DBRS Morningstar Assigns Rating to Class A-1 L Loans Issued by BlackRock Shasta Loan Trust VII, LLC

DBRS, Inc. (DBRS Morningstar) assigned a rating of AAA (sf) to the Class A-1 L Loans issued by BlackRock Shasta Loan Trust VII, LLC pursuant to the Class A-1 L Credit Agreement dated as of December 8, 2021, among BlackRock Shasta Loan Trust VII, LLC (as Borrower), Capital One, National Association (as Lead Lender and Administrative Agent), U.S. Bank National Association (as Collateral Agent), and various financial institutions and other persons from time to time (as Lenders) and pursuant to the terms and conditions of the First Amendment to the Note Purchase and Security Agreement (the Amended NPSA) dated as of December 8, 2021, among the Borrower (as Issuer), the Collateral Agent (as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent), and the purchasers referred to therein.

The rating on the Class A-1 L Loans addresses the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the Amended NPSA) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Amended NPSA, in accordance with the terms and conditions and pursuant to the Amended NPSA and the Credit Agreement).

The Class A-1 L Loans issued by BlackRock Shasta Loan Trust VII, LLC are collateralized primarily by a portfolio of U.S. middle-market corporate loans. BlackRock Capital Investment Advisors, LLC (BlackRock Capital) will manage BlackRock Shasta Loan Trust VII, LLC. DBRS Morningstar considers BlackRock Capital an acceptable collateralized loan obligation (CLO) manager.

The ratings reflect the following primary considerations:

(1) The Credit Agreement and Amended NPSA, each dated as of December 8, 2021.
(2) The integrity of the transaction structure.
(3) DBRS Morningstar’s assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(5) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of BlackRock Capital.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by DBRS Morningstar. 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.

The Coronavirus Disease (COVID-19) and the resulting isolation measures have caused an immediate economic contraction, leading in some cases to increases in unemployment rates and income reductions for many borrowers. DBRS Morningstar anticipates that delinquencies may continue to increase in the coming months for many CLO transactions. The rating is based on additional analysis to expected performance as a result of the global efforts to contain the spread of the coronavirus.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit (February 8, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at [email protected].

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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