DBRS Discontinues and Withdraws Ratings on Anchorage Capital Europe CLO 3 DAC

DBRS Ratings Limited (DBRS) discontinued and withdrew the ratings on the Senior Funding Facility and Mezzanine Funding Facility provided by Barclays Bank plc (Barclays or the Lender), on Anchorage Capital Europe CLO 3 DAC, at the request of the Lender.

The ratings of the facilities prior to their discontinuation and withdrawal were as follows:
-- Senior Funding Facility rated A (sf)
-- Mezzanine Funding Facility rated BBB (low) (sf)

Notes:

All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is “Rating CLOs and CDOs of Large Corporate Credit”.

In DBRS’s opinion, a discontinued-withdrawn rating action does not warrant the application of the entire principal methodology.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found on www.dbrs.com at: http://www.dbrs.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Rating Sovereign Governments” methodology at: http://dbrs.com/research/333487/rating-sovereign-governments.pdf.

The sources of data and information used for these ratings include information and a withdrawal request from Barclays.

DBRS did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 12 March 2019 when the provisional ratings of A (sf) and BBB (low) (sf) were finalised on the Senior Funding Facility and the Mezzanine Funding Facility, respectively.

Information regarding DBRS ratings, including definitions, policies and methodologies, is available on www.dbrs.com.

As this is a discontinued-withdrawn rating action, sensitivity analysis is not applicable.

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.

Ratings assigned by DBRS Ratings Limited are subject to EU and US regulations only.

Lead Analyst: Mudasar Chaudhry, Senior Vice President
Rating Committee Chair: Jerry van Koolbergen, Managing Director
Initial Rating Date: 21 September 2018

DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Registered and incorporated under the laws of England and Wales: Company No. 7139960

The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies.

-- Rating CLOs and CDOs of Large Corporate Credit
-- Legal Criteria for European Structured Finance Transactions
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Interest Rate Stresses for European Structured Finance Transactions
-- Master European Structured Finance Surveillance Methodology

A description of how DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrs.com/research/278375.

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