Morningstar DBRS Assigns Provisional Credit Ratings to the Asset-Backed Notes of Capital Street Master Trust Series 2025-1

DBRS, Inc. (Morningstar DBRS) assigned provisional credit ratings of (P) AAA (sf) to the Class A Series 2025-1 Asset-Backed Notes due August 16, 2029, and (P) AA (sf) to the Class B Series 2025-1 Asset Backed Notes due August 16, 2029, (together, the Asset-Backed Notes) to be issued by Capital Street Master Trust Series 2025-1 (the Issuer), pursuant to a draft Series 2025-1 Indenture Supplement. The provisional credit rating on the Class A Series 2025-1 Asset-Backed Notes addresses the timely payment of interest and the ultimate payment of principal on or before maturity, and the provisional credit rating on the Class B Series 2025-1 Asset-Backed Notes addresses the ultimate payment of interest and principal on or before maturity.

CREDIT RATING RATIONALE/DESCRIPTION
The Issuer is structured as a Master Trust that will be collateralized by a revolving pool of subscription loans/capital call loans. Supplemental Trust Series may be issued in the future. As future series are added to the Master Trust, the loans will be allocated pro rata based upon their series percentage of the entire Master Trust. As principal comes in on the assets, the principal collections will be used to pay down the Asset-Backed Notes on that series. The Series 2025-1 Asset-Backed Notes is the second series issued from the Capital Street Master Trust.

Morningstar DBRS applied its "Global Methodology for Rating Debt Issued by Investment Funds: Appendix I Subscription Loan Facilities." Loan-level analysis was performed on the capital call receivables in the portfolio. The analysis was performed on each of the facilities' borrowing bases. The analysis was performed on each limited partnership's (LP's) unfunded capital commitment, which considers their ratings, expected recoveries, industry, region, and tenor of the facility. In addition, the draft transaction documents provide limitations on the allowable borrowing bases, including eligibility criteria, exclusions, and concentration limits, as well as advance rate, contractual claim, and the payment waterfall. Morningstar DBRS analyzed each fund manager and ranked them as top, medium, or low. Lastly, Morningstar DBRS reviewed the limited partnership agreement and capital call loan legal documents to identify legal risks that may be inherent in the transaction. Morningstar DBRS used the results from the loan-level analysis to derive rating-based default and loss severity rates for each of the underlying capital call loan facilities. Morningstar DBRS aggregated the interest and principal cash flows projected across all the capital call receivables.

Next, Morningstar DBRS applied its "Rating Structured Finance CDO Restructurings" methodology, which aggregated interest and principal cash flows as inputs into Morningstar DBRS' Capital Street cash flow engine, flowing through the deal structure to forecast the cash flows paid to the Series 2025-1 Asset-Backed Notes. Morningstar DBRS determined whether the Asset-Backed Notes would be fully paid in the cash flow scenarios at the assigned rating level.

The Class A Series 2025-1 Asset Backed Notes principal balance is $450,000,000 with 10% subordination to the (P) AAA (sf) rated notes. The Class B Series 2025-1 Asset Backed Notes principal balance is $25,000,000 with 5% subordination to the (P) AA (sf) rated notes.

Morningstar DBRS' credit ratings on the Asset-Backed Notes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. For the Asset-Backed Notes, the associated financial obligations are the Monthly Interest and the Note Principal Balance

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 (May 16, 2025) at https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodologies applicable to the credit ratings are Rating Structured Finance CDO Restructurings (June 28, 2024), https://dbrs.morningstar.com/research/435295 and the Global Methodology for Rating Debt Issued by Investment Funds; Appendix I Subscription Loan Facilities (June 12, 2025), https://dbrs.morningstar.com/research/456047.

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

Morningstar DBRS materially deviated from its principal methodology when determining the credit ratings assigned to the Asset-Backed Notes because loan-level or transaction documents are not entirely consistent with the expectations set forth in the principal methodology. In cases when an applicable methodology does not address one or more elements of a structured finance transaction or obligation, or such elements differs from the expectations contemplated when an applicable methodology was approved, Morningstar DBRS may apply analytical judgment in the determination of any related analytical factor, assumption, credit rating, or other opinion. The rationale for the material deviation is because the capital call receivables pool will be able to revolve and new receivables added to the pool as receivables are paid off, whereas the Rating Structured Finance CDO Restructurings methodology does not contemplate revolving pools of assets.

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 securities 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 securities 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 (March 27, 2025),
https://dbrs.morningstar.com/research/450750

Legal Criteria for U.S. Structured Finance (December 3, 2024),
https://dbrs.morningstar.com/research/444064

CLO Insight Model v1.0.1.4

A description of how Morningstar DBRS analyses structured finance transactions and how the methodologies are collectively applied can be found at: https://dbrs.morningstar.com/research/417279.

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