payment of the Mezzanine Base Interest Amount and the ultimate payment of the Mezzanine Commitment Fees on or before the Scheduled Maturity Date in May 2025. For the avoidance of doubt, these ratings do not address the Senior Additional Interest Amount or the Mezzanine Additional Interest Amount.

To assess portfolio credit quality, DBRS will provide 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 to assign a rating to the transaction.

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

The applicable methodology is Rating CLOs and CDOs of Large Corporate Credit, 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.