DBRS Confirms Ratings on the Revolving Advances and Term Loan Advances Issued by Senior Credit Fund SPV I, LLC

DBRS, Inc. (DBRS) has today confirmed the ratings of AA (sf) on the Revolving Advances up to the Total Revolving Commitment of $185,000,000 and on the Term Loan Advances of $115,000,000 issued by Senior Credit Fund SPV I, LLC as per the Fifth Amendment and Waiver to Revolving Credit and Security Agreement (the Amendment) dated as of June 3, 2016.

The DBRS ratings address the timely payment of interest and ultimate payment of principal on or before the Final Maturity Date.

The rating actions were taken to reflect the impact of the execution of the Amendment. The amended language extends the Final Maturity Date in response to any Defaults or Events of Default arising from the purchase of ineligible Long Dated Assets. The rating confirmations by DBRS do 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.

Both State Street and the Investment Manager have made changes to their operational processes to prevent any potential future occurrences. Senior Credit Fund SPV I, LLC’s performance under the Facility has otherwise been in line with expectations.

The Revolving Advances and the Term Loan Advances are collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations.

The confirmations reflect the following:
(1) The Amendment dated as of June 3, 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 Senior Credit Fund, 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.