Morningstar DBRS Confirms Its AA (sf) Credit Ratings on the Class A-R Loans and A-T Loans of Cerberus PSERS Levered LLC

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings of AA (sf) on the Class A-R Loans and the Class A-T Loans, (together, the Loans), issued by Cerberus PSERS Levered LLC, pursuant to the Credit Agreement, as most-recently amended by Amendment No. 15 to the Credit Agreement (the Credit Agreement), dated as of January 15, 2026, 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 with a Stable trend by Morningstar DBRS) as the Custodian, U.S. Bank Trust Company National Association (rated AA with a Stable trend by Morningstar DBRS) as the Collateral Agent, and each of the Lenders from time to time 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) and the ultimate payment of principal on or before the Final Maturity Date (as defined in the amended Credit Agreement).

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are a result of Morningstar DBRS' review of Amendment No. 15 to the Credit Agreement (the Amendment), dated as of January 15, 2026, 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), reduced the total commitment of the transaction, reduced the Interest Rate Cap, and extended the Reinvestment Period, the Final Maturity Date, and the Maximum Weighted Average Life Test, among other changes.

The Loans are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The servicer for Cerberus PSERS Levered LLC is Cerberus PSERS Levered Loan Opportunities Fund, L.P., an affiliate of Cerberus Capital Management II, L.P. Morningstar DBRS considers Cerberus PSERS Levered Loan Opportunities Fund, L.P. to be an acceptable collateralized loan obligation (CLO) servicer. The Reinvestment Period scheduled end date is January 15, 2028. The Final Maturity Date is January 15, 2035.

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

(1) The transaction's capital structure and the form and sufficiency of available credit enhancement.
(2) Relevant credit enhancement in the form of subordination and excess spread.
(3) The ability of the Loans to withstand projected collateral loss rates under various cash flow stress scenarios.
(4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests.
(5) Morningstar DBRS' 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.
(6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the Morningstar DBRS Legal Criteria for U.S. Structured Finance methodology (the Legal Criteria).

The transaction has a dynamic structural configuration which permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule I of the Credit Agreement). 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 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 modelled during its analysis are presented below.

(1) Minimum OC Ratio: Subject to CQM; required 127.63%; currently 161.82%
(2) Minimum IC Ratio: required 125.00%; currently 295.29%
(3) Maximum Advance Rate Test: required 65.00%; currently 61.80%
(4) Minimum Diversity Score Test: Subject to CQM; required 25; currently 39
(5) Maximum DBRS Morningstar Risk Score Test: Subject to CQM; required 39.35; currently 29.28
(6) Minimum Weighted-Average DBRS Morningstar Recovery Rate Test: Subject to CQM; required 52.00%; currently 54.00%
(7) Minimum Weighted-Average Spread (WAS) Test: Subject to CQM; required 6.00%; currently 6.17%
(8) Minimum Weighted-Average Fixed Rate Coupon Test: required 8.00%; currently N/A

As of December 1, 2025, the Borrower is in compliance with all coverage and collateral quality tests as well as concentration limitations for portfolio collateral obligations. There were 8 defaults totaling $33.26 million registered in the portfolio.

Some strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle market loans; (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations.

Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings, 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 Amendment, the transaction performance and 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 transactions' 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) https://dbrs.morningstar.com/research/466921 and CLO Insight Model v1.0.1.4.0.

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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New York, NY 10005 USA
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].