DBRS Morningstar Assigns New Ratings to Notes Issued by BlackRock DLF IX 2019-G CLO, LLC

DBRS, Inc. (DBRS Morningstar) assigned new ratings of AAA (sf) to the Class A-1 Notes, AA (sf) to the Class A-2 Notes, A (sf) to the Class B Notes, BBB (sf) to the Class C Notes, BB (sf) to the Class D Notes, B (sf) to the Class E Notes and BBB (low) (sf) to the Combination Notes issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer), pursuant to the Note Purchase and Security Agreement (NPSA) dated as of October 16, 2019, among the Issuer, U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent and Note Agent, and the Purchasers referred to therein.

The ratings on the Class A-1 Notes and on the Class A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA referred to above) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2029. The ratings on the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA referred to above) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2029.

The rating on the Combination Notes addresses the ultimate repayment of the Combination Note Rated Principal Balance (which is equal to the Commitment amount for the Combination Notes) on or before the Stated Maturity of October 16, 2029. The Combination Notes have no stated coupon. The Components of the Combination Notes include portions of the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes and Subordinated Notes (or equity) of the Issuer (for more information, see the Components and Combination Notes section in the related report).

All interest and principal amounts paid on the Secured Notes and any distributions made to the Subordinated Notes are the only sources of payment for the Combination Notes. All payments made on the Component Notes (whether interest, principal or otherwise) to the Combination Notes shall reduce the Combination Note Rated Principal Balance. The Combination Notes shall remain outstanding until the earlier of (1) the payment in full and redemption of each Component and (2) the Stated Maturity of each Component.

The principal methodology used to rate the Secured Notes and Combination Notes is “Rating CLOs and CDOs of Large Corporate Credit,” which can be found on dbrs.com under Methodologies & Criteria. The Combination Notes were stressed by applying the BBB (low) stress scenario under the “Rating CLOs and CDOs of Large Corporate Credit” methodology to the loans securing the Component Notes.

The notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA to be an acceptable collateralized loan obligation (CLO) manager.

The ratings reflect the following:

(1) The NPSA dated as of October 16, 2019;
(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; and
(5) DBRS Morningstar’s assessment of the origination, servicing and CLO management capabilities of BCIA.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio that is 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 a facility.

Notes:
The principal methodology is Rating CLOs and CDOs of Large Corporate Credit, which can be found on dbrs.com under Methodologies & Criteria.

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.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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

This rating concerns a newly issued financial instrument. This is the first DBRS Morningstar rating on this financial instrument.

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.

Lead Analyst: Joseph Priolo, Senior Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: October 17, 2019

DBRS Morningstar will publish a full report shortly that will provide additional analytical detail on this rating action. If you are interested in receiving this report, contact us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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