DBRS Finalizes Provisional Rating on Class A-1 Notes Issued by TCP Whitney CLO, Ltd.

DBRS, Inc. (DBRS) finalized the following provisional rating on the Class A-1 Senior Secured Floating Rate Notes (the Class A-1 Notes) issued by TCP Whitney CLO, Ltd. pursuant to the Indenture dated as of August 22, 2017, among TCP Whitney CLO, Ltd., as Issuer; TCP Whitney CLO, LLC as Co-Issuer; and U.S. Bank National Association, as Trustee:

-- Class A-1 Notes at AAA (sf)

The rating on the Class A-1 Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture referred to above).

The Notes issued by TCP Whitney CLO, Ltd. will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. TCP Whitney CLO, Ltd. will be managed by Series I of SVOF/MM, LLC.

The rating reflects the following:

(1) The draft Indenture dated August 22, 2017.

(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 Series I of SVOF/MM, LLC as Collateral Manager.

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. Assessing the priority of payments, upon an Enforcement Event (as defined in the Indenture), Administrative Expenses senior to the Class A-1 Notes will be uncapped in the Enforcement Event Priority of Payments, which could impact DBRS’s rating to the Class A-1 Notes at that time.

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

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit, which can be found on dbrs.com 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.

The full report providing additional analytical detail is available by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com