DBRS Confirms and Assigns Ratings for the Class A-R Loans, Class A-T-1 Loans and Class A-T-2 Loans Issued by Cerberus ICQ Levered II LLC

DBRS, Inc. (DBRS) has today confirmed the ratings of AA (sf) on the Class A-R Loans and the Class A-T-1 Loans (formerly known as the Class A-T Loans) up to Total Class A-R Commitment of $200,000,000 issued by Cerberus ICQ Levered II LLC. Additionally, DBRS has assigned a rating of AA (sf) on the $100,000,000 Class A-T-2 Loans also issued by Cerberus ICQ Levered II LLC.

The Class A-R Loans and Class A-T-1 Loans were issued pursuant to the Credit Agreement dated as of November 6, 2015, among Cerberus ICQ Levered II LLC as Borrower; Cerberus ICQ Levered Loan Opportunities Fund, L.P. as Servicer; Natixis, New York Branch as Administrative Agent; and U.S. Bank National Association as Collateral Agent.

The rating actions reflect the execution of the Amendment No. 1 to Credit Agreement dated as of February 11, 2016. The amended language includes mechanics for the issuance of the Class A-T-2 Loans.

The rating confirmations by DBRS do 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 Class A-R Loans, Class A-T-1 Loans and Class A-T-2 Loans will be collateralized primarily by a portfolio of U.S. middle market corporate loans and other corporate obligations. Cerberus ICQ Levered II LLC is serviced by Cerberus ICQ Levered Loan Opportunities Fund, L.P., an affiliate of Cerberus Capital Management II, L.P.

The DBRS ratings address Cerberus ICQ Levered II 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 reflect the following:

(1) Amendment No. 1 to Credit Agreement, dated as of February 11, 2016.

(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 Capital Management II, L.P.

To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio where a public rating is not available. 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.

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

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

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

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