DBRS Morningstar Assigns New Rating to the Advances Issued by Cerberus RR Levered LLC

DBRS, Inc. (DBRS Morningstar) assigned a new final rating of AAA (sf) to the Advances issued by Cerberus RR Levered LLC pursuant to the Loan, Security and Servicing Agreement, dated as of May 5, 2022 (the Loan Agreement), by and among Cerberus RR Levered LLC as the Borrower; Cerberus RR Levered Holdings LP as the Servicer and as the Transferor; Capital One, National Association (rated “A” with a Stable trend by DBRS Morningstar) as the Administrative Agent, Hedge Counterparty, Swingline Lender and Arranger; U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Collateral Custodian; U.S. Bank, National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Document Custodian; and each of the Lenders from time to time party thereto.

The rating on the Advances addresses the timely payment of Interest, other than Interest attributable to Excess Interest Amounts (as defined in the Loan Agreement referred to above) and the ultimate payment of the aggregate principal amount of all Advances outstanding on or before the Facility Maturity Date (as defined in the Loan Agreement referred to above).

The Advances will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. Cerberus RR Levered LLC will be serviced by Cerberus RR Levered Holdings LP, an affiliate of Cerberus Capital Management II, L.P. DBRS Morningstar considers Cerberus RR Levered Holdings LP to be an acceptable collateralized loan obligation (CLO) servicer.

The rating reflects the following primary considerations:

(1) The Loan Agreement, dated as of May 5, 2022.
(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 Servicer’s origination, servicing, and CLO management capabilities.

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.

Under the Loan Agreement, upon the occurrence and during the continuance of an Event of Default or Termination Date, the Servicer (or, after delivery of a Notice of Exclusive Control, the Administrative Agent) shall direct all available funds to be applied in accordance with Section 2.8 of the Loan Agreement. Under this Section 2.8, Administrative Expenses senior to the Advances would be uncapped, which could result in downgrades to DBRS Morningstar’s rating on the Advances at that time.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19), 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 rating. 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/373262.

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/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 info@dbrsmorningstar.com.

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