Morningstar DBRS Confirms Credit Ratings on the Notes Representing the Advances Issued by Cerberus ND Levered LLC

DBRS, Inc. (Morningstar DBRS) confirmed its credit rating of AAA (sf) on the Notes representing the Advances (the Advances) to Cerberus ND Levered LLC, pursuant to the Loan, Security And Servicing Agreement dated as of January 31, 2020 (the Loan Agreement), as amended by the First Amendment dated as of July 6, 2020; the Second Amendment dated as of February 17, 2022; and the Third Amendment, dated as of June 25, 2024 by and among Cerberus ND Levered LLC as the Borrower; Cerberus ND Credit Holdings LLC as the Servicer; Capital One, National Association as the Administrative Agent, Hedge Counterparty, Swingline Lender and Arranger; U.S. Bank Trust Company, National Association as Collateral Custodian; U.S. Bank, National Association as Document Custodian; and each of the Lenders from time to time party thereto.

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

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

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating action is a result of Morningstar DBRS' annual review of the transaction performance and application of the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; November 19, 2024). The Revolving Period ends on June 25, 2027. The Facility Maturity Date is June 25, 2031.

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 March 31, 2025, the Borrower is in compliance with all performance metrics. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmation on the Advances, 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 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 Advances 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 Servicer's origination, servicing, and CLO management capabilities.
(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).

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

Collateral Quality Tests
Minimum Weighted Average Spread: Subject to Collateral Quality Matrix (CQM); Threshold 6.25%; Current 6.47%
Maximum Weighted Average Life: Threshold 6.25; Current 2.72
Minimum Diversity Score: Subject to CQM; Threshold 30; Current 47
Minimum Weighed Average DBRS Recovery Rate: Threshold 39.62%; Current 50.40%
Maximum DBRS Risk Score: Subject to CQM; Threshold 48.50; Current 25.61

Coverage Tests
Interest Coverage: Threshold 150%; Current 456.50%
Overcollateralization Ratio: Threshold 162.60%; Current 271.87%
Portfolio Advance Rate: Threshold 53.00%; Current 36.78%

Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle-market loans; and (2) the expected adequate diversification of the portfolio of collateral obligations (DScore currently at 47 compared with test level of 30); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations.

Some challenges were identified: (1) up to 35% of the portfolio pool may consist of long-dated assets and (2) the underlying collateral portfolio may be insufficient to redeem the Advances in an Event of Default.

The transaction is performing according to the contractual requirements of the Loan Agreement. As of March 31, 2025, the Borrower is in compliance with all Coverage and Collateral Quality Tests, as well as the Concentration Limitation tests. There were approximately $41.67 million in defaulted obligations registered in the underlying portfolio as of March 31, 2025.

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 credit ratings; rather, they represent a model-driven default probability for each obligor that Morningstar DBRS uses when rating the Advances.

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. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 US dollars unless otherwise noted.

The principal methodology applicable to the credit rating is the Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024) https://dbrs.morningstar.com/research/443207.

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 our Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of our website:
https://dbrs.morningstar.com/understanding-ratings

Please, see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed credit ratings:

The last credit rating action on this transaction took place on June 26, 2024, when Morningstar DBRS confirmed the credit rating on the Advances.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Anthony Bell, Senior Analyst, US Structured Credit Ratings
Rating Committee Chair: Glen Leppert, Associate Managing Director, US Structured Credit
Initial Rating Date: January 31, 2020.

DBRS, Inc.
140 Broadway, 43rd Floor
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.
Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025)
https://dbrs.morningstar.com/research/450750

Operational Risk Assessment for Collateralized Loan Obligations (CLOs) and Corporate Collateralized Debt Obligations (CDOs) (August 23, 2024)
https://dbrs.morningstar.com/research/438315

Legal Criteria for U.S. Structured Finance (December 3, 2024)
https://dbrs.morningstar.com/research/444064

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.