DBRS Morningstar Discontinues Ratings on Class A Loans of ABPCI Direct Lending Fund CLO VII LP

DBRS, Inc. (DBRS Morningstar) discontinued its ratings of AA (sf) on the Class A-R Loans and Class A-T Loans (together, the Class A Loans) issued by ABPCI Direct Lending Fund CLO VII LP (ABPCI DLF CLO VII LP) up to the Total Class A-R Commitment of $50,000,000 and the Total Class A-T Commitment of $100,000,000. The discontinuations reflect full repayment of the Class A Loans.

The Class A Loans were issued pursuant to the Credit Agreement dated as of March 22, 2019, among ABPCI DLF CLO VII LP as Borrower; Natixis, New York Branch as Administrative Agent; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Collateral Agent, Collateral Administrator and Custodian; and the Lenders thereto.

The Class A Loans were collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations. ABPCI DLF CLO VII LP was managed by AB Private Credit Investors LLC (ABPCI), an affiliate of AllianceBernstein L.P. DBRS considers ABPCI to be an acceptable collateralized loan obligation (CLO) manager.

The ratings on the Class A Loans addressed the timely payment of interest up to the Interest Rate Cap (as defined in the Credit Agreement) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement).

The ratings reflected the following:

(1) The Credit Agreement dated March 22, 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.
(5) DBRS Morningstar’s assessment of ABPCI’s origination and CLO management capabilities.

To assess portfolio credit quality, DBRS Morningstar provided 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, which is used to assign ratings to a transaction.

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.

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

This is the first rating action since the Initial Rating Date.

For further information on DBRS 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: March 22, 2019

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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