DBRS Confirms Rating on Class A-1 Notes Issued by TCP Whitney CLO, Ltd.

DBRS, Inc. (DBRS) confirmed its rating on the Class A-1 Senior Secured Floating-Rate Notes (the Class A-1 Notes) issued by TCP Whitney CLO, Ltd. at AAA (sf), pursuant to the Indenture dated as of August 22, 2017, among TCP Whitney CLO, Ltd. as Issuer; TCP Whitney CLO, 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 issued by TCP Whitney CLO, Ltd. will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. TCP Whitney CLO, Ltd. will be managed by Series I of SVOF/MM, LLC.

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.

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.

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:

The last rating action on this transaction took place on August 22, 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: Arthur Krivoruk, Financial Analyst, U.S. Structured Credit – Global Structured Finance
Rating Committee Chair: Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit
Initial Rating Date: August 1, 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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