DBRS Assigns Rating of AAA (sf) to the Loans of Cerberus ICQ Levered LLC

DBRS, Inc. (DBRS) assigned a rating of AAA (sf) to the Loans of Cerberus ICQ Levered LLC (CICQ). The Loans are issued pursuant to a Credit Agreement dated as of May 8, 2019, among CICQ, as Borrower; the Lenders referred to therein; Cerberus ICQ Levered Loan Opportunities Fund, L.P. (Cerberus), as Servicer; Natixis, New York Branch, as Administrative Agent and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS), as Collateral Agent.

The rating on the Loans addresses the timely payment of interest, excluding any Excess Interest Amounts (as defined in the Credit Agreement) and the ultimate payment of principal on or before the Maturity Date (as defined in the Credit Agreement).

The Loans issued by CICQ will be collateralized primarily by a portfolio of U.S. middle-market corporate loans and will be serviced by Cerberus (an affiliate of Cerberus Business Finance). DBRS considers Cerberus to be an acceptable collateralized loan obligation (CLO) servicer.

The ratings reflect the following:
(1) The Credit Agreement dated May 8, 2019.
(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.

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 ratings to a facility.

DBRS notes that the above press release was amended on August 7, 2019, to remove an unnecessary disclosure. The amendment was minor and would not impact the understanding of the reader.

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

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

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

This rating is endorsed by DBRS Ratings Limited for use in the European Union. The following additional regulatory disclosures apply to endorsed ratings:

This rating concerns a newly issued financial instrument. This is the first DBRS rating on this financial instrument.

For further information on DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Lead Analyst: Joseph Priolo, Senior Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: May 8, 2019

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

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