DBRS Morningstar Finalizes and Confirms Ratings on Notes Issued by TCP DLF VIII 2018 CLO, LLC

DBRS, Inc. (DBRS Morningstar) finalized the provisional ratings on the Class A-1 Notes and Combination Notes at AAA (sf) and BBB (low) (sf), respectively, and confirmed the ratings on the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes (collectively, the Notes) at AA (sf), A (sf), BBB (sf), BB (sf) and B (sf), respectively, issued by TCP DLF VIII 2018 CLO, LLC (the Issuer) pursuant to the Note Purchase and Security Agreement dated as of February 28, 2018, among TCP DLF VIII 2018 CLO, LLC as Issuer; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Collateral Agent, Custodian, Collateral Administrator, Information Agent and Note Agent; and the Purchasers referred to therein.

The ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate as defined in the Note Purchase and Security Agreement) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Note Purchase and Security Agreement). The ratings on the Class B Notes, Class C Notes, Class D Notes and Class E Notes address the ultimate payment of interest (excluding the additional 1% of interest payable at the Post-Default Rate as defined in the Note Purchase and Security Agreement) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Note Purchase and Security Agreement). The rating on the Combination Notes addresses the ultimate repayment of the Combination Note Rated Principal Balance (as defined in the Note Purchase and Security Agreement) on or before the Stated Maturity (as defined in the Note Purchase and Security Agreement). The Combination Notes have no stated Coupon.

The Notes issued by the Issuer will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Series I of SVOF/MM, LLC (the Collateral Manager), a consolidated subsidiary of Tennenbaum Capital Partners, LLC. DBRS Morningstar considers Series I of SVOF/MM, LLC to be an acceptable collateralized loan obligation manager.

The Combination Notes shall consist of a portion of the principal amount (the Components) of the initial original principal amounts of each of the Class A-2 Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes and Subordinated Notes (the Underlying Classes). Each Component of the Combination Notes will be treated as Notes of the respective Underlying Class. Payments on any Underlying Class shall be allocated to the relevant Combination Notes in the proportion that the outstanding principal amount of the applicable Component bears to the outstanding principal amount of such Underlying Class as a whole (including all related Components). Each Component of the Combination Notes shall bear interest and shall receive payments in the same manner as the related Underlying Class and each Component shall mature and be payable on the Stated Maturity in the same manner as the related Underlying Class.

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 (a) the payment in full and redemption of each Component or (b) 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.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each non-financial 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.

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

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:

The last rating action on this transaction took place on February 28, 2019, when DBRS Morningstar confirmed the provisional ratings on the Class A-1 Notes and Combination Notes at AAA (sf) and BBB (low) (sf).

This rating included participation by the rated entity or any related third party. DBRS Morningstar had access to accounts, management and other relevant internal documents for the rated entity or a related third party.

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: Quan Yoon, Assistant Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit
Initial Rating Date: February 28, 2018

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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