DBRS Confirms Cerberus ICQ Levered LLC Class A-R Loans at AA (sf) and Assigns AA (sf) Rating on Class A-T Loans

DBRS Inc. (DBRS) has today confirmed the rating of AA (sf) on the Class A-R Loans (formerly known as “Loans”) up to the Total Class A-R Commitment of $130,000,000) and has assigned the rating of AA (sf) to the Class A-T Loans (up to the Total Class A-T Commitment of $100,000,000) issued by Cerberus ICQ Levered LLC.

The Class A-R Loans and Class A-T Loans were issued pursuant to the Amended and Restated Credit Agreement dated as of December 18, 2014, among Cerberus ICQ Levered LLC as Borrower, Cerberus ICQ Levered Loan Opportunities Fund, L.P., Natixis, New York Branch as Administrative Agent, and Wells Fargo Bank, National Association as Collateral Agent.

The DBRS ratings address the timely payment of interest and ultimate payment of principal on or before the Final Maturity Date (as defined in the Amended and Restated Credit Agreement referred to above).

The rating actions were taken to reflect the impact of the execution of the Amended and Restated Credit Agreement dated as of December 18, 2014. The amended language included the mechanics to convert the Existing Loans to the Class A-R Loans and issue the Class A-T Loans, and increase the Commitments. 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) Amended and Restated Credit Agreement, dated as of December 18, 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.

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

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.