DBRS Morningstar Confirms Ratings on the Loans of Cerberus FSBA Levered LLC

DBRS, Inc. (DBRS Morningstar) confirmed its AA (sf) ratings on the Class A-R Loans and the Class A-T Loans (together, the Loans), issued by Cerberus FSBA Levered LLC, up to the total commitment of $125,000,000 permitted under the Loans.

The Loans were issued pursuant to the Credit Agreement dated October 11, 2016 (as amended by Amendment No. 1 dated July 26, 2017; Amendment No. 2 dated March 6, 2018; Amendment No. 3 dated March 4, 2020; Amendment No. 4 dated June 2, 2020; Amendment No. 5 dated May 17, 2021; and Amendment No. 6 dated May 31, 2022), among Cerberus FSBA Levered LLC as the Borrower; Cerberus FSBA Holdings LLC as the Servicer; Natixis, New York Branch as the Administrative Agent; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as the Collateral Agent and Custodian; and the Lenders party thereto.

The rating confirmations on the Loans reflect the execution of Amendment No. 6 to the Credit Agreement dated as of May 31, 2022. The rating confirmations 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 securities.

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 FSBA Holdings LLC, an affiliate of Cerberus Capital Management II, L.P. DBRS Morningstar considers Cerberus FSBA Holdings LLC 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, which is used in assigning ratings to a facility.

The ratings reflects the following primary considerations:

(1) Amendment No. 6 to the Credit Agreement, dated as of May 31, 2022.

(2) The Credit Agreement, dated as of October 11, 2016, 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 FSBA Holdings LLC, 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 FSBA Holdings LLC shared with DBRS Morningstar.

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

There were no environmental, social, or governance factors or considerations with a significant or relevant impact on the credit ratings.

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/396929.

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

The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereigns group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts with the baseline scenarios set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

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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