DBRS Morningstar Confirms Ratings on the Class A-R Loans and Class A-T Loans of ABPCIC Funding III LLC

DBRS, Inc. (DBRS Morningstar) confirmed its ratings of AA (sf) on the Class A-R Loans and the Class A-T Loans (together, the Class A Loans) issued by ABPCIC Funding III LLC, pursuant to the Credit Agreement dated March 24, 2021 (as amended by Amendment No.1 to the Credit Agreement dated July 1, 2021; Amendment No.2 dated November 5, 2021; Amendment No.3 dated February 7, 2022; Amendment No.4 dated March 7, 2022; Amendment No.5 dated May 27, 2022; and Amendment No.6 dated September 30, 2022) (the Credit Agreement), among ABPCIC Funding III LLC, as the Borrower; Natixis, New York Branch, as the Administrative Agent; U.S. Bank National Association, as the Collateral Agent, Collateral Administrator, and Custodian; and the Lenders referred to therein.

The ratings on the Class A Loans address 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).

With respect to the confirmations of the Class A Loans, the rating rationale reflects the execution of Amendment No.6 to the Credit Agreement, dated as of September 30, 2022, entered into by and among ABPCIC Funding III LLC; Natixis, New York Branch; U.S. Bank National Association; and the Lenders referred to therein, as well as the performance of the transaction to date.

The Class A Loans are collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations. ABPCIC Funding III LLC is managed by AB Private Credit Investors LLC (ABPCI), an affiliate of AllianceBernstein L.P. DBRS Morningstar considers ABPCI an acceptable collateralized loan obligation (CLO) manager.

The ratings reflect the following primary considerations:

(1) Amendment No.6 to the Credit Agreement, dated September 30, 2022.
(2) The Credit Agreement dated March 24, 2021, as amended from time to time.
(3) The integrity of the transaction structure.
(4) DBRS Morningstar’s assessment of the portfolio quality.
(5) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(6) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of ABPCI.

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.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19), please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update,” published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

There were no Environmental, Social, or Governance factors 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 www.dbrsmorningstar.com/research/396929 (May 17, 2022).

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

The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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: https://www.dbrsmorningstar.com/research/384482.

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.

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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