DBRS Confirms Ratings on the Notes Issued by TCP DLF VIII 2018 CLO, LLC

DBRS, Inc. (DBRS) confirmed the provisional ratings of AAA (sf) and BBB (low) (sf) on the Class A-1 Notes and Combination Notes, respectively, and the ratings of AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) on 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 Tenenbaum Capital Partners, LLC. DBRS considers Series I of SVOF/MM, LLC as an acceptable collateralized loan obligation (CLO) manager.

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 have been redeemed and paid in full.

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.

DBRS notes that the above press release was amended on March 5, 2019, to add the endorsement from DBRS Ratings Limited for use in the European Union. The amendment was minor and would not impact the understanding of the reader.

DBRS notes that the above press release was amended on August 7, 2019, to remove an unnecessary disclosure. The amendment was minor and would not impact the understanding of the reader.

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 & Criteria.

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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

This rating is endorsed by DBRS Ratings Limited for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

This is the first rating action since the Initial Rating Date.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Quan Yoon, Assistant Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: February 28, 2018

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

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