Morningstar DBRS Confirms Credit Ratings on the Class A Notes, the Class B Notes, and the Class C Notes of Cornhusker Funding 1B LLC

DBRS, Inc. (Morningstar DBRS) confirmed its credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1B LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association as follows:

-- Class A Notes at BBB (sf)
-- Class B Notes at BB (sf)
-- Class C Notes at B (sf)

The credit ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate return of principal on or before the Stated Maturity (as defined in the Indenture).

The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Mount Logan Management, LLC (Mount Logan), which is a subsidiary of Mount Logan Capital Inc. Morningstar DBRS considers Mount Logan to be an acceptable collateralized loan obligation (CLO) manager.

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating action is a result of Morningstar DBRS' annual review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (the CLO Methodology; September 19, 2024; https://dbrs.morningstar.com/research/439759).. The Reinvestment Period ends April 8, 2030. The Stated Maturity is September 15, 2036.

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 Notes 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 Mount Logan as the Collateral Manager.
(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).

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 September 30, 2024, the transaction is in compliance with all performance metrics, and the performing collateral par is greater than the reinvestment target par. The current transaction performance is within Morningstar DBRS' expectations, which supports the credit rating confirmations on the Notes, as per the Level I surveillance analysis in the CLO Methodology. No predictive model is utilized in the Level I surveillance process.

The coverage and collateral quality test reported values and thresholds, respectively, that Morningstar DBRS reviewed are as follows:

Coverage Tests:
Class A Overcollateralization Ratio Test: actual 137.40%; threshold 124.50%
Class B Overcollateralization Ratio Test: actual 127.28%; threshold 116.80%
Class C Overcollateralization Ratio Test: actual 122.77%; threshold 113.40%
Class A Interest Coverage Ratio Test: actual 198.74%; threshold 115.00%
Class B Interest Coverage Ratio Test: actual 174.87%; threshold 110.00%
Class C Interest Coverage Ratio Test: actual 163.11%; threshold 105.00%

Collateral Quality Tests:
Minimum Diversity Score Test: actual 24.87; threshold 21.00
Minimum Weighted Average Spread Test: actual 5.43%; threshold 5.10%
Maximum DBRS Risk Score Test: actual 31.03%; threshold 34.20%
Minimum Weighted Average DBRS Recovery Rate Test: actual 66.00%; threshold 64.30%

Some strengths of the transaction are (1) collateral quality that consists of at least 95% senior-secured middle market-loans and (2) adequate diversification of the portfolio of collateral obligations (matrix-driven Diversity Score). Some challenges are (1) up to 5% of the portfolio pool may consist of long-dated assets, and (2) the underlying collateral portfolio may be insufficient to redeem the Notes in an Event of Default.

As of September 30, 2024, the Borrower is in compliance with all Concentration Limitations, Coverage and Collateral Quality Tests, and there were no defaulted obligations registered in the underlying portfolio.

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

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) 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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

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 (September 19, 2024; https://dbrs.morningstar.com/research/439759).

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.

DBRS, Inc.
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The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

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

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024)
https://dbrs.morningstar.com/research/428623

-- Legal Criteria for U.S. Structured Finance (October 28, 2024)
https://dbrs.morningstar.com/research/441840

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