DBRS Upgrades and Assigns Ratings to the Advances Issued by Senior Credit Fund SPV I, LLC

DBRS, Inc. (DBRS) has today upgraded the ratings on the Term Loan Advances up to the Total Term Loan Commitment of $240,000,000 and the Revolving Advances up to the Total Revolving Commitment of $120,000,000 issued by Senior Credit Fund SPV I, LLC from AA (sf) to AAA (sf). Additionally, DBRS has assigned a rating of AA (sf) to the Class B Loan Advances, including any Class B Note evidencing Class B Loan Advances, up to the Total Class B Commitment of $40,000,000.

The rating actions reflect the execution of the Amended and Restated Credit and Security Agreement (the Amendment) as of December 19, 2016, among Senior Credit Fund SPV I, LLC as Borrower, Natixis, New York Branch as the Facility Agent, State Street Bank and Trust Company as Collateral Agent and the Lenders party thereto. The rating actions 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.

In addition to the execution of the Amendment, the rating actions also reflect the following:
• The integrity of the transaction structure.
• DBRS’s assessment of the portfolio quality.
• Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
• DBRS’s assessment of the origination, servicing and collateralized loan obligation management capabilities of Senior Credit Fund, LLC.

Under the Amended and Restated Credit and Security Agreement, upon the occurrence and during the continuance of an Event of Default through the breach of the EoD Overcollateralization Ratio at 115%, the Collateral Agent may be directed by the majority of the Required Lenders (as defined in the Amended and Restated Credit and Security Agreement referred to above) to sell or otherwise dispose of the Collateral as a remedy that could disadvantage the Class B Loan Advances and Notes. DBRS has taken these transaction characteristics into account in the final ratings.

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

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