DBRS Confirms the Class A-R Loans and Class A-T Loans Issued by Cerberus FSBA Levered LLC

DBRS, Inc. (DBRS) confirmed the ratings of AA (sf) on the Class A-R Loans and Class A-T Loans (together, the Loans) issued by Cerberus FSBA Levered LLC. The Loans were issued pursuant to the Credit Agreement dated as at October 11, 2016 (as amended by Amendment No. 1 dated as at July 26, 2017), among Cerberus FSBA Levered LLC as Borrower; Cerberus FSBA Holdings LLC as Servicer; Natixis, New York Branch as Administrative Agent; and U.S. Bank National Association as Collateral Agent and Custodian.

The confirmation of the ratings on the Loans reflects the execution of the Amendment No. 2 to the Credit Agreement dated as of March 6, 2018 (the Amendment), which decreases the total commitment permitted under the Loans from $300,000,000 to $125,000,000. The Amendment also extends the Reinvestment Period to March 2020, extends the Maximum Weighted Average Life Test to six years from the date of this Amendment and extends the Final Maturity Date to March 2027 (nine years from the date of this Amendment).

The ratings address Cerberus FSBA 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 Loans will be collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations. Cerberus FSBA Levered LLC is serviced by Cerberus FSBA Holdings LLC, an affiliate of Cerberus Capital Management II, L.P.

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 ratings reflect the following:

(1) Amendment No. 2 to the Credit Agreement, dated as of March 6, 2018.

(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 FSBA Holdings LLC.

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 Loans.

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

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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