DBRS Finalizes Provisional Ratings on the Senior Funding Facility and the Mezzanine Funding Facility of Bain Capital Credit WH Barclays 1, Limited

DBRS, Inc. (DBRS) finalized the following provisional ratings on the Senior Funding Facility and the Mezzanine Funding Facility (together, the Facilities) of Bain Capital Credit WH Barclays 1, Limited:

-- Senior Funding Facility due January 2027 rated A (sf)
-- Mezzanine Funding Facility due January 2027 rated BBB (low) (sf)

The ratings on the Facilities are being finalized pursuant to the Warehouse Agreement, dated as of January 29, 2018, between Bain Capital Credit WH Barclays 1, Limited as Borrower; Barclays Bank PLC, New York Branch (Barclays) as Facility Agent; Bain Capital Credit CLO Advisors, LP (Bain) as Collateral Manager; and Wells Fargo Bank, National Association as Collateral Administrator, Securities Intermediary and Security Agent.

The Borrower is a limited liability company incorporated under the laws of the Cayman Islands. This transaction is set up as a cash flow securitization, which will be collateralized by a portfolio of leveraged loans subject to Collateral Quality and Portfolio Profile Tests. As of the finalized rating date, the transaction consists of approximately $47.37 million of senior secured term loans to 33 unique obligors, and the Borrower will continue to draw on the Facilities based on a predetermined schedule. Bain will act as the Collateral Manager of the Borrower.

The Borrower will start to draw on the Facilities based on a predetermined schedule. Upon each drawing request, the Collateral Manager will comply with certain portfolio tests. The warehouse will have a reinvestment period end date in January 2019, followed by an amortization period. The warehouse will reach its maturity date at the earliest of: the CLO Closing Date, the Scheduled Maturity Date in January 2027 or the date upon which the final payment on the last of the collateral of the portfolio has been received.

An early maturity date can be caused by an Optional Early Maturity Date (no earlier than 12 months after the reinvestment period end date) or at the sole option of the Instructing Lender (Barclays) following an EOD. Under the Warehouse Agreement, upon an occurrence of (and during the continuation of) an Event of Default, the Instructing Lender (Barclays) may, in its sole option, elect to designate an Acceleration Date and liquidate the portfolio, which could adversely affect the Mezzanine Lenders and potentially affect ratings volatility on the Mezzanine Funding Facility.

The rating on the Senior Funding Facility addresses the timely payment of the Senior Base Interest Amount and Senior Additional Payment Amounts, and the ultimate payment of Senior Funding Amounts on or before the Scheduled Maturity Date in January 2027. The rating on the Mezzanine Funding Facility addresses the ultimate payment of the Mezzanine Base Interest Amount and Mezzanine Additional Payment Amounts, and the ultimate payment of the Mezzanine Funding Amounts on or before the Scheduled Maturity Date in January 2027. For the avoidance of doubt, these ratings do not address the Senior Additional Interest Amount or the Mezzanine Additional Interest Amount (all capitalized terms, as defined in the Warehouse Agreement referenced above).

To assess portfolio credit quality, DBRS will provide a credit estimate or internal assessment for each corporate obligor not publicly rated in the portfolio. Credit estimates are not ratings; rather, they represent a primarily model-driven default probability for each obligor that is used in assigning ratings to the 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.

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.