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KBRA Assigns Ratings to Senior Loans, Mezzanine Loans, and Junior Loans Borrowed by Keys Investor IV, LLC

9 Sep 2026   |   New York

Contacts

KBRA assigns ratings to Senior Loans, Mezzanine Loans, and Junior Loans (together, the "Rated Loans") borrowed by Keys investor IV, LLC. (the "Borrower"). The total amount borrowed is $200 million, resulting in initial Loan-to-Value ratios of 55%, 71.25%, and 90% for the Senior Loans, Mezzanine Loans, and Junior Loans, respectively.

Key Credit Considerations

  • Asset Coverage: Giving credit to the credit enhancement provided by the uncalled Subordinated Loans, the Senior Loans have an initial loan-to-value (LTV) ratio of 55.0%, equivalent to 181.8% asset coverage. The Mezzanine Loans have an initial LTV of 71.3%, corresponding to 140.4% asset coverage, while the Junior Loans have an initial LTV of 90.0%, equating to 111.1% asset coverage.
  • Transaction Structure: The transaction includes multiple tests and structural features which are listed below:
    • LTV Trigger: The Rated Loan lenders benefit from a blended Loan-to-Value (LTV) test, which accelerates cash sweeps to the Rated Loans when the LTV on the Rated Loans exceeds the target LTV for each class of Rated Loans. Stage 1 LTV thresholds are effective from closing, with Stages 2 through 4 applying only from the fourth anniversary following closing. The blended target LTV is calculated as a weighted average LTV (based on funded amounts), reflecting the value and concentration attributable to the CVC, Pantheon, and BOF components. The applicable target LTV is the greater of (a) the current blended target LTV and (b) the Private Equity Secondaries (CVC PESEC Fund-only) component. The target LTVs for all three components decline as the portfolio becomes more concentrated. If these tests are breached, no distributions may be made to the Subordinated Loans, and all excess cash must be used to repay the Rated Loans in sequential order of priority until the LTV tests have been cured, in accordance with the respective steps of the Priority of Payments. The target LTV is calculated on a pro-form basis to reflect point-in-time distributions and the remaining portfolio value after the current payment period. While considered a credit-positive, this test is highly sensitive to the accuracy of the portfolio valuation and could potentially allow for greater distributions to the Subordinated Loans if valuations are overstated relative to ultimate realizable values.
    • Amortization Profile: During the first stage of the transaction, repayment of the Rated Loans is determined based on the aforementioned Targeted LTVs. Beginning in year 9, the Priority of Payments changes to repay the Rated Loans in full ahead of any distributions to the Subordinated Loans. See Stage 2 in the Priority of Payments section.
    • Draw Mechanics: If the Rated Loans are not paid in full at their maturity, one year prior, or the NAV of the Borrower is less than or equal to zero, the Borrower will call on the Subordinated Loans, subject to remaining availability, to repay the Rated Loans. Since the Subordinated Loans provide first loss protection, the credit quality of the sole equity holder, Oceanview Life and Annuity Company (“OVLAC”), is a material consideration to the rating assigned to the Rated Loans. KBRA have determined the credit quality of OVLAC is currently sufficient to support the ratings on the Rated Loans, however a deterioration in the credit quality may impact the assigned ratings.
    • Exposure to Interest Rate Risk: The Rated Loans will carry floating rate coupons. In the event of continued rising rates, the Borrower’s borrowing cost will increase, further stressing the ability to fulfill interest and principal obligations due to holders of the Rated Loans. KBRA’s cash flow analysis and the ratings assigned consider this risk but notes the private credit component is majority floating loans which partially offsets this risk.
  • Evolving Portfolio of Private Asset Collateral: Since the Borrower’s asset commitments will ramp up over time, the ultimate composition of the collateral supporting the repayment of the Rated Loans could vary due to performance or the timing and amount of actual capital called. KBRA evaluated a range of cash flow scenarios, which incorporate potential variability in performance outcomes.
  • Interest Deferral & Headroom: Subject to pro forma compliance with the LTV test, additional commitments under the Senior or Mezzanine Loans, beyond those called at closing, may be drawn to cover interest payments on the Senior or Mezzanine Loans and capital calls to fund the unfunded commitments to the portfolio. This would therefore require NAV appreciation such that there is deleveraging of the Rated Loans to draw back to the initial advance rates. Once headroom is exhausted, the Senior and Mezzanine Loans will defer interest if timely payment is not possible. Headroom can be used to cover capital calls for unfunded commitments of the underlying funds subject to the LTV test (with PSD IV and BOF VII remaining unfunded at origination). The lifetime commitment caps for the Senior Loans, Mezzanine Loans, and Junior Loans are $400.0 million, $130.0 million, and $37.5 million, respectively. There is also a limit on the number of Deferred Interest periods permitted for the Senior Loans. Any deferral beyond eight consecutive Payment Dates or more than 16 payment dates in total over the life of the transaction constitutes an Event of Default. In scenarios where NAV does not appreciate, particularly given that the CVC collateral does not generate income distributions prior to redemption, there may be liquidity pressures on the transaction and resulting interest shortfalls. Mitigating factors include income generated by the PSD IV and BOF VII funds, and the Manager’s ability to submit redemption requests for the LP interest.
  • Manager Review and Track Record: 
    • CVC Capital Partners (“CVC”) is a global private markets manager with more than 40 years of experience investing across private equity and credit strategies. Founded in 1981, CVC manages approximately €205 billion in assets under management as of December 2025 and operates a global platform with 29 offices across Europe, the Americas, and Asia-Pacific, supported by 556 investment professionals.
    • Pantheon (“Pantheon”) is a global private markets investor with more than 40 years of experience investing across private equity and other alternative asset classes. Founded in 1982, Pantheon manages approximately $83.8 billion in assets under management and employs 535 professionals globally, including 142 investment professionals, across offices in London, San Francisco, New York, Hong Kong, Tokyo, Seoul, Singapore, and other major financial centers, as of June 2025.
    • Bayview Asset Management (“Bayview”) is a fully integrated asset-based finance manager focused on residential, commercial, and consumer credit investments. Founded in 1993, Bayview initially operated as an advisor to large financial institutions on the valuation and hedging of mortgage servicing rights (MSR). As of December 2025, Bayview manages approximately $39.0 billion in assets under management and employed over 2,150 professionals, including over 275 investment professionals. The firm is headquartered in Coral Gables, Florida, with additional asset management offices in New York, New Jersey, London, and Geneva, as well as loan servicing and origination affiliates in the U.S., Canada, and Italy.

Rating Sensitivities

  • Underperformance of Fund Assets or Reductions of Forecasted Distributions: Sustained deterioration in portfolio valuation or trend of collateral cash flows that are notably lower than current forecasted performance may result in a negative rating change.
  • Credit Profile of the Rated Lenders & Subordinated Lender: Given the transaction’s reliance on the structure to continue to fund through the transaction life, KBRA may consider a downward ratings revision if the credit quality of the Subordinated Loan lender were to decline relative to the current rating of Oceanview Life and Annuity Company.
  • De-Leveraging: A positive rating action may occur if there is de-leveraging of the Rated Loans, resulting in a reduction in LTV that exceeds forecasted or targeted levels.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union and by Kroll Bond Rating Agency UK Limited for use in the UK. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

The rated entity is, or has a relationship with, one or more of KBRA Europe/KBRA UK shareholders that is required to be disclosed under applicable credit rating agency regulation in the EU and/or the UK. Please review KBRA's shareholder disclosures, which are updated periodically.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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