Morningstar DBRS Confirms Its AA (sf) 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 most recently amended by Amendment No. 10 to the Credit Agreement, dated as of December 31, 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' review of Amendment No. 10 to the Credit Agreement, dated as of December 31, 2025 (the Amendment), by applying the Global Methodology for Rating CLOs and Corporate CDOs (the CLO Methodology; November 10, 2025). The Amendment updated the collateral quality matrix (the CQM, as defined in Schedule I of the Credit Agreement).

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.

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.

The transaction has a dynamic structural configuration, which permits variations of certain asset metrics via a selection of an applicable row from a CQM. Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score, Advance Rate, Overcollateralization (OC) Levels, and Weighted-Average (WA) Spread Level. Morningstar DBRS analyzed each structural configuration as a unique transaction and all configurations (rows) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that Morningstar DBRS modeled during its analysis are presented below:

-- OC Ratio Test: subject to the CQM: required 137.06%; currently 187.55%
-- Interest Coverage Test: required 125.00%; currently 247.15%
-- Maximum WA Life Test: required 4.75 years; currently 3.12 years
-- Minimum DScore: subject to the CQM: required 20; currently 42
-- Maximum Morningstar DBRS Risk Score Test: subject to the CQM: required 32.79%; currently 28.75%
-- Minimum WA Morningstar DBRS Recovery Rate Test: subject to the CQM: required 47.99%; currently 53.96%
-- Minimum WA Spread Test, subject to the CQM: required 6.00%; currently 6.15%
-- Minimum WA Fixed-Rate Coupon Test: required 8.00%; currently N/A

As of December 1, 2025, the transaction is in compliance with all Collateral Quality Tests, Coverage Tests, and Concentration Limitations. There were 12 defaults totaling $32.80 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.

Morningstar DBRS modeled the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in the CLO Methodology. Considering the transaction performance, its legal aspects, and the results produced by the models, Morningstar DBRS confirmed its credit ratings on the Loans.

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 (November 10, 2025) and the CLO Insight Model v1.0.1.4 https://dbrs.morningstar.com/research/466921.

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].