DBRS Morningstar Confirms Ratings on Notes Issued by BlackRock DLF IX 2019-G CLO, LLC

DBRS, Inc. (DBRS Morningstar) confirmed the following ratings on the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes (together, the Secured Notes) issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer) and also confirmed the rating on the Issuer’s Class W Notes (together with the Secured Notes, the Notes) pursuant to the Amended and Restated Note Purchase and Security Agreement (the NPSA) dated as of December 23, 2020, as amended by the Amendment Agreement (the Amendment), dated as of August 18, 2023, among the Issuer; U.S. Bank Trust Company, National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent, Collateral Administrator, Information Agent, and Note Agent; U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as Custodian and Document Custodian and the Purchasers referred to therein:

Class A-1 Notes: AAA (sf)
Class A-2 Notes: AA (sf)
Class B Notes: A (high) (sf)
Class C Notes: A (sf)
Class D Notes: BBB (sf)
Class E Notes: BB (sf)
Class W Notes: B (sf)

The ratings on the Class A-1 Notes and Class A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2031. The ratings on the Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class W Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2031.

The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is 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.

CREDIT RATING RATIONALE/DESCRIPTION
The rating actions are a result of the execution of the Amendment. The Amendment transitions the transaction’s Benchmark to SOFR from Libor, makes changes to the Collateral Quality Matrix, and extends the Reinvestment Period, the Stated Maturity, and the Weighted-Average Life (WAL) test by two years, among other changes. The Reinvestment Period ends on October 16, 2025. The Stated Maturity is October 16, 2031.

In its analysis, DBRS Morningstar considered the following aspects of the transaction:

(1) The transaction’s capital structure and the form and sufficiency of available credit enhancement.
(2) Relevant credit enhancement in the form of subordination and excess spread.
(3) The ability of the Notes to withstand projected collateral loss rates under various cash flow stress scenarios.
(4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests.
(5) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of BCIA.
(6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance” methodology (the Legal Criteria).

The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule G of the NPSA). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: DBRS Morningstar Risk Score, Advance Rate, Weighted-Average Recovery Rate (WARR), and Weighted-Average Spread (WAS) Level. DBRS Morningstar analyzed each structural configuration as a unique transaction, and all configurations (rows) passed the applicable DBRS Morningstar rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar utilized in its base case analysis are presented below.

(1) Class A-2 overcollateralization (OC): 143.97%
(2) Class B OC: 132.18%
(3) Class C OC: 125.71%
(4) Class D OC: 119.01%
(5) Class E OC: 110.28%
(6) WAS: 5.75%
(7) DBRS Morningstar Risk Score: 39.00%
(8) WARR: 47.50%
(9) DScore: 25
(10) WAL: 6.5 years

The transaction is performing according to the parameters set in the amended NPSA. As of July 17, 2023, the Borrower is in compliance with all coverage and collateral quality tests and there were $3,155,137 defaulted obligations registered in the portfolio. The current credit quality of the portfolio is reflected in the actual DBRS Morningstar Risk Score of 37.99.

Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans, (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 41 versus test level of 25), and (3) the Collateral Manager’s expertise in CLOs and overall approach to the selection of Collateral Obligations.

Some challenges were identified in that (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM) and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default.

DBRS Morningstar analyzed the amended transaction using the DBRS Morningstar CLO Asset Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in the DBRS Morningstar rating methodology “Cash Flow Assumptions for Corporate Credit Securitizations.” Model-based analysis produced satisfactory results, which supported the confirmation of the ratings on the Secured Notes.

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, please see its May 18, 2020, commentary titled “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 June 30, 2023 commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update” at https://www.dbrsmorningstar.com/research/416703. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which
were first published in April 2020.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/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 https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

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

The principal methodologies applicable to the ratings are Rating CLOs and CDOs of Large Corporate Credit (February 7, 2023; www.dbrsmorningstar.com/research/409498) and Cash Flow Assumptions for Corporate Credit Securitizations (February 7, 2023; www.dbrsmorningstar.com/research/409499).

Other methodologies referenced in this transaction are listed at the end of this press release.

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 credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

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

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed credit ratings:

Each of the principal asset class methodologies employed in the analysis addressed one or more particular risks or aspects of the credit rating and were factored into the credit rating decision. Specifically, the “Rating CLOs and CDOs of Large Corporate Credit” (February 7, 2023) methodology provides a general overview of the entire rating process and details on asset analysis. The “Cash Flow Assumptions for Corporate Credit Securitizations” (February 7, 2023) methodology outlines the assumptions and analytical approach used in cash flow analysis.

The last credit rating action on this transaction took place on January 5, 2023, when DBRS Morningstar confirmed its ratings on the Notes.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication/.
.
For further information on DBRS Morningstar historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Joseph Priolo, Senior Vice President, U.S. Structured Credit
Rating Committee Chair: Glen Leppert, Senior Vice President, U.S. Structured Credit
Initial Rating Date: October 17, 2019

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

The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

-- Rating CLOs and CDOs of Large Corporate Credit and DBRS Morningstar CLO Asset Model Version 2.2.3.1 (February 7, 2023), www.dbrsmorningstar.com/research/409498

-- Cash Flow Assumptions for Corporate Credit Securitizations (February 7, 2023),
www.dbrsmorningstar.com/research/409499

-- Legal Criteria for U.S. Structured Finance (December 7, 2022), https://www.dbrsmorningstar.com/research/407008

-- Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits (September 23, 2022), https://www.dbrsmorningstar.com/research/403042

-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023),
www.dbrsmorningstar.com/research/415687

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