DBRS Morningstar Confirms Ratings on the Loans Issued by Cerberus Onshore Levered IV LLC

DBRS, Inc. (DBRS Morningstar) confirmed its ratings of AA (sf) on each of the Class A-R Loans, the Class A-T-1 Loans, and the Class A-T-2 Loans (together, the Loans), issued by Cerberus Onshore Levered IV LLC (the Borrower), pursuant to the Credit Agreement, dated as of July 16, 2019 (as amended from time to time), 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, as Collateral Agent and Custodian.

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) and the ultimate payment of principal on or before the Final Maturity Date (as defined in the Credit Agreement).

The Loans are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Cerberus Levered IV Holdings LLC, an affiliate of Cerberus Capital Management II, L.P., will service the Borrower. DBRS Morningstar considers the Servicer to be an acceptable collateralized loan obligation (CLO) servicer.

The above ratings reflect the following primary considerations:

(1) The Credit Agreement dated July 16, 2019, as amended.
(2) The integrity of the transaction structure.
(3) DBRS Morningstar’s assessment of the portfolio quality.
(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
(5) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of the Servicer.

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 is used in assigning ratings to a facility.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19) 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 that had a significant or relevant effect on the credit analysis. 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 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/384150.

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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