DBRS Assigns Provisional Rating to Class A-1 Notes Issued by ABPCI Direct Lending Fund CLO II Ltd

DBRS, Inc. (DBRS) has today assigned the following provisional rating to the Class A-1 Senior Secured Floating Rate Notes (the Class A-1 Notes) issued by ABPCI Direct Lending Fund CLO II Ltd pursuant to the Indenture dated as of [ ], 2017, among ABPCI Direct Lending Fund CLO II Ltd as Issuer; ABPCI Direct Lending Fund CLO II First Static Subsidiary Ltd as First Static Subsidiary; ABPCI Direct Lending Fund CLO II Second Static Subsidiary Ltd as Second Static Subsidiary; ABPCI Direct Lending Fund CLO II LLC as Co-Issuer; and U.S. Bank National Association as Trustee:

-- Class A-1 Notes at AAA (sf)

The provisional rating on the Class A-1 Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture referred to above).

The Notes issued by ABPCI Direct Lending Fund CLO II Ltd will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. ABPCI Direct Lending Fund CLO II Ltd will be managed by AB Private Credit Investors LLC.

The rating reflects the following:

(1) The draft Indenture dated [ ], 2017.

(2) The integrity of the transaction structure.

(3) DBRS’s assessment of the portfolio quality.

(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(5) DBRS’s assessment of the origination, servicing and collateralized loan obligation management capabilities of AB Private Credit Investors LLC as Collateral Manager.

To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio not rated by DBRS. 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. Assessing the priority of payments upon an Enforcement Event (as defined in the Indenture), Administrative Expenses senior to the Class A-1 Notes will be uncapped in the Enforcement Event Priority of Payments, which could impact DBRS’s rating to the Class A-1 Notes at that time. DBRS ran additional stresses on the recovery rates for certain Collateral Obligations in the pool, such as Qualified First Lien Loans and Senior Secured Loans with Senior Revolving Facilities.

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.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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