DBRS Morningstar Confirms AA (sf) Ratings on Class A-R and Class A-T Loans Issued by Cerberus PSERS Levered LLC

DBRS, Inc. (DBRS Morningstar) confirmed the AA (sf) ratings on the Class A-R Loans and Class A-T Loans (together, the Loans) issued by Cerberus PSERS Levered LLC up to the total commitment of $220,000,000 permitted under the Loans.

The Loans were issued pursuant to the Credit Agreement dated as of November 12, 2015 (as amended by Amendment No. 1 dated as of March 1, 2016; Amendment No. 2 dated as of August 30, 2016; Amendment No. 3 dated as of November 17, 2016; Amendment No. 4 dated as of May 15, 2017; Amendment No. 5 dated as of December 8, 2017; Amendment No. 6 dated as of August 16, 2018; and Amendment No. 7 dated as of November 20, 2018), among Cerberus PSERS Levered LLC as Borrower; Cerberus PSERS Levered Loan Opportunities Fund, L.P. as Servicer; Natixis, New York Branch as Administrative Agent; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Collateral Agent; and the Lenders party thereto.

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 Morningstar 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).

To assess portfolio credit quality, DBRS Morningstar 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 ratings to the Loans.

DBRS Morningstar notes that the above press release was amended on January 7, 2020, to add a disclosure regarding historical default rates published by ESMA. The amendment was minor and would not impact the understanding of the reader.

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:

The last rating action on this transaction took place on November 20, 2018.

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: Arthur Krivoruk, Financial Analyst, U.S. Structured Credit, Global Structured Finance
Rating Committee Chair: Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit, Global Structured Finance
Initial Rating Date: November 12, 2015

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

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