Morningstar DBRS Confirms Provisional Credit Ratings on Loans Issued by Whitney Funding, LLC

DBRS, Inc. (Morningstar DBRS) confirmed its provisional credit ratings on the Class A Loan, the Class B Loan, the Class C Loan, the Class D Loan, and the Class E Loan (collectively, the Loans) issued by Whitney Funding, LLC, pursuant to the terms of the Second Amended and Restated Loan Agreement (the Loan Agreement) dated December 15, 2022, among Whitney Funding, LLC as Borrower; Delaware Life Insurance Company as a Lender and the Managing Lender; and Alter Domus (US) LLC as the Paying Agent and Calculation Agent:

-- Class A Loan: (P) AA (low) (sf)
-- Class B Loan: (P) A (low) (sf)
-- Class C Loan: (P) BBB (sf)
-- Class D Loan: (P) BB (low) (sf)
-- Class E Loan: (P) B (low) (sf)

The provisional credit rating on the Class A Loan addresses the timely payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date of December 18, 2034. The provisional credit ratings on the Class B Loan, Class C Loan, Class D Loan, and Class E Loan address the ultimate payment of interest and the ultimate payment of principal on or before the Legal Final Maturity Date of December 18, 2034.

A provisional credit rating is not a final rating with respect to the Loans and may change or be different than the final rating assigned or may be discontinued. The assignment of final ratings on the Loans is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the ratings, including, for the Loans: completion of the funding period, up to the Maximum Commitment Amount (as defined in the Loan Agreement) and satisfaction of the Portfolio Criteria (as defined in the Loan Agreement). Failure by the Borrower to complete the above conditions, as described in the Loan Agreement, may result in the provisional ratings not being finalized or being finalized at different ratings than the assigned provisional ratings.

Should a Distribution Event (as defined in the Loan Agreement) occur, the Designated Lender (as defined in the Loan Agreement) shall have the right at any time, upon written notice to the Borrower, the Paying Agent, and the Rating Agency, to instruct the Paying Agent to distribute the Borrower's assets to the Designated Lenders. In consideration therefor, the Aggregate Loan Balance of the Loans will be reduced to zero and all obligations of the Borrower (except those that expressly survive the termination of the Loan Agreement) shall be deemed satisfied.

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.

The Borrower is a bankruptcy-remote special-purpose vehicle set up by Delaware Life Insurance Company as the Managing Lender and Servicer. At the time of this rating action, Morningstar DBRS understands that Delaware Life Insurance Company is the sole Lender to the Borrower (though Delaware Life Insurance Company may sell or assign the Loans following the closing). As such, as of this date, certain key parties to this transaction are related parties. In addition, Delaware Life Insurance Company engaged Morningstar DBRS for the determination of the credit ratings on the Loans.

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating actions are 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 Scheduled Reinvestment Period Termination Date is three years following the DBRS Final Ratings Effective Date (as defined in the Loan Agreement). The Legal Final Maturity Date is December 18, 2034.

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 14, 2025, the Borrower is in compliance with all performance metrics. In its surveillance review, Morningstar DBRS applied the Level I approach, as described in the Global Methodology for Rating CLOs and Corporate CDOs. No model was applied in this review.

The Loans issued by the Borrower are collateralized primarily by a portfolio of U.S. middle-market corporate loans. Whitney Funding, LLC is managed by Delaware Life Insurance Company. Morningstar DBRS considers Delaware Life Insurance Company an acceptable collateralized loan obligation (CLO) manager.

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.

(3) The ability of the Tranche Amounts and the Notes to withstand projected collateral loss rates under various cash flow stress scenarios.

(4) The credit quality of the underlying collateral, subject to the Replenishment Criteria.

(5) Morningstar DBRS' assessment of the origination, servicing, and management capabilities of BMO.

(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.

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

Collateral Quality Tests
Minimum Weighted-Average Spread: Threshold 5.50%; Current 5.55%
Maximum Morningstar DBRS Risk Score: Threshold 32.00%; Current 29.41%

Coverage Tests
Class A Overcollateralization Ratio: Threshold 137.06%; Current 146.57%
Class B Overcollateralization Ratio: Threshold 125.33%; Current 132.89%
Class C Overcollateralization Ratio: Threshold 119.00%; Current 124.58%
Class D Overcollateralization Ratio: Threshold 110.28%; Current 115.89%
Class E Overcollateralization Ratio: Threshold 106.73%; Current 111.36%

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.

Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the Collateral Quality Matrix), and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Loans in an Event of Default.

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 Loans.

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 methodologies applicable to the credit rating are the Global Methodology for (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.

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.

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 https://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com