DBRS Assigns Ratings to Loans and Notes Issued by TCP CLO III, LLC

DBRS, Inc. (DBRS) has today assigned the following ratings to the Class A-R Loans, the Class A-T Loans, the Class B Loans and Notes, the Class C Loans and Notes, the Class D Loans and Notes and the Combination Notes (collectively, the Loans and Notes) issued by TCP CLO III, LLC:

-- Class A-R Loans rated AA (sf)
-- Class A-T Loans rated AA (sf)
-- Class B Loans and Class B Notes rated A (low) (sf)
--Class C Loans and Class C Notes rated BBB (sf)
-- Class D Loans and Class D Notes rated BB (sf)
-- Combination Notes rated BBB (low) (sf)

The ratings on the Loans are being assigned pursuant to the Credit Agreement dated as of August 9, 2016, among TCP CLO III, LLC as Borrower; Natixis, New York Branch as Administrative Agent; U.S. Bank National Association as Collateral Agent, Collateral Administrator, Information Agent and Custodian; and the Lenders party thereto. The ratings on the Notes are being assigned pursuant to the Note Purchase Agreement dated as of August 9, 2016, among TCP CLO III, LLC as Issuer; U.S. Bank National Association as Collateral Agent and Note Agent; and the Purchasers party thereto.

The ratings on the Class A-R Loans and Class A-T Loans address the timely payment of interest (excluding any Capped Amounts, as defined in the Credit Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement referred to above). The ratings on the Class B Loans and Notes, Class C Loans and Notes and Class D Loans and Notes address the ultimate payment of interest (excluding the additional 2% of interest payable at the Post-Default Rate, as defined in the Credit Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement referred to above). The rating on the Combination Notes addresses the ultimate repayment of the Combination Note Rated Principal Balance (as defined in the Note Purchase Agreement referred to above) on or before the Stated Maturity.

The Loans and Notes issued by TCP CLO III, LLC will collateralized primary by a portfolio of U.S. middle-market corporate loans. TCP CLO III, LLC will be managed by SVOF/MM, LLC Series I, a subsidiary of Tennenbaum Capital Partners, LLC.

The rating reflects the following:

(1) The Credit Agreement dated August 9, 2016.
(2) The Note Purchase Agreement dated as of August 9, 2016.
(3) The integrity of the transaction structure.
(4) DBRS’s assessment of the portfolio quality.
(5) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(6) DBRS’s assessment of the origination, servicing and collateralized loan obligation management capabilities of SVOF/MM, LLC Series I.

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.

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