DBRS Confirms Rating on the Class A-R Loans Issued by Garrison Middle Market II LP

DBRS, Inc. (DBRS) has today confirmed the rating of AA (sf) on the Class A-R Loans that have been and are contemplated to be issued under the Garrison Middle Market II LP revolving credit facility, up to the Total Class A-R Commitment of $75,000,000, as per the Amendment No. 1 to the Credit Agreement dated as of May 26, 2016.

The DBRS rating on the Class A-R Loans addresses Garrison Middle Market II LP’s ability to make timely payments of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement referred to above).

The confirmation was taken to reflect the impact of the execution of the Amendment No. 1 to the Credit Agreement on May 26, 2016. The amended language includes the extension of the Reinvestment Period and the Stated Maturity. 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 Class A-R Loans will be collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations. Garrison Middle Market II LP is managed by Garrison Middle Market II GP LLC.

The rating reflects the following:
(1) The Amendment No. 1 to Credit Agreement dated May 26, 2016.

(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 Garrison Middle Market II GP 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.

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.

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

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.