DBRS Confirms Ratings on Loans Issued by Cerberus ICQ Levered LLC and Removes Under Review with Positive Implication Status

DBRS, Inc. (DBRS) has today confirmed the ratings of AA (sf) on the Class A-R Loans (up to the Total Class A-R Commitment of $130,000,000) and on the Class A-T Loans (up to the Total Class A-T Commitment of $195,000,000) issued by Cerberus ICQ Levered LLC, and has removed the Under Review with Positive Implications status (Class A-R Loans and Class A-T Loans collectively referred to as Loans).

The Class A-R Loans and Class A-T Loans were issued pursuant to the Amended and Restated Credit Agreement dated as December 18, 2014, among Cerberus ICQ Levered LLC as Borrower; Cerberus ICQ Levered Loan Opportunities Fund, L.P. as Servicer; Natixis, New York Branch as Administrative Agent, and Wells Fargo Bank, National Association as Collateral Agent, and Lenders party thereto from time to time.

The rating actions were taken today to reflect the impact of the execution of the Amendment No. 1 to Amended and Restated Credit Agreement dated as of April 30, 2015. The amended language includes the increase of the Total Class A-T Commitments and the extension of the Reinvestment Period. The execution of the proposed amendment will not in and of itself result in the ratings being downgraded or discontinued. The rating confirmations by DBRS do not signify the approval of the amendment by DBRS or an opinion by DBRS as to whether the amendment is beneficial or detrimental to the holders of the securities.

The rating actions reflect the following:

(1) Amendment No. 1 to Amended and Restated Credit Agreement dated as of April 30, 2015.

(2) The integrity of the transaction structure.

(3) DBRS’s assessment of the portfolio quality.

(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(5) DBRS’s assessment of the origination, servicing and collateralized loan obligation (CLO) management capabilities of Cerberus ICQ Levered Loan Opportunities Fund, L.P.

To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio not rated by DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to the Notes.

The DBRS ratings address the timely payment of interest and ultimate payment of principal on or before the Final Maturity Date (as defined in the Amended and Restated Credit Agreement referred to above).

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

The applicable methodology is Rating CLOs and CDOs of Large Corporate Credit, which can be found on our website under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.