DBRS Assigns Provisional Ratings and New Ratings to the Notes Issued by TCP DLF VIII 2018 CLO, LLC

DBRS, Inc. (DBRS) assigned provisional ratings of AAA (sf) and BBB (low) (sf) to the Class A-1 Notes and Combination Notes, respectively, and new ratings of AA (sf), A (sf), BBB (sf), BB (sf) and (B (sf) to the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes, respectively (collectively, the Notes), issued by TCP DLF VIII 2018 CLO, LLC (the Issuer) pursuant to the Note Purchase and Security Agreement dated as of February 28, 2018, among TCP DLF VIII 2018 CLO, LLC as Issuer; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) as Collateral Agent, Custodian, Collateral Administrator, Information Agent and Note Agent; and the Purchasers referred to therein.

The ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate, as defined in the Note Purchase and Security Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Note Purchase and Security Agreement referred to above). The ratings on the Class B Notes, Class C Notes, Class D Notes and Class E Notes address the ultimate payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate, as defined in the Note Purchase and Security Agreement referred to above) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Note Purchase and Security 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 and Security Agreement referred to above) on or before the Stated Maturity (as defined in the Note Purchase and Security Agreement referred to above).

The Notes issued by the Issuer will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Series I of SVOF/MM, LLC (the Collateral Manager), a consolidated subsidiary of Tennenbaum Capital Partners, LLC.

As of the Closing Date of February 28, 2018, the transaction portfolio contained no collateral obligations. The Issuer will start to draw on the Notes in reverse-sequential order based on predetermined initial funding dates, as specified in the Note Purchase and Security Agreement. Upon each notice of funding, the Collateral Manager will ensure that certain tests are in compliance and conditions to funding are met.

The Combination Notes shall consist of a portion of the principal amount (the Components) of the initial original principal amounts of each of the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes and Subordinated Notes (the Underlying Classes). Each Component of the Combination Notes will be treated as Notes of the respective Underlying Class. Payments on any Underlying Class shall be allocated to the relevant Combination Notes in the proportion that the outstanding principal amount of the applicable Component bears to the outstanding principal amount of such Underlying Class as a whole (including all related Components). Each Component of the Combination Notes shall bear interest and shall receive payments in the same manner as the related Underlying Class, and each Component shall mature and be payable on the Stated Maturity in the same manner as the related Underlying Class.

All payments made on the Combination Notes (whether interest, principal or otherwise) shall reduce the Combination Note Rated Principal Balance of the Combination Notes provided that the Combination Notes shall remain outstanding until each of the Components shall have been redeemed and paid in full.

The ratings reflect the following:

(1) The Note Purchase and Security Agreement dated as of February 28, 2018.
(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.

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

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

The full report providing additional analytical detail is available by clicking on the link below or by contacting us at info@dbrs.com.