DBRS Morningstar Confirms Ratings of the Class A-R Loans and Class A-T Loans Issued by BTC Holdings Fund I, LLC

DBRS, Inc. (DBRS Morningstar) confirmed the following ratings to the Class A-R Loans and Class A-T Loans (together, the Class A Loans) issued by BTC Holdings Fund I, LLC:

-- Class A-R Loans rated AA (sf)
-- Class A-T Loans rated AA (sf)

The Class A Loans are issued pursuant to the Credit Agreement, dated as of March 25, 2019, among the Borrower; the Lenders referred to herein; Natixis, New York Branch as Administrative Agent; and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Collateral Agent and Custodian.

The ratings on the Class A Loans address the timely payment of interest (excluding any Excess Interest Amounts) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Credit Agreement referred to above).

The Class A Loans issued by BTC Holdings Fund I, LLC will be collateralized primary by a portfolio of U.S. middle-market corporate loans. BTC Holdings Fund I, LLC will be managed by Blue Torch Credit Opportunities Fund I LP (Blue Torch Capital). DBRS Morningstar considers Blue Torch Capital to be an acceptable collateralized loan obligation manager.

The ratings reflect the following:

(1) The Credit Agreement dated March 25, 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 the origination, servicing, and collateralized loan obligation 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.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodology is Rating CLOs and CDOs of Large Corporate Credit (February 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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 (DBRS Morningstar) 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 March 25, 2019.

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: Arthur Krivoruk, Analyst, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: March 25, 2019

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

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

Rating CLOs and CDOs of Large Corporate Credit (February 2020)
https://www.dbrsmorningstar.com/research/357452/rating-clos-and-cdos-of-large-corporate-credit
Cash Flow Assumptions for Corporate Credit Securitizations (February 2020)
https://www.dbrsmorningstar.com/research/357453/cash-flow-assumptions-for-corporate-credit-securitizations
Legal Criteria for U.S. Structured Finance (January 2020)
https://www.dbrsmorningstar.com/research/355719/legal-criteria-for-us-structured-finance
Interest Rate Stresses for U.S. Structured Finance Transactions (June 2019) https://www.dbrsmorningstar.com/research/346283/interest-rate-stresses-for-us-structured-finance-transactions
Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits (September 2019)
https://www.dbrsmorningstar.com/research/350807/operational-risk-assessment-for-collateralized-loan-obligation-clo-and-collateralized-debt-obligation-cdo-managers-of-large-corporate-credits
DBRS CLO Asset Model (June 2018)
https://www.dbrsmorningstar.com/models/?model=DBRSCLOAssetModel