Morningstar DBRS Confirms Its Credit Ratings on the Advances Issued by TPR Funding 2022-1, LLC

DBRS, Inc. (Morningstar DBRS) confirmed its following credit ratings on the Class A-1 Advances, the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances (together, the Advances) issued by TPR Funding 2022-1, LLC pursuant to the Loan, Security and Servicing Agreement, dated December 15, 2022 (the Loan Agreement), as Amended by the First Amendment to Loan, Security, and Servicing Agreement, dated as of March 21, 2025 (the Amendment), entered into by and among TPR Funding 2022-1, LLC as the Borrower; Delaware Life Insurance Company as the Servicer; Capital One, National Association (rated A with a Stable trend by Morningstar DBRS) as the Administrative Agent, Hedge Counterparty and Arranger; Citibank, N.A. (rated AA (low) with a Stable trend by Morningstar DBRS) as Collateral Custodian and Document Custodian; Virtus Group, LP as Collateral Administrator; and each of the Lenders and Subordinated Lenders from time to time party thereto:

-- Class A-1 Advances at AA (sf)
-- Class A-2 Advances at AA (low) (sf)
-- Class B Advances at A (low) (sf)
-- Class C Advances at BBB (low) (sf)
-- Class D Advances at BB (low) (sf)
-- Class E Advances at B (low) (sf)

The credit rating on the Class A-1 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 on or before the Facility Maturity Date (as defined in the Loan Agreement). The credit ratings on the Class A-2 Advances, the Class B Advances, the Class C Advances, the Class D Advances, and the Class E Advances address the ultimate payment of interest (other than Interest attributable to Excess Interest Amounts, as defined in the Loan Agreement) and the ultimate payment of principal on or before the Facility Maturity Date (as defined in the Loan Agreement).

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating action is a result of: (1) Morningstar DBRS' review of the Amendment, which reduced the Applicable Spread of several classes of the Advances, upsized the Facility Amount, and extended the Scheduled Revolving Period End Date and the Facility Maturity Date, among other changes; and (2) Morningstar DBRS' review of the transaction performance by applying the "Global Methodology for Rating CLOs and Corporate CDOs" (November 19, 2024).

The Advances are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The servicer for TPR Funding 2022-1, LLC is Delaware Life Insurance Company. Morningstar DBRS considers Delaware Life Insurance Company to be an acceptable collateralized loan obligation (CLO) servicer. The Scheduled Revolving Period End Date is March 21, 2028. The Facility Maturity Date is March 21, 2035.

In its analysis, Morningstar DBRS also 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 origination, servicing, and CLO management capabilities of Delaware Life Insurance Company.
(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 transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule V of the Loan Agreement). Depending on a given Diversity Score, the following metrics are selected accordingly from the applicable row of the CQM: Morningstar DBRS Risk Score and Weighted-Average Spread. Morningstar DBRS analyzed each structural configuration as a unique transaction, and all configurations (matrix points) passed the applicable Morningstar DBRS rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar modeled during its analysis are presented below:

Collateral Quality Tests
Minimum Weighted Average Spread Test: Subject to Collateral Quality Matrix (CQM); threshold 5.25%; current 5.45%
Minimum Weighted Average Fixed Coupon Test: threshold 6.00%; current N/A
Minimum Weighted Average Recovery Rate Test: threshold 51.90%; current 53.46%
Minimum Diversity Test: Subject to CQM; threshold 20; current 20
Maximum Morningstar DBRS Risk Score Test: Subject to CQM; threshold 29.70%; current 26.34%

Coverage Tests
Total Interest Coverage Ratio Test: threshold 150.00%; current 218.80%
Class A-1 Overcollateralization Ratio Test: threshold 142.86%; current 149.41%
Class A-2 Overcollateralization Ratio Test: threshold 138.15%; current 148.70%
Class B Overcollateralization Ratio Test: threshold 118.21%; current 128.69%
Class C Overcollateralization Ratio Test: threshold 113.21%; current 121.67%
Class D Overcollateralization Ratio Test: threshold 106.68%; current 113.10%
Class E Overcollateralization Ratio Test: threshold 103.70%; current 109.10%

As of January 15, 2025, the transaction is performing according to the contractual requirements of the Loan Agreement, and there were no defaults registered in the underlying portfolio.

Some particular strengths of the transaction are (1) the collateral quality, which will consist mostly of senior-secured middle-market loans; and (2) the expected adequate diversification of the portfolio of collateral obligations (Diversity Score, matrix driven). Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased; and (2) the underlying collateral portfolio may be insufficient to redeem the Advances in an Event of Default.

Morningstar DBRS analyzed the transaction using the Morningstar DBRS CLO Insight Model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, principal prepayment, amount of interest generated, principal prepayments, default timings, and recovery rates, among other credit considerations referenced in Morningstar DBRS' Global Methodology for Rating CLOs and Corporate CDOs (November 19, 2024).

The model-based analysis produced satisfactory results, which, in addition to Morningstar DBRS' review of the Amendment, supported the credit rating confirmations on the above-mentioned Advances.

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 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.

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 (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 ratings on Class A-2 Advances, the Class C Advances, and the Class E Advances materially deviate from the credit ratings 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 ratings 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 ratings. The rationale for the material deviation is that there were transaction-level factors that are not fully captured in the quantitative model that add credit risk, which was considered in Morningstar DBRS' analysis. The transaction is performing within expectations.

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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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 (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.