DBRS Confirms Cerberus PSERS Levered LLC’s Class A-R and Class A-T Loans Ratings at AA (sf)

DBRS, Inc. (DBRS) has today confirmed the AA (sf) ratings on the Class A-R Loans and the Class A-T Loans (together, the Loans) issued by Cerberus PSERS Levered LLC up to the total commitment permitted under the Loans of $250,000,000.

The Loans were issued pursuant to the Credit Agreement dated as of November 12, 2015, among Cerberus PSERS Levered LLC as Borrower; Cerberus PSERS 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 confirmations reflect the execution of the Amendment No. 1 to Credit Agreement dated as of March 1, 2016.

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 Loans will be collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations. Cerberus PSERS Levered LLC is serviced by Cerberus PSERS Levered Loan Opportunities Fund, L.P., an affiliate of Cerberus Capital Management II, L.P.

The DBRS ratings address Cerberus PSERS 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 confirmations reflect the following:

(1) Amendment No. 1 to Credit Agreement, dated as of March 1, 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 collateralized loan obligation 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.