Morningstar DBRS Assigns Provisional Credit Ratings to the Notes Issued by U.S. Bank, National Association

DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to the U.S. Bank C&I Credit-Linked Notes, Series 2025-1, Class B-1 Notes, Class B-2 Notes, Class C Notes, and Class D Notes (together, the Rated Notes). The Rated Notes are issued pursuant to the Note Issuance and Administration Agreement (the NIAA), to be dated on or about [March 12], 2025, entered into between U.S. Bank National Association (rated AA with a Stable trend by Morningstar DBRS), as Issuer, and U.S. Bank Trust Company, National Association (rated AA with a Stable trend by Morningstar DBRS), as Paying Agent and as Calculation Agent:

Class B-1 Notes: (P) AA (low) (sf)
Class B-2 Notes: (P) AA (low) (sf)
Class C Notes: (P) A (sf)
Class D Notes: (P) BBB (low) (sf)

The provisional credit ratings on the Rated Notes address the timely payment of interest and the ultimate repayment of principal on or before the Legal Final Maturity Date on February 25, 2032.

CREDIT RATING RATIONALE/DESCRIPTION
Morningstar DBRS considers the transaction a Synthetic Risk Transfer. The Rated Notes are general obligations of U.S. Bank National Association (U.S. Bank or the Issuer), which are credit-linked to a reference portfolio consisting of a portfolio of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its Affiliates (the Reference Portfolio) and are issued pursuant to the NIAA. The Reference Portfolio is static and prohibits reinvestment.

In its analysis, Morningstar DBRS considered the following aspects of the transaction:
(1) The Draft NIAA, to be dated on or about [March 12], 2025.
(2) The transaction's capital structure and the form and sufficiency of available credit enhancement.
(3) The ability of the Rated Notes to withstand projected collateral loss rates under various credit rating scenarios.
(4) The credit quality of the Reference Portfolio.
(5) The financial strength of U.S. Bank, as the Issuer.
(6) Morningstar DBRS' assessment of U.S. Bank, as the Servicer of the transaction.
(7) The legal structure as well as legal opinions addressing certain matters of the Issuer and the consistency with the Morningstar DBRS "Legal Criteria for U.S. Structured Finance" methodology (the Legal Criteria).

Some strengths of the transaction are: (1) the Reference Portfolio will consist entirely of unsubordinated loans; (2) the Reference Portfolio is well diversified; and (3) the weighted-average (WA) credit quality of the underlying obligors is investment grade. Some challenges identified are: (1) the Rated Notes are subordinated in the transaction's capital structure; and (2) U.S. Bank is directly issuing the Rated Notes and will be responsible for the payments of interest and principal due on the Rated Notes.

Morningstar DBRS analyzed the transaction using its CLO Insight Model, based on the actual obligations in the Reference Portfolio, which will be static; and tranche-specific recovery rates, among other credit considerations referenced in the Morningstar DBRS rating methodology "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024; https://dbrs.morningstar.com/research/443207).

The reference portfolio consists of syndicated term and revolving credit facilities that are originated or acquired and serviced by U.S. Bank or one of its affiliates across various industries and credit rating levels. The analysis produced satisfactory results, which supported the assigned provisional credit ratings on the Rated Notes.

Morningstar DBRS' provisional credit ratings on the Rated Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations include Current Interest and the Class Principal Amount, as defined in the NIAA.

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 (August 13, 2024) https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in US dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is the Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024) https://dbrs.morningstar.com/research/443207 and the CLO Insight Model v1.0.1.4.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating assigned to the Class B Notes materially deviates from the credit rating implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit rating would consider a three-notch or more deviation from the credit rating stress(es) implied by the predictive model to be a significant factor in evaluating the credit rating. The rationale for the material deviation is that the predictive model results do not fully capture the risk of the above-mentioned rated instruments due to the exposure to the counterparty risk of U.S. Bank, such as the ability to pay the interest and principal on the Notes. This warranted additional analysis, which led to the above-referenced provisional credit ratings on the Notes being assigned.

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.

A provisional credit rating is not a final credit rating with respect to the above-mentioned Rated Notes and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned Rated Notes are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

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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.

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

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.