DBRS Confirms Rating on Class A-1 Notes Issued by ABPCI Direct Lending Fund CLO II Ltd

DBRS, Inc. (DBRS) confirmed the rating of AAA (sf) on the Class A-1 Senior Secured Floating Rate Notes (the Class A-1 Notes) issued by ABPCI Direct Lending Fund CLO II Ltd pursuant to the Indenture dated as of July 12, 2017, among ABPCI Direct Lending Fund CLO II Ltd, as Issuer; ABPCI Direct Lending Fund CLO II First Static Subsidiary Ltd, as First Static Subsidiary; ABPCI Direct Lending Fund CLO II Second Static Subsidiary Ltd, as Second Static Subsidiary; ABPCI Direct Lending Fund CLO II LLC, as Co-Issuer; and U.S. Bank National Association, as Trustee.

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 Class A-1 Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. ABPCI Direct Lending Fund CLO II Ltd is managed by AB Private Credit Investors 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. 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 affect DBRS’s rating on the Class A-1 Notes at that time. DBRS ran additional stresses on the recovery rates for certain Collateral Obligations in the pool, such as Qualified First Lien Loans and Senior Secured Loans with Senior Revolving Facilities.

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 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.

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