Morningstar DBRS Confirms the Credit Ratings on the Class A-R Loans and A-T Loans of Cerberus 2112 Levered LLC

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings of AA (sf) on the Class A-R Loans and the A-T Loans, (together, the Loans) issued by Cerberus 2112 Levered LLC, pursuant to the Credit Agreement dated October 8, 2020 (as amended by Amendment No. 1 dated December 23, 2020; Amendment No. 2 dated July 20, 2021; Amendment No. 3 dated February 4, 2022; Amendment No. 4 dated October 7, 2022; Amendment No. 5 dated March 3, 2023; Amendment No. 6 dated September 13, 2023; Amendment No. 7 dated as of October 7, 2024; Amendment No. 8 dated as of December 11, 2024; and Amendment Number No 9. dated as of February 18, 2025), among Cerberus 2112 Levered LLC as the Borrower; Cerberus 2112 Credit Holdings LLC as the Servicer; Natixis, New York Branch as the Administrative Agent; U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent; U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS) as the Custodian; and the Lenders party thereto.

The credit 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).

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' annual surveillance review of the transaction performance and application of the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). Cerberus 2112 Levered LLC is a cash flow collateralized loan obligation (CLO) transaction that is collateralized primarily by a portfolio of U.S. senior secured middle-market (MM) corporate loans. The Reinvestment Period scheduled end date is October 7, 2026. The Final Maturity Date is October 7, 2033.

Morningstar DBRS monitors transaction performance metrics based on the periodicity of the transaction's reporting. The performance metrics include Collateral Quality Tests, Coverage Tests, Concentration Limitations, and Performing Collateral Par. As of November 3, 2025, the transaction is in compliance with all performance metrics, and the performing collateral par is greater than the reinvestment target par. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmation on the Notes, as per the Level I surveillance approach in the CLO Methodology. No model was applied in this review.

In its analysis, Morningstar DBRS considered the following aspects of the transaction:

(1) The Credit Agreement, dated October 8, 2020, as amended from time to time.
(2) The integrity of the transaction's structure pursuant to the Amendment.
(3) Morningstar DBRS' assessment of the portfolio quality.
(4) Relevant credit enhancement in the form of subordination and excess spread.
(5) Adequate credit enhancement to withstand Morningstar DBRS's projected collateral loss rates under various cash flow stress scenarios.
(6) Morningstar DBRS' assessment of the origination, servicing, and collateralized loan obligation (CLO) management capabilities of Cerberus 2112 Credit Holdings LLC, an affiliate of Cerberus Capital Management II, L.P.

Some of the performance metrics that Morningstar DBRS reviewed are listed below:

Collateral Quality Tests
Minimum Weighted Average Spread: Subject to the Collateral Quality Matrix; currently 6.27%; threshold 6.00%
Maximum DBRS Risk Score: Subject to the Collateral Quality Matrix; currently 28.67%; threshold 32.79%
Maximum Weighted Average Life: currently 3.12; threshold 5.00
Minimum Diversity Score: Subject to the Collateral Quality Matrix; currently 42; threshold 20
Minimum Weighted Average DBRS Recovery Rate Test: Subject to the Collateral Quality Matrix; currently 54.00%; threshold 47.98%

Coverage Tests
Overcollateralization Test: Subject to the Collateral Quality Matrix; currently 187.34%; threshold 137.08%
Advance Rate: Subject to the Collateral Quality Matrix; currently 53.38%; threshold 65.00%
Interest Coverage Test: currently 236.43%; threshold 125.00%

As of November 3, 2025, the transaction is in compliance with all Collateral Quality Tests, Coverage Tests, and Concentration Limitations. There were 6 defaults totaling $24.72 million registered in the underlying portfolio.

Some particular strengths of the transaction are (1) collateral quality, which consists primarily of senior-secured floating-rate middle market loans; (2) the adequate diversification of the current portfolio of collateral obligations; and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations.

Some of the challenges identified are: (1) the majority of the underlying loans do not have public ratings and require either a credit estimate and/or a private rating from DBRS Morningstar and (2) the underlying collateral portfolio may be insufficient to redeem the Loans in an Event of Default.

To assess portfolio credit quality, Morningstar DBRS provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by Morningstar DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Loans.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transaction's respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS   
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
 
A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) https://dbrs.morningstar.com/research/454196.

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

The principal methodology applicable to the credit ratings is the Global Methodology for Rating CLOs and Corporate CDOs (July 9, 2025) https://dbrs.morningstar.com/research/458009.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

Morningstar DBRS expects Structured Finance issuers and originators of Structured Finance products to make all relevant information regarding these products available to investors to conduct their own analyses.

DBRS, Inc.
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Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at:
https://dbrs.morningstar.com/about/methodologies.

Legal Criteria for U.S. Structured Finance (November 25, 2025)
https://dbrs.morningstar.com/research/468115

Operational Risk Assessment for Collateralized Loan Obligations (CLOs) and Corporate Collateralized Debt Obligations (CDOs) (July 17, 2025) https://dbrs.morningstar.com/research/459033

Interest Rate and Currency Stresses for Global Structured Finance Transactions (September 3, 2025) https://dbrs.morningstar.com/research/461958

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