DBRS Confirms Ratings for the Class A-R and Class A-T-1 Loans at AA (sf) and Discontinues Rating for the Class A-T-2 Loans Issued by Cerberus ICQ Levered II LLC

DBRS, Inc. (DBRS) has today confirmed the AA (sf) ratings on the Class A-R Loans and Class A-T-1 Loans issued by Cerberus ICQ Levered II LLC up to the Total Class A-R Commitment of $200,000,000. Additionally, DBRS has discontinued its rating on the Class A-T-2 Loans issued by Cerberus ICQ Levered II LLC, which reflects the payment in full of the Class A-T-2 Loans.

The Class A-R Loans, the Class A-T-1 Loans and the Class A-T-2 Loans were issued pursuant to the Credit Agreement dated as of November 6, 2015 (as amended by Amendment No. 1, dated as of February 11, 2016), 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; U.S. Bank National Association as Collateral Agent; and the Lenders party thereto.

The confirmation of the ratings on the Class A-R Loans and Class A-T-1 Loans and the discontinuation of the rating on the Class A-T-2 Loans reflect the execution of Amendment No. 2 to the Credit Agreement dated as of September 7, 2016, which extends the Final Maturity Date and Reinvestment Period and defines the conditions to be satisfied in the Borrower’s sale of Collateral Loans to prepay the Class A-T-2 Loans in full.

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 Class A-R Loans and Class A-T-1 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. 2 to the Credit Agreement, dated as of September 7, 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 Class A-R Loans and Class A-T-1 Loans.

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.