DBRS Morningstar Assigns Rating to the Class A-T Loans and Confirms Rating on the Class A-R Loans Issued by Cerberus Onshore Levered IV LLC

DBRS, Inc. (DBRS Morningstar) assigned a rating of AA (sf) to the Class A-T Loans issued by Cerberus Onshore Levered IV LLC (the Issuer), up to the total commitment permitted under the Class A-T Loans of $100,000,000. DBRS Morningstar also confirmed the rating of AA (sf) on the Issuer’s Class A-R Loans (together with the Class A-T Loans, the Loans), up to the total commitment permitted under the Class A-R Loans of $200,000,000.

The rating actions are being taken pursuant to the execution of the Amendment and Commitment Increase Agreement, dated as of October 11, 2019 (the Amendment Date), which modifies the Credit Agreement dated as of July 16, 2019 (as previously amended and modified by the Commitment Increase Agreement, dated as of September 23, 2019), among Cerberus Onshore Levered IV LLC, as Borrower; Cerberus Levered IV Holdings LLC, as Servicer and Retention Provider; the Lenders referred to therein; Natixis, New York Branch, as Administrative Agent; and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar), as Collateral Agent and Custodian.

The ratings on the Loans address the timely payment of interest and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Credit Agreement referred to above).

The Loans issued by Cerberus Onshore Levered IV LLC will be collateralized primary by a portfolio of U.S. middle-market corporate loans. Cerberus Onshore Levered IV LLC will be serviced by Cerberus Levered IV Holdings LLC, an affiliate of Cerberus Capital Management II, L.P. DBRS Morningstar considers the Servicer to be an acceptable collateralized loan obligation servicer.

The above ratings reflect the following primary considerations:

(1) The Amendment and Commitment Increase Agreement, dated as of October 11, 2019.
(2) The Credit Agreement dated July 16, 2019, as amended and modified by the Amendment and Commitment Increase Agreement and as previously amended and modified by the Commitment Increase Agreement.
(3) The integrity of the transaction structure.
(4) DBRS Morningstar’s assessment of the portfolio quality.
(5) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(6) DBRS Morningstar’s assessment of the origination, servicing and collateralized loan obligation management capabilities of the Servicer.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio not rated by DBRS Morningstar. 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.

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 & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar 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 Morningstar rating on this financial instrument.

This is the first rating action since the Initial Rating Date.

For further information on DBRS Morningstar 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: Quan Yoon, Assistant Vice President, U.S. Structured Credit
Rating Committee Chair: Jerry van Koolbergen, Managing Director, U.S. Structured Credit
Initial Rating Date: July 16, 2019

For more information on this credit or on this industry, visit www.dbrs.com or contact us at [email protected].

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