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 (a subsidiary of the Issuer); ABPCI Direct Lending Fund CLO II Second Static Subsidiary Ltd as Second Static Subsidiary (a subsidiary of the Issuer); ABPCI Direct Lending Fund CLO II LLC as Co-Issuer; and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) 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).

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 where a public rating is not available. 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:
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.

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

The last rating action on this transaction took place on July 11, 2018, when DBRS confirmed the rating on the Class A-1 Notes at AAA (sf).

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: Sharon McGarvey, Senior Vice President, Credit Practices Group
Initial Rating Date: July 2, 2017

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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