Press Release|Structured Credit
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KBRA Assigns Ratings to HITR Quattro 2, Ltd.

11 May 2026   |   New York

Contacts

KBRA assigns ratings to four classes of notes issued by HITR Quattro 2, Ltd. (Quattro2), a securitization backed by a portfolio of bank and insurance TruPs CDO assets.

Quattro2 will have an initial collateral par value of $176.7 million from 28 obligors (32 assets) and total liabilities of $162.8 million. Hildene Structured Advisors, LLC (Hildene) can direct a limited amount of sales and make reinvestments of prepayments and sales within the 2-year reinvestment period.

The securitization consists of $101.8 million Class A-1 Notes, $34.2 million Class A-2 Notes, $11.1 million Class B Notes, $15.7 million Class C Notes, $13.9 million of Subordinated Notes. The ratings reflect current credit enhancement levels, excess spread, and structural features.

The Classes A-1, A-2, B, and C Notes will have par subs of 42.4%, 23.0%, 16.8%, and 7.9% respectively. The obligors in the initial portfolio (“identified portfolio”) have a K-PD of 5.1% and K-WARF of 192, while the stressed portfolio would have a K-WARF of 286 which represents a weighted average portfolio assessment between BBB+ and BBB. Reinvestments are allowed subject to the Investment Criteria.

Kroll Bond Rating Agency's (KBRA) ratings on Class A-1 reflects KBRA’s opinion regarding the likelihood of timely payment of interest and ultimate repayment of principal. While the preliminary rating assigned to the Class A-2, B and C reflects KBRA’s opinion regarding the likelihood of ultimate payment of interest and principal.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

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.

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.

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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