DBRS Morningstar Confirms Rating on Class A-1 L Loans Issued by BlackRock Shasta Senior Loan Fund VII, LLC (formerly, BlackRock Shasta Loan Trust VII, LLC)

DBRS, Inc. (DBRS Morningstar) confirmed its rating of AAA (sf) on the Class A-1 L Loans issued by BlackRock Shasta Senior Loan Fund VII, LLC (formerly, BlackRock Shasta Loan Trust VII, LLC) pursuant to the First Amendment to the Class A-1 L Credit Agreement (the Amended Credit Agreement), dated as of March 30, 2022, among BlackRock Shasta Senior Loan Fund VII, LLC (as Borrower), Capital One, N.A. (as Lead Lender and Administrative Agent), U.S. Bank Trust Company, 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 Second Amendment to the Note Purchase and Secured Agreement (the Amended NPSA), dated as of March 30, 2022, among the Borrower (as Issuer), the Collateral Agent (as Collateral Agent, Collateral Administrator, Information Agent, and Note Agent), U.S. Bank, National Association (as Custodian and Document Custodian), 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 in December 2032, in accordance with the terms and conditions and pursuant to the Amended NPSA and the Amended Credit Agreement.

In conjunction with the Amended Credit Agreement and Amended NPSA, the name of the Borrower and Issuer was changed to BlackRock Shasta Senior Loan Fund VII, LLC from BlackRock Shasta Loan Trust VII, LLC.

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

The rating reflects the following primary considerations:

(1) The Amended Credit Agreement and the Amended NPSA, each dated as of March 30, 2022.
(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.

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.

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 are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), 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/384150.

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.

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

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