DBRS and Morningstar Credit Ratings Confirms Integration Timeline in U.S. Structured Credit Collateralized Loan Obligation Asset Class

On July 11, 2019, Morningstar Credit Ratings, LLC (MCR) and DBRS, Inc. (DBRS; together with MCR, DBRS Morningstar) published their first announcement regarding the integration of their respective analytical teams focused on the U.S. Structured Finance market. Today’s press release is the fortieth in a series to keep the market updated on analytical integration decisions, is focused on the U.S. Structured Credit sector, and is to confirm the integration timeline in the U.S. Structured Credit Collateralized Loan Obligation Asset Class as set forth in the thirty-eighth press release dated July 23, 2020.

<a href="https://www.dbrsmorningstar.com/research/347875/" target="_blank">“DBRS and Morningstar Credit Ratings Announce Analytical Integration Process and Ratings Overlap”</a>

<a href="https://www.dbrsmorningstar.com/research/364329/" target="_blank">“DBRS and Morningstar Credit Ratings Provide Update for U.S. Structured Credit Collateralized Loan Obligation Asset Class”</a>

MCR-RATED U.S. CLOs COLLATERALIZED BY BROADLY SYNDICATED BANK LOANS (BSL CLO TRANSACTIONS)
The MCR-rated U.S. BSL CLO Transactions include CLOs in the following asset classes:
-- BSL CLOs
-- Risk Retention Loans

For a list of the U.S. BSL CLO Transactions that are publicly rated by MCR, please refer to Appendix A.

DBRS Morningstar expects to assign DBRS Morningstar ratings to the outstanding MCR-rated U.S. BSL CLO transactions using the applicable DBRS Morningstar methodologies on or about October 15, 2020, upon request for a successor DBRS Morningstar rating from the party that engaged MCR to rate such U.S. BSL CLO transaction.

MCR expects to withdraw its outstanding ratings on the MCR-rated U.S. BSL CLO Transactions on or about October 15, 2020.

MCR-RATED U.S. CLOs COLLATERALIZED BY MIDDLE-MARKET LOANS (MIDDLE-MARKET CLO TRANSACTIONS)
The MCR-rated U.S. Middle-Market CLO Transactions include CLOs and related combination notes in the following asset classes:
-- Middle-Market CLOs
-- Middle-Market CLO Warehouses
-- Middle-Market Loan Facilities
-- Static CLOs

For a list of the U.S. Middle-Market CLO Transactions that are publicly rated by MCR, please refer to Appendix B.

DBRS Morningstar does not expect to assign DBRS Morningstar ratings to the MCR-rated U.S. Middle-Market CLO Transactions. MCR expects to withdraw its outstanding ratings on the U.S. Middle-Market CLO Transactions on or about October 15, 2020.

MCR-RATED U.S. EXCHANGEABLE SECURED NOTES (CLO COMBINATION NOTE TRANSACTIONS)
The MCR-rated U.S. CLO Combination Note Transactions include combination note transactions that reference CLOs in the following asset classes:
-- BSL CLOs
-- Middle-Market CLOs
-- Static CLOs

For a list of the U.S. CLO Combination Note Transactions that are publicly rated by MCR, please refer to Appendix C.

DBRS Morningstar does not expect to assign DBRS Morningstar ratings to the U.S. CLO Combination Note Transactions. MCR expects to withdraw its outstanding ratings on these transactions on or about October 15, 2020.

For further information on MCR-rated U.S. BSL CLO Transactions, Middle-Market CLO Transactions, and CLO Combination Note Transactions, please refer to:

<a href="https://ratingagency.morningstar.com/PublicDocDisplay.aspx?i=Ecg91zEy824%3d&m=&s=LviRtUKXqs8kml5dHt7FTeE2SZmY0Fvqd4iX49Mk%2f9UapyiFTEO6TA%3d%3d
" target="_blank">“Morningstar Credit Ratings and DBRS Update U.S. Structured Credit Collateralized Loan Obligation Asset Class Coverage”</a>

For more information related to the DBRS Morningstar U.S. Structured Credit CLO asset class coverage effective November 11, 2019, please refer to the following press release:

<a href="https://www.dbrsmorningstar.com/research/352625/" target="_blank">“DBRS and Morningstar Credit Ratings Confirm U.S. Structured Credit Collateralized Loan Obligation Asset Class Coverage” </a>

For more information related to MCR’s rating actions on its outstanding U.S. CLO transactions taken on November 11, 2019, please refer to the following rating announcement:

<a href="https://ratingagency.morningstar.com/PublicDocDisplay.aspx?i=cikhXDs5nfI%3D&m=&s=LviRtUKXqs8kml5dHt7FTeE2SZmY0Fvqd4iX49Mk%2F9UapyiFTEO6TA%3D%3D" target="_blank">“Morningstar Credit Ratings Places Ratings on U.S. CLO Transactions Under Review”</a>

For more information on the finalization of the materially updated DBRS Morningstar CLO Methodologies, please refer to DBRS Morningstar’s press release:

<a href="https://www.dbrsmorningstar.com/research/364312/" target="_blank">“DBRS Morningstar Updates Rating CLOs and CDOs of Large Corporate Credit and Cash Flow Assumptions for Corporate Credit Securitization Methodologies”</a>

The rating opinions on outstanding MCR U.S. CLO transactions, which are monitored in accordance with MCR’s U.S. CLO Rating Methodologies, may not be of comparable credit quality as rating opinions on outstanding DBRS Morningstar U.S. CLO transactions or new DBRS Morningstar ratings that may be assigned to new U.S. CLO transactions, in each case assigned or monitored, as applicable, in accordance with the following DBRS Morningstar CLO Methodologies (as updated):

(1) <a href="https://www.dbrsmorningstar.com/research/364310/" target="blank">“Rating CLOs and CDOs of Large Corporate Credit”</a> (2) <a href="https://www.dbrsmorningstar.com/research/364311/" target="blank">“Cash Flow Assumptions for Corporate Credit Securitizations”</a>
(3) <a href="https://www.dbrsmorningstar.com/research/350807/" target="_blank">“Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits”</a>

For further information, please refer to the DBRS Morningstar CLO Methodologies and relevant commentaries listed below:
-- <a href="https://www.dbrsmorningstar.com/research/364333/" target="blank">“Credit Estimates and Assessing Borrower Default Probabilities in CLOs”</a> (July 22, 2020) -- <a href="https://www.dbrsmorningstar.com/research/364263/" target="blank">“A Guide to DBRS Morningstar Corporate Credit Estimates”</a> (July 20, 2020)

For analytical inquiries regarding this press release, please contact Jerry van Koolbergen, Managing Director, U.S. Structured Credit.

DBRS
Jerry van Koolbergen
jerry.vankoolbergen@dbrsmorningstar.com
+1 212 806-3260

For rating engagement inquiries regarding the U.S. Structured Credit asset class coverage or any asset classes not listed, please contact Sean O’Connor, Managing Director, Head of Global Business Development.

DBRS
Sean O’Connor
sean.oconnor@dbrsmorningstar.com
+1 212 806-3252

For more information on the transactions rated by DBRS, please visit <a href="http://www.dbrsmorningstar.com" target="blank">www.dbrsmorningstar.com</a> or contact DBRS at info@dbrsmorningstar.com. For transactions rated by MCR, please visit <a href="http://www.morningstarcreditratings.com" target="blank">www.morningstarcreditratings.com</a> or contact ratingagency@morningstar.com.

DBRS
Stephen Bernard
stephen.bernard@dbrsmorningstar.com
+1 212 806-3240

APPENDIX A
U.S. BSL CLO Transactions Publicly Rated by MCR

-- AIG CLO 2018-1, Ltd
-- AIG CLO 2019-1, Ltd
-- Allegro CLO IX, Ltd
-- Allegro CLO V, Ltd
-- Apidos CLO XXV
-- Ares XLVI CLO Ltd
-- Ares XXXIR CLO Ltd
-- Auburn CLO, Ltd.
-- Bain Capital Credit CLO 2017-1, Limited
-- Bain Capital Credit CLO 2018-2, Limited
-- Benefit Street Partners CLO XI, Ltd
-- Benefit Street Partners CLO XV, Ltd
-- Buckhorn Park CLO Ltd
-- CBAM 2017-1, Ltd
-- CBAM 2017-2, Ltd
-- CBAM 2018-5, Ltd
-- CBAM 2018-7, Ltd
-- CBAM 2018-8, Ltd
-- CBAM 2019-9, Ltd
-- Dryden 47 Senior Loan Fund
-- Dryden 61 CLO, Ltd
-- Galaxy XX CLO, Ltd
-- Hayfin Kingsland VIII, Ltd
-- Hempstead II CLO Ltd
-- HPS Loan Management 9-2016, Ltd
-- ICG US CLO 2017-2, Ltd
-- ICG US CLO 2018-3, Ltd
-- Jamestown CLO VI-R, Ltd
-- Jamestown CLO X Ltd
-- KKR CLO 9 Ltd.
-- KKR CLO 11 Ltd.
-- KKR CLO 19 Ltd.
-- KKR CLO 21 Ltd
-- Magnetite XXI, Limited
-- Mariner CLO 6, Ltd
-- Mercer Field II CLO Ltd.
-- Octagon Investment Partners 24, Ltd
-- Octagon Investment Partners 28, Ltd
-- Parallel 2018-2 Ltd
-- Peaks CLO 3, Ltd
-- Race Point X CLO, Limited
-- Salem Fields CLO, Ltd.
-- Voya CLO 2016-4, Ltd
-- Voya CLO 2017-4, Ltd
-- Wind River 2016-2 CLO Ltd
-- Wind River 2017-2 CLO Ltd

APPENDIX B
U.S. Middle-Market CLO Transactions Publicly Rated by MCR

-- Barings Middle Market CLO Ltd. 2018-1
-- Barings Middle Market CLO Ltd. 2019-I
-- Guggenheim MM CLO 2018-1, Ltd.
-- Guggenheim MM CLO 2019-2, Ltd.
-- Maranon Loan Funding 2018-1, Ltd.
-- Maranon Loan Funding 2019-1, Ltd.

APPENDIX C
U.S. CLO Combination Note Transactions Publicly Rated by MCR

-- Barings Middle Market CLO Ltd. 2018-1
-- Barings Middle Market CLO Ltd. 2019-I