Press Release

DBRS Morningstar Assigns Provisional Credit Ratings to BTC Holdings Fund III LLC

Structured Credit
July 21, 2023

DBRS, Inc. (DBRS Morningstar) assigned the following provisional credit ratings to the Class A-D Loans, the Class A-R Loans, and the Class A-T Loans (together, the Loans) issued by BTC Holdings Fund III LLC, pursuant to the Credit Agreement dated July 19, 2023, entered into by BTC Holdings Fund III LLC as the Borrower; Natixis, New York Branch, as the Administrative Agent; Citibank, N.A. as the Collateral Agent; Alter Domus (US) LLC as the Collateral Administrator and Collateral Custodian; and the Lenders party thereto:

-- Class A-D Loans at AA (sf)
-- Class A-R Loans at AA (sf)
-- Class A-T Loans at AA (sf)

The provisional credit ratings on the Loans address the timely payment of interest (excluding the Excess Interest Amounts and the additional 2% interest payable at the Post-Default Rate, as defined in the Credit Agreement) and the ultimate repayment of principal on or before the Stated Maturity (as defined in the amended Credit Agreement).


The Loans are collateralized primary by a portfolio of U.S. middle-market corporate loans. BTC Holdings Fund III LLC is managed by Blue Torch Credit Opportunities Fund II LP (Blue Torch Capital). DBRS Morningstar considers Blue Torch Capital to be an acceptable collateralized loan obligation (CLO) manager.

The ratings reflect the following primary considerations:

(1) The Credit Agreement, dated as of July 19, 2023.
(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 Blue Torch 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 ratings to a facility.

DBRS Morningstar’s credit ratings on the Loans address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations include the interest at the Applicable Rate, Commitment Fees, and principal amounts of the Loans (each capitalized term as defined in the Credit Agreement).

DBRS Morningstar’s credit ratings do not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction document(s) that are not financial obligations. For example, the ratings on the Loans do not address Excess Interest Amounts, the additional 2% interest payable at the Post-Default Rate, Increased Costs, nor Make-Whole Fees, as these amounts are not paid on specifiable dates and they are contingent liabilities.

DBRS Morningstar’s long-term credit ratings provide opinions on risk of default. DBRS Morningstar considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign
economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023
Update”, published on June 30, 2023 ( These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which
were first published in April 2020.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the coronavirus, please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)”:

There were no Environmental/ Social/ Governance factor(s) that had a significant or relevant effect on the credit analysis

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 (July 4, 2023).

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

The principal methodologies applicable to the credit ratings are “Rating CLOs and CDOs of Large Corporate Credit” (February 7, 2023; and “Cash Flow Assumptions for Corporate Credit Securitizations” (February 7, 2023;

Other methodologies referenced in this transaction are listed at the end of this press release.

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:

The rating was initiated at the request of the rated entity.
The rated entity or its related entities did participate in the rating process for this rating action.
DBRS Morningstar had access to the accounts, management and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
This is a solicited credit rating.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at:

-- Rating CLOs and CDOs of Large Corporate Credit and DBRS Morningstar CLO Asset Model Version (February 7, 2023),
-- Cash Flow Assumptions for Corporate Credit Securitizations (February 7, 2023),
-- Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits (September 23, 2022),
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
-- Legal Criteria for U.S. Structured Finance (December 7, 2022),

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