DBRS Morningstar Confirms AA (sf) Ratings on Class A-R and Class A-T-1 Loans, Assigns AA (sf) Rating to Class A-T-2 Loans of Cerberus PSERS Levered LLC

DBRS, Inc. (DBRS Morningstar) confirmed its ratings of AA (sf) on the Class A-R Loans and the Class A-T-1 Loans (f/k/a the Class A-T Loans) and assigned a AA (sf) rating to the Class A-T-2 Loans (together with the Class A-R Loans and the Class A-T-1 Loans, the Loans) issued by Cerberus PSERS Levered LLC.

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; Amendment No. 7 dated as of November 20, 2018; Amendment No. 8 dated as of November 20, 2020; Amendment No. 9 dated as of May 17, 2021; and Amendment No. 10 dated as of January 26, 2022), among Cerberus PSERS Levered LLC as the Borrower; Cerberus PSERS Levered Loan Opportunities Fund, L.P. as the Servicer; Natixis, New York Branch as the Administrative Agent; U.S. Bank National Association (rated AA (high) with a Negative trend by DBRS Morningstar) as the Collateral Agent; and the Lenders party thereto.

The rating confirmations and assignment on the Loans reflect the execution of Amendment No. 10 to the Credit Agreement dated as of January 26, 2022. The rating actions do not signify DBRS Morningstar’s approval of the amendment or its opinion as to whether the amendment is beneficial or detrimental to the holders of the Loans.

The ratings on the Loans address the timely payment of interest (excluding any Excess Interest Amounts and any additional interest payable pursuant to Section 2.5(c)(ii), as defined in the amended Credit Agreement referred to above) and the ultimate payment of principal on or before the Final Maturity Date (as defined in the amended Credit Agreement referred to above).

The Loans are collateralized primarily by a portfolio of U.S. middle-market corporate loans and other corporate obligations. The Servicer and collateralized loan obligation (CLO) manager is Cerberus PSERS Levered Loan Opportunities Fund, L.P., an affiliate of Cerberus Capital Management II, L.P. DBRS Morningstar considers Cerberus PSERS Levered Loan Opportunities Fund, L.P to be an acceptable CLO manager.

To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial 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 DBRS Morningstar uses when rating the Loans.

The ratings reflect the following primary considerations:

(1) Amendment No. 10 to the Credit Agreement, dated as of January 26, 2022.
(2) The Credit Agreement, dated as of November 12, 2015, as amended from time to time.
(3) The integrity of the transaction’s structure.
(4) DBRS Morningstar’s assessment of the portfolio quality.
(5) Adequate credit enhancement to withstand DBRS Morningstar’s projected collateral loss rates under various cash flow stress scenarios.
(6) DBRS Morningstar’s assessment as to how collateral performance could deteriorate based on macroeconomic stresses brought about by the Coronavirus Disease (COVID-19) pandemic.
(7) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of Cerberus PSERS Levered Loan Opportunities Fund, L.P., an affiliate of Cerberus Capital Management II, L.P.
(8) Information about the extent of the coronavirus’ impact on originations, underwriting, operations, and portfolio performance to date, which Cerberus PSERS Levered Loan Opportunities Fund, L.P. shared with DBRS Morningstar.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the coronavirus, please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodology is Rating CLOs and CDOs of Large Corporate Credit (February 8, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

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

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