Press Release|Structured Credit
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KBRA Places One Class from Cedar Crest 2021-1 LLC and One Class from Cedar Crest 2021-2 LLC on Watch Downgrade

16 Sep 2025   |   New York

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KBRA places the ratings of the Class F notes of Cedar Crest 2021-1 LLC (“Cedar Crest 2021-1”) and the Class F notes of Cedar Crest 2021-2 LLC (“Cedar Crest 2021-2”) on Watch Downgrade due to negative portfolio credit migration and tightening excess interest in both transactions.

Cedar Crest 2021-1 and Cedar Crest 2021-2 are collateralized loan obligations (CLO) managed and serviced by Eldridge Structured Credit Advisors, LLC (“Eldridge” or the “servicer”), formerly known as Panagram Structured Asset Management LLC, which closed in September 2021 and December 2021, respectively. The transactions have exited their reinvestment periods and have been amortizing their Class A notes.

The tables below display the current capital structures and watch placements associated with these reviews. To date, the securities have received timely interest payments. We anticipate increasing pressure in excess spread as lower cost liabilities amortize, leaving higher cost liabilities outstanding. It is likely that the Cedar Crest 2021-1 Class F notes will begin deferring interest in the near term, as the Class E interest coverage ratio is close to failing.

Cedar Crest 2021-1 Class 24-Aug 25-Aug 25-Sep To Class A-FL 312,350 20,793 6.66% 3mS+ 1.81% 54.80% 89.20% AAA (sf) — Class A-FX 216,910 14,440 6.66% 2.10% 54.80% 89.20% AAA (sf) — Class B 47,720 47,720 100.00% 3mS+ 2.16% 47.40% 74.60% AA (sf) — Class C 3 52,060 52,060 100.00% 3mS+ 3.01% 39.30% 58.70% A (sf) — Class D 3 82,430 82,430 100.00% 3mS+ 4.16% 26.50% 33.50% BBB- (sf) — Class E 3 28,200 28,200 100.00% 3mS+ 9.26% 22.10% 24.80% BB- (sf) — Class F 3 47,720 47,720 100.00% 3mS+ 12.26% 14.70% 10.20% B- (sf) B- (sf) / Watch Downgrade 1 3mS = Three-month Term SOFR. The interest rate includes a Term SOFR credit spread adjustment of 0.26161%. 2 Par Subordination = 1 – (Cumulative Liabilities / Total Assets) 3 Notes can defer interest without triggering Event of Default. Initial Amount ($000s) Current Amount ($000s) Note Factor Interest Rate 1 Par Sub (%) 2 KBRA Rating
Source: KBRA
Cedar Crest 2021-2 23-Sep 24-Aug 25-Sep To Class A-FL 418,640 110,619 26.42% 3mS+ 1.76% 47.60% 66.50% AAA (sf) — Class A-FX 132,900 35,117 26.42% 2.68% 47.60% 66.50% AAA (sf) — Class B 53,160 53,160 100.00% 3mS+ 2.16% 40.40% 54.30% AA (sf) — Class C 3 70,880 70,880 100.00% 3mS+ 3.01% 30.70% 38.10% A (sf) — Class D 3 57,590 57,590 100.00% 3mS+ 4.16% 22.90% 24.80% BBB- (sf) — Class E 3 44,300 44,300 100.00% 3mS+ 9.26% 16.90% 14.70% BB- (sf) — Class F 3 35,440 35,440 100.00% 3mS+ 12.26% 12.10% 6.50% B- (sf) B- (sf) / Watch Downgrade 1 3mS = Three-month Term SOFR. The interest rate includes a Term SOFR credit spread adjustment of 0.26161%. 2 Par Subordination = 1 – (Cumulative Liabilities / Total Assets) 3 Notes can defer interest without triggering Event of Default. Class Par Sub (%) 2 KBRA Rating Initial Amount ($000s) Current Amount ($000s) Note Factor Interest Rate 1
Source: KBRA

Cedar Crest 2021-1 Update

As of the August 2025 trustee report, the total portfolio par amount is $357.8 million with exposure to 30 obligors. The trustee reported K-WARF of the portfolio is 3591, above the current test threshold of 3494 and the balance of defaulted obligations increased to $65.7 million (18.4% of total par) from $11.8 million in August 2024. Based on monthly trustee reporting, the cushion on the Class E interest coverage test has tightened to 1.23% from 42.0%.

Cedar Crest 2021-2 Update

As of the August 2025 trustee report, the total portfolio par amount is $439.3 million with exposure to 38 obligors. The trustee reported K-WARF of the portfolio is 3378, above the current test threshold of 3240 and the balance of defaulted obligations increased to $60.4 million (13.8% of total par) from $13.3 million in September 2024. Based on monthly trustee reporting, the Class F subordination has decreased to 6.5% from 12.1%.

KBRA will continue to monitor the performance of the transaction and update and/or resolve the Watch Placements within 90 days.

This press release has been updated on September 16, 2025 to correct 2 typos in paragraph 1.

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Disclosures

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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