Morningstar DBRS Assigns AA (low) Credit Rating to the Notes Issued by BSCH A LLC

DBRS, Inc. (Morningstar DBRS) assigned a credit rating of AA (low) with a Stable trend to the Notes issued by BSCH A LLC (the Issuer). The credit rating on the notes addresses the timely payment of scheduled interest and the ultimate payment of principal by the legal maturity date on June 13, 2035.

KEY CREDIT RATING CONSIDERATIONS

CREDIT RATING RATIONALE
The Issuer is a Delaware limited liability company. Goldman Sachs Group, Inc. (GS), guarantees prompt and complete payment of all current and future liabilities of the Issuer with respect to obligations arising under the Notes. Morningstar DBRS has a Long-Term Issuer Rating assigned to GS of A (high) with a Stable trend. In addition to the guarantee, assets held in four affiliates, including BSCH LLC, GLQC II DAC, BSCH III DAC, and BSCH V DAC (Affiliate Cross Obligors), are available to provide collateralization for the Notes based on affiliate guarantee agreements. The Affiliate Cross Obligors invest primarily in senior secured loans, covenant-lite loans, bonds, and second-lien loans in various currencies and the obligors are in various countries. Based on Morningstar DBRS' assessment of the GS guarantee and the relationship with the Affiliate Cross Obligors, we have determined that the Notes have five sources of repayment.

Morningstar DBRS applied Appendix 3 of its "Rating European Structured Finance Transactions Methodology", which describes Morningstar DBRS' approach to rating transactions when there are multiple independent sources of cash flows that are each sufficient for the timely repayment of interest and the full repayment of principal of the rated securities (Dual-Recourse Securities). DBRS Morningstar defines the five sources of cash flows supporting the Dual-Recourse Securities as (1) the assets in the four Affiliate Cross Obligors and (2) GS via the guarantee on the Notes. Only in the event of joint default of all five sources of support (credits) will the Dual-Recourse Securities experience an event of default.

Morningstar DBRS used its Global Methodology for Rating Debt Issued by Investment Funds to analyze the Affiliate Cross Obligors. Analysis starts with application of the CLO Insight Model including investment-level characteristics that drive assumptions around probability of default and recoveries for each investment. These characteristics include credit quality, domicile, seniority, maturity, obligor, and industry diversity. The investment portfolio is highly diversified, with over $8.5 billion in total investments across 177 borrowers. To determine the credit quality of the current portfolio, Morningstar DBRS has assigned credit estimates to a sample pool of the assets and is intending to increase these credit estimates to be assigned to a majority of the assets, with a small bucket benefitting from public credit ratings. The Morningstar DBRS average credit quality assessment for the assets with either an assigned credit estimate or benefitting from a public credit rating aligns with a B (low). Morningstar DBRS Morningstar considered a credit quality of CCC (high) for the assets with no assigned credit estimate and not benefitting from a public credit rating until a majority of the pool has been assessed. Once a majority of the pool has been assessed, the average credit quality assessment will be applicable across the pool. This analysis, together with the asset manager's track record and investment strategy, are aggregated to determine the applicable Asset Coverage Ratio (ACR) and Advance Rate (AR) ranges, which align with a BBB-range assessment.

Based on the comparison between the probabilities of default of GS and the four Affiliate Cross Obligors, Morningstar DBRS Morningstar determined the Issuer's assets held in the Affiliate Cross Obligors to be the lower-rated credit and the GS Guarantee to be the higher-rated credit. According to Appendix 3 of the "Rating European Structured Finance Transactions Methodology", the amount of uplift starts from the higher-rated credit and is a function of the lower credit rating and the degree of overlap in the assets' drivers of default risk. Based on a high overlap between GS and the four Affiliate Cross Obligors, Morningstar DBRS assigned an uplift of one notch on top of the higher-rated credit. Hence, the credit rating assigned to the Notes is AA (low).

CREDIT RATING DRIVERS
Morningstar DBRS could upgrade the credit rating if the Long-Term Issuer Rating of GS is upgraded. While unexpected, the credit rating could also be upgraded if the degree of overlap in the assets' drivers of default risk were to decline, which could be driven by a de-linkage of GS from the origination and management of the collateral pool, resulting in an increase of the notching uplift.

Morningstar DBRS could downgrade the credit rating if the Long-Term Issuer Rating of GS is downgraded. If there is not sufficient cash held in the Affiliate Cross Obligors to support timely interest payment, the credit rating would be downgraded. Furthermore, Morningstar DBRS expects close coordination between GS and the Independent Directors of the Affiliate Cross Obligors and the Issuer, which provides comfort around the ability to manage the dual recourse credits and maintain timely payment of interest. If there is any indication of a waning willingness or ability of the Independent Directors to carry out their expanded duties in this regard, Morningstar DBRS would downgrade the credit rating.

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) https://dbrs.morningstar.com/research/454196

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

The principal methodologies are the Global Methodology for Rating Debt Issued by Investment Funds (September 30, 2025) https://dbrs.morningstar.com/research/463822 and the Rating European Structured Finance Transactions Methodology - Appendix 3: Dual Recourse Securities (July 7, 2025) https://dbrs.morningstar.com/research/457857. In addition Morningstar DBRS uses the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (May 16, 2025) https://dbrs.morningstar.com/research/454196 in its consideration of ESG factors.

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

The primary sources of information used for this credit rating include Morningstar, Inc. and company documents. Morningstar DBRS considers the information available to it for the purposes of providing this credit rating was of satisfactory quality.

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

This credit rating is endorsed by DBRS Ratings Limited for use in the United Kingdom, and by DBRS Ratings GmbH for use in the European Union, respectively. The following additional regulatory disclosures apply to endorsed ratings:

This credit rating concerns a newly issued financial instrument. This is the first Morningstar DBRS credit rating on this financial instrument.

The conditions that lead to the assignment of a Negative or Positive trend are generally resolved within a 12-month period. Morningstar DBRS' trends and credit ratings are monitored.

For further information on Morningstar DBRS historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: https://registers.esma.europa.eu/cerep-publication. For further information on Morningstar DBRS historical default rates published by the Financial Conduct Authority (FCA) in a central repository, see https://data.fca.org.uk/#/ceres/craStats.

Lead Analyst: Quan Yoon, Vice President, US Structured Credit Ratings, Funds
Rating Committee Chair: Jerry van Koolbergen, Managing Director, US Structured Credit Ratings
Initial Rating Date: November 12, 2025

For more information on this credit or on this industry, visit dbrs.morningstar.com.

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