DBRS Confirms AA (sf) Rating on the Loans issued by Cerberus ICQ Levered LLC

DBRS, Inc. (“DBRS”) has today confirmed a rating of AA (sf) on the Loans contemplated to be issued under Cerberus ICQ Levered LLC up to a Total Commitment of $150,000,000 pursuant to the Credit Agreement dated as of February 27, 2014. The Loans are collateralized primarily by a portfolio of U.S. middle market corporate loans and other corporate obligations. Cerberus ICQ Levered LLC is serviced by Cerberus ICQ Levered Loan Opportunities Fund, L.P., an affiliate of Cerberus Capital Management II, L.P. The DBRS rating addresses Cerberus ICQ Levered LLC’s ability to make timely payments of interest and ultimate payment of principal on or before the Final Maturity Date (as defined in the Credit Agreement referred to above).

The rating actions were taken to reflect the impact of the execution of Amendment No. 2 to Credit Agreement and Amendment No.1 to the Master Transfer Agreement dated as of August 20, 2014. The amended language included extension of the Maximum Weighted Average Life Test, amended Concentration Limitations to increase the exception thresholds of the Obligor and Approved Foreign Jurisdiction buckets, and also amended the Collateral Quality Matrix Recovery Rate Level column, among other changes.

The execution of the proposed amendment will not in and of itself result in the ratings being downgraded or discontinued. The rating confirmation by DBRS does not signify the approval of the amendment by DBRS or an opinion by DBRS as to whether the amendment is beneficial or detrimental to the holders of the securities.

The rating actions reflect the following:

(1) Amendment No.2 To Credit Agreement and Amendment No.1 to the Master Transfer Agreement, dated as of August 20, 2014

(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 CLO management capabilities of Cerberus ICQ Levered Loan Opportunities Fund, L.P.

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 Notes.

The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies.

This credit rating has been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.

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