DBRS Morningstar Discontinues Its Rating on Class A-1 Notes Issued by ABPCI Direct Lending Fund CLO II Ltd

On May 28, 2021, DBRS, Inc. (DBRS Morningstar) discontinued its rating on the Class A-1 Senior Secured Floating Rate Notes (the Class A-1 Notes) issued by ABPCI Direct Lending Fund CLO II Ltd pursuant to the Indenture dated as of July 12, 2017, among ABPCI Direct Lending Fund CLO II Ltd, as Issuer; ABPCI Direct Lending Fund CLO II First Static Subsidiary Ltd, as First Static Subsidiary (a subsidiary of the Issuer); ABPCI Direct Lending Fund CLO II Second Static Subsidiary Ltd, as Second Static Subsidiary (a subsidiary of the Issuer); ABPCI Direct Lending Fund CLO II LLC, as Co-Issuer; and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar), as Trustee.

The discontinuation reflects the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture).

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19), please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

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 methodologies were Rating CLOs and CDOs of Large Corporate Credit (February 8, 2021) and Cash Flow Assumptions for Corporate Credit Securitizations (February 8, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereigns group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts with the baseline scenarios 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.

This rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed ratings:

Each of the principal asset class methodologies employed in the analysis addressed one or more particular risks or aspects of the rating and were factored into the rating decision. The “CLOs and CDOs of Large Corporate Credit ” provides an general overview of the entire rating process and details on asset analysis. The “Cash Flow Assumptions for Corporate Credit Securitization Methodology” outlines the assumptions and analytical approach used in cash flow analysis.

The last rating action on this transaction took place on July 27, 2020.

For further information on DBRS Morningstar 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. DBRS Morningstar understands further information on DBRS Morningstar historical default rates may be published by the Financial Conduct Authority (FCA) on its webpage: https://www.fca.org.uk/firms/credit-rating-agencies.

Lead Analyst: Quan Yoon, Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit
Initial Rating Date: June 2, 2017

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

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-- Rating CLOs and CDOs of Large Corporate Credit and CLO Asset Model Version 2.2.3 (February 8, 2021),
https://www.dbrsmorningstar.com/research/373423

-- Cash Flow Assumptions for Corporate Credit Securitizations (February 8, 2021),
https://www.dbrsmorningstar.com/research/373422

-- Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits (September 22, 2020), https://www.dbrsmorningstar.com/research/366977

-- Interest Rate Stresses for U.S. Structured Finance Transactions (October 23, 2020),
https://www.dbrsmorningstar.com/research/368786

-- Legal Criteria for U.S. Structured Finance (December 21, 2020), https://www.dbrsmorningstar.com/research/371685

-- DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (February 3, 2021), https://www.dbrsmorningstar.com/research/373262