DBRS Morningstar Assigns Provisional Ratings to the Notes of Cornhusker Funding 1C LLC

DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Class X Notes, the Class A Notes, the Class B Notes, and the Class C Notes (collectively, the Notes) issued by Cornhusker Funding 1C LLC (the Issuer), pursuant to the terms of the Indenture, dated as of April 22, 2022, between the Issuer and U.S. Bank Trust Company, National Association:

-- Class X Notes at AAA (sf)
-- Class A Notes at BBB (sf)
-- Class B Notes at BB (sf)
-- Class C Notes at B (sf)

The provisional rating on the Class X Notes addresses the timely payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The provisional ratings on the Class A Notes, the Class B Notes, and the Class C Notes address the ultimate payment of interest and ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture).

As of the Closing Date, DBRS Morningstar’s ratings on the Notes are provisional. The provisional ratings reflect the fact that the finalization of the provisional ratings are subject to certain conditions after the Closing Date, such as compliance with Effective Date conditions (as defined in the Indenture).

Provisional ratings are not final ratings with respect to the above-mentioned Notes and may be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Notes is subject to DBRS Morningstar receiving all data and/or information and final documentation that it deems necessary to finalize the ratings.

The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by Mount Logan Management, LLC, which is a subsidiary of Mount Logan Capital Inc. DBRS Morningstar considers Mount Logan Management, LLC an acceptable collateralized loan obligation (CLO) manager.

The provisional ratings reflect the following primary considerations:

(1) The Indenture, dated as of April 22, 2022.

(2) The integrity of the transaction’s structure.

(3) DBRS Morningstar’s assessment of the portfolio quality and covenants.

(4) Adequate credit enhancement to withstand DBRS Morningstar’s projected collateral loss rates under various cash flow-stress scenarios.

(5) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of Mount Logan Management, LLC.

To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality.

With regard to the Coronavirus Disease (COVID-19) pandemic, the magnitude and extent of performance stress posed to global structured finance transactions remain highly uncertain. This considers the fiscal and monetary policy measures and statutory law changes that have already been implemented or will be implemented to soften the impact of the crisis on global economies. Some regions, jurisdictions, and asset classes are, however, affected more immediately. Accordingly, DBRS Morningstar may apply additional short-term stresses to its rating analysis by, for example, front-loading default expectations and/or assessing the liquidity position of a structured finance transaction with more stressful operational risk and/or cash flow timing considerations.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19), please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

There were no environmental, social, or governance factors or consideration with a significant or relevant impact on the credit ratings.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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