KBRA Assigns Preliminary Ratings to ABPCI Direct Lending Fund ABS II LLC

KBRA assigns preliminary ratings to four classes of notes issued by ABPCI Direct Lending Fund ABS II LLC (ABPCI DLF ABS II), a securitization backed by a portfolio of primarily recurring revenue and middle market corporate loans.

ABPCI DLF ABS II is a $450.0 million securitization managed by AB Private Credit Investors LLC (“AB-PCI” or the “Collateral Manager”), an investment adviser and a subsidiary of Alliance Bernstein L.P. The securitization consists of $200.0 million Class A-1 floating-rate notes, $72.25 million of Class A-2 fixed-rate notes, $45.0 million of Class B fixed-rate notes, $31.5 million of Class C fixed-rate notes and $105.85 million of subordinated notes, which expect to receive payments from a portfolio of recurring revenue loans (“RRLs”), middle market loans (“MMLs”), and a small portion of hybrid asset-based loans (“HABLs”).

The collateral in ABPCI DLF ABS II may contain up to 70% RRLs and HABLs combined. The RRL strategy focuses on first-lien senior loans to software and technology companies with a minimum level of recurring revenue and low loan-to-value (LTV) ratios. Despite the low level of earnings, the obligors in the portfolio usually have strong liquidity profiles and loan covenants. The portfolio presented to KBRA contains exposures to 46 obligors and has an overall K-WARF of 3806, which equates to a weighted average portfolio assessment between B- and CCC+.

AB Private Credit Investors LLC is an investment adviser and a subsidiary of AllianceBernstein L.P. established in 2014. AllianceBernstein L.P. is a global asset manager with $751 billion in assets under management including $306 billion in fixed income AUM. AB-PCI currently manages over $3.2 billion in middle market CLOs. AB-PCI has committed approximately $6 billion within the technology and software industry vertical.

KBRA’s preliminary ratings on the Class A-1, A-2, and B Notes considers timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s preliminary rating on the Class C Notes considers ultimate payment of interest and principal by the applicable stated maturity date.

KBRA analyzed the transaction using the Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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