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KBRA Affirms Ratings to the Senior Loans, Mezzanine Loans, and Junior Loans Issued by Keys Investor II, LLC

27 May 2026   |   New York

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KBRA affirms the ratings to the Senior Loans, Mezzanine Loans and Junior Loans (together the "Rated Loans") issued by Keys Investor II, LLC (the "Issuer") and maintains the Stable outlooks. The Issuer is an SPV legally owned and controlled by Oceanview US Holdings. The Issuer received $150.0 million of total commitments, with initial advance rates (inclusive of the Subordinated Loans) of 55.5%, 73.0% and 90.0% for the Senior Loans, Mezzanine Loans, and Junior Loans, respectively.

The net proceeds of the transaction are used to invest in an asset portfolio consisting of (i) limited partnership interests in Crown Liquidity Solutions Master S.C.Sp and (ii) eligible investments in private credit loans. Distributions from the limited interests and private credit loans are intended to fund capital calls and other fund obligations, expenses and interest on and repayment of the Rated Loans.

KBRA’s rating analysis incorporates both quantitative and qualitative factors. The quantitative assessment evaluates the transaction based on five key quantitative determinants (Asset Quality, Asset Coverage, Liquidity, Duration, and Cash Flow Analysis) which collectively measure the ability of the underlying collateral to meet the rated instrument’s obligations. Qualitative considerations include a review of the Manager, legal and structural features. As part of its review, KBRA considers the transaction’s stage within its lifecycle, the performance of the Rated Loans, the level of capital deployment relative to expectations, and the performance of the underlying portfolio. The transaction remains in its investment period (scheduled to end in March 2029) and the performance of the transaction has generally been in line with expectations at issuance. As of March 23, 2026, no principal repayments on the Loans have been made, reflecting the transaction’s continued ramp-up and investment phase, and the LTVs remain in line with expectations at issuance. Based on the factors outlined above, KBRA affirmed the ratings and maintained the Stable outlooks.

Key Credit Considerations

  • Asset Coverage (N/A): The initial advance rates (inclusive of the Subordinated Loans) are 55.5% (180.2% asset coverage), 73.0% (137.0% asset coverage), and 90.0% (111.1% asset coverage) for the Senior Loans, Mezzanine Loans, and Junior Loans, respectively. As of March 23, 2026, the LTV ratios were 44.9% (222.6% asset coverage), 59.1% (169.2% asset coverage) and 72.8% (137.3% asset coverage), respectively. The LTV is calculated as the outstanding principal amount of the Loan divided by the sum of the NAV of the Borrower and the remaining commitment held by the Subordinated Creditors.
  • LTV Tests (+/-): The transaction benefits from LTV thresholds, applicable 48 months after closing (the “LTV Test Date”). Following the LTV Test Date, the applicable Target LTV thresholds step down based on the level of portfolio diversification, thereby accelerating cash sweeps to the Rated Loans if the LTV exceeds the Targeted LTV for each class of the Rated Loans. The active Targeted LTV is the greater of the blended calculation or the CLS component alone. The active Targeted LTV is the greater of (i) the blended calculation and (ii) the Targeted LTV applicable solely to the CLS component. The Targeted LTV thresholds for both components steps down as portfolio concentration increases. Upon a breach of the applicable LTV test, distributions to the Subordinated Loans are prohibited and all excess cash flows must be applied to sequential repayment of the Rated Loans in accordance with the priority of payments until compliance is restored. The Target LTV is calculated on a pro forma basis, incorporating current-period distributions and the residual portfolio value following the payment date. While the mechanism is viewed as a credit positive due to its deleveraging effect, its effectiveness is dependent on the accuracy and timeliness of portfolio valuations. As a result, there is a risk that overstated valuations could permit distributions to the Subordinated Loans that may not otherwise occur if valuations more closely reflected ultimate realization values.
  • Amortization Profile (-): Beginning on the fourth anniversary of the transaction, repayment of the Rated Loans is determined by the Targeted LTV tests. After the eighth anniversary of the transaction, the priority of payments changes to a fully sequential amortization structure to repay the Rated Loans in full ahead of any distribution to the Subordinated Loans. While the Targeted LTV framework applies during the earlier years of the transaction, significant portfolio realizations or distributions prior to year eight could result in the Rated Loans becoming supported by a potentially more concentrated residual portfolio.
  • Draw Mechanics (-/+): The Rated Loans are drawn pro rata over time as capital calls are made. The Subordinated Loans will be drawn if needed for investment purposes once the Rated Loans are drawn in full or as first loss protection on the Rated Loans at their maturity. This draw mechanism results in lower funded subordination during the ramp-up period relative to a traditional fully funded pro rata capital structure and may increase the transaction’s interest burden. However, to the extent the Rated Loans are not fully drawn, the structure leaves the undrawn Subordinated Loan commitments available to support the outstanding Rated Loans relative to a pure pro rata draw structure, as the entirety of the undrawn Subordinated Loan commitments remains available to support a partially funded senior balance. As the Subordinated Loans function as first-loss protection for the Rated Loans, the credit profile of the sole subordinated investor is an important component of KBRA’s analysis. OVLAC is the sole holder of the Subordinated Loans and is rated “A” for Financial Strength and “a” for Long-Term Issuer Credit Rating by A.M. Best. KBRA views OVLAC’s current credit profile as sufficient to support the ratings on the Rated Loans.
  • Evolving Portfolio of Private Asset Collateral (-): As the Issuer’s asset commitments ramp up over time, the composition of the collateral supporting repayment of the Rated Loans may evolve based on the timing and magnitude of capital calls, investment deployment, and the ultimate mix of funded assets. As a result, the portfolio may change over time with respect to asset type, diversification, yield profile, and underlying credit characteristics. KBRA evaluated a range of cash flow scenarios designed which incorporated potential variability in portfolio construction and performance.
  • Manager (+): The Manager is a registered investment advisor and part of LGT Capital Partners, a Switzerland-based asset manager with approximately $110 billion of assets under management (“AUM”). LGT CP is ultimately beneficially owned by the Princely Family of Liechtenstein and currently employs more than 950 professionals across 16 global offices. LGT CP also manages LGT Group Endowment (with more than $20 billion of AUM) which acts as a co-investor alongside LGT CP’s clients.

Rating Sensitivities

  • Sustained Underperformance of Fund Assets or Reductions of Forecasted Distributions (-): Sustained deterioration in portfolio valuation, or a trend of collateral cash flows below forecasted expectations, could result in negative rating changes. In particular, weaker-than-anticipated asset performance, delayed realizations, or reductions in forecasted distributions may adversely affect the transaction’s ability to meet obligations.
  • Credit Profile of the Loan Holder (-): Given the transaction’s reliance on continued funding support throughout its life, negative rating changes may occur if the credit quality of the Subordinated Loan holder were to materially deteriorate relative to KBRA’s current view of OVLAC.
  • Significant De-Leveraging of the Loans (+): Positive rating changes could occur if the Rated Loans are significantly de-levered, resulting in LTV ratios that improve compared to current forecasted or targeted levels. Sustained reductions in leverage driven by asset appreciation, principal repayments, or realized distributions, may enhance collateral coverage and overall credit protection for the Rated Loans.
  • Underlying Borrower Performance (+): Positive rating changes could occur if the weighted average credit quality of the underlying private credit borrowers improves over time relative to expectations at issuance. Sustained improvement in borrower performance, including stronger operating results or enhanced repayment capacity, may contribute to stronger portfolio credit characteristics.
  • Portfolio Composition Inconsistent with Expectations (+/-): KBRA’s assessment of the portfolio’s credit profile reflects expectations of the underlying portfolio target asset composition. If the final portfolio deviates from the assumed parameters, including size, diversity, yield, or credit quality, KBRA may revise its view of asset quality, and any such reassessment could affect the ratings.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publication

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.

There are certain issuers, entities or transactions rated by KBRA Europe or KBRA UK that may be or have relationships with Shareholders and/or Shareholder-Related Companies, as that term is defined in KBRA’s Shareholder and Shareholder Related Companies for KBRA Europe and KBRA UK Policy and Procedure. Relevant disclosure information may be found here.

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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