DBRS Assigns Ratings to Loans and Notes to Be Issued by BlackRock Elbert CLO V, LLC

DBRS, Inc. (DBRS) assigned the following ratings to the Class A-R Loans (the Loans), the Class B Notes and the Class C Notes (together, the Secured Notes) to be issued by BlackRock Elbert CLO V, LLC:

-- Class A-R Loans rated AA (sf), up to the total commitment permitted of $152,700,000;
-- Class B Notes rated A (low) (sf), up to the total commitment permitted of $14,900,000; and
-- Class C Notes rated BBB (low) (sf), up to the total commitment permitted of $11,800,000.

The rating on the Loans was assigned pursuant to the Credit Agreement dated as of August 9, 2019, among BlackRock Elbert CLO V, LLC as Borrower; Natixis, New York Branch as Administrative Agent; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) as Collateral Agent, Note Agent, Information Agent, Collateral Administrator and Custodian; and the Lenders referred to therein. The ratings on the Secured Notes were assigned pursuant to the Note Purchase Agreement dated as of August 9, 2019, among BlackRock Elbert CLO V, LLC as Issuer; U.S. Bank National Association as Collateral Agent and Note Agent; and the Purchasers referred to therein.

The rating on the Loans addresses the timely payment of interest (excluding Capped Amounts and the additional 2% of interest payable at the Post-Default Rate, as defined in the Credit Agreement) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement). The ratings on the Secured Notes address the ultimate payment of interest (excluding the additional 2% of interest payable at the Post-Default Rate, as defined in the Credit Agreement) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement).

The Loans and Secured Notes to be issued by BlackRock Elbert CLO V, LLC will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. BlackRock Elbert CLO V, LLC will be managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS considers BCIA to be an acceptable collateralized loan obligation (CLO) manager.

The ratings reflect the following:

(1) The Credit Agreement dated as of August 9, 2019;

(2) The Note Purchase Agreement dated as of August 9, 2019;

(3) The integrity of the transaction structure;

(4) DBRS’s assessment of the portfolio quality;

(5) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios; and

(6) DBRS’s assessment of the origination, servicing and CLO management capabilities of BCIA.

To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio that is 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.

Under the Credit Agreement, upon the occurrence and during the continuance of an event of default (EOD), the Controlling Parties or the Administrative Agent (acting at the direction of the Controlling Parties, as defined in the Credit Agreement) may direct the Collateral Agent to sell or otherwise dispose of the Collateral as a remedy, which could subject the Loans to additional downgrade risk and/or default risk and/or could disadvantage the Class B Noteholders and the Class C Noteholders. These EODs also include a Senior Overcollateralization Ratio less than 115.0% for ten business days or less than 105.0% for five business days.

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 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: Joseph Priolo, Senior Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: August 9, 2019

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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