DBRS Assigns Ratings to the Class A-R Loans and Class A-T Loans Issued by BTC Holdings Fund I, LLC

DBRS, Inc. (DBRS) assigned the following ratings to the Class A-R Loans and Class A-T Loans (together, the Class A Loans) issued by BTC Holdings Fund I, LLC:

-- Class A-R Loans rated AA (sf)
-- Class A-T Loans rated AA (sf)

The Class A Loans are issued pursuant to the Credit Agreement, dated as of March 25, 2019, among the Borrower; the Lenders referred to herein; Natixis, New York Branch as Administrative Agent; and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) as Collateral Agent and Custodian.

The ratings on the Class A Loans address the timely payment of interest (excluding any Excess Interest Amounts) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement referred to above).

The Class A Loans issued by BTC Holdings Fund I, LLC will be collateralized primary by a portfolio of U.S. middle-market corporate loans. BTC Holdings Fund I, LLC will be managed by Blue Torch Credit Opportunities Fund I LP (Blue Torch Capital). DBRS considers Blue Torch Capital to be an acceptable collateralized loan obligation manager.

The ratings reflect the following:

(1) The Credit Agreement dated March 25, 2019.
(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 Blue Torch Capital.

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 ratings to a facility.

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:
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 rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

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: Leila Manii, Assistant Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: March 25, 2019

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

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA