Articles from Kroll Bond Rating Agency, LLC

KBRA assigns preliminary ratings to SEB Funding LLC (the Issuer), Series 2026-1 (SEB 2026-1), a whole business securitization. SEB 2026-1 represents the Issuer’s third securitization following the establishment of the master trust in 2021. In conjunction with the issuance of the Series 2026-1 Notes, KBRA anticipates affirming the ratings on the outstanding Series 2024-1, Class A-1 VFN and Class A-2 Notes and withdrawing the ratings on the Series 2021-1, Class A-1 VFN, Class A-1 LR and Class A-2 Notes.

KBRA assigns preliminary ratings to 44 classes of mortgage-backed notes from PMT Loan Trust 2026-CNF2 (PMTLT 2026-CNF2), a prime RMBS transaction sponsored by PennyMac Corp. (PennyMac), an indirect, wholly-owned subsidiary of PennyMac Mortgage Investment Trust (PMT). PMTLT 2026-CNF2 comprises 547 agency-eligible, conforming mortgage loans with an aggregate stated principal balance of approximately $301.5 million as of the March 1, 2026 cut-off date. The underlying collateral consists of fully amortizing, mostly 30-year fixed-rate mortgages originated under the general QM designation. The pool is characterized by a weighted average (WA) original loan-to-value (LTV) of 75.2%, a WA original combined LTV (CLTV) of 76.0% and a WA original credit score of 764.

KBRA assigns preliminary ratings to Series 2026-1 Notes (Fidium 2026-1 or Series 2026-1) from Fidium, LLC and Fidium Fiber Finance Holdco LLC (the Co-Issuers), a communications infrastructure securitization (CIS) that is primarily collateralized by fiber-to-the-premises (FTTP) networks and related contracts.

KBRA assigns preliminary ratings to seven classes of notes issued by Research-Driven Pagaya Motor Asset Trust 2026-1 and Research-Driven Pagaya Motor Trust 2026-1 (collectively “RPM 2026-1”), an auto loan ABS transaction. RPM 2026-1 has initial credit enhancement levels of 89.05% for the Class A-1 notes to 3.25% for the Class E notes. Credit enhancement is comprised of overcollateralization, subordination of junior note classes (except for the Class E notes), a cash reserve account funded at closing, and excess spread.

KBRA releases a Tuesday recap of the SFVegas 2026 conference held on February 22-25.

KBRA releases a Monday recap of the SFVegas 2026 conference held on February 22-25.

KBRA is pleased to announce the assignment of preliminary ratings to 14 classes of Benchmark 2026-V21, a $1.2 billion CMBS conduit transaction collateralized by 41 commercial mortgage loans secured by 68 properties. The collateral properties are located throughout 30 MSAs, of which the three largest are New York (11.3%), Philadelphia (8.0%), and Las Vegas (7.9%). The pool has exposure to all major property types, with four types representing more than 10.0% of the pool balance: mixed-use (25.7%), office (20.5%), lodging (19.4%), and multifamily (16.0%). The loans have in-trust principal balances ranging from $2.2 million to $95.0 million for the largest loan in the pool, CityCenter (Aria & Vdara) (7.9%), a portfolio of two full-service hotels and casinos totaling 5,349 keys located on the Las Vegas Strip in Las Vegas, Nevada. The five largest loans, which also include 400 Arcola Road (7.5%), City Foundry STL (6.3%), Energy Centre (5.1%), and HKB Portfolio (5.0%), represent 31.8% of the initial pool balance, while the top 10 loans represent 52.1%.

KBRA releases its Q4 2025 Middle Market Borrower Surveillance Compendium, providing insights into credit quality across KBRA’s portfolio of rated direct lending transactions.

KBRA downgrades the long-term rating on the City of Chicago, IL General Obligation Bonds to BBB+. Concurrently, KBRA assigns a long-term rating of BBB+ to the City of Chicago, IL General Obligation Bonds, Taxable Series 2026A and General Obligation Bonds, Series 2026B. The Outlook remains Negative.

KBRA assigns its BBB issuer rating to Postal Realty LP (NYSE: PSTL). The Outlook is Stable.

KBRA releases its 2026 U.S. Airport Sector Outlook, which examines the sector’s credit stability, structural strengths, and rating surveillance outcomes.

KBRA assigns a long-term rating of AA+ to the Triborough Bridge and Tunnel Authority Payroll Mobility Tax ("PMT") Senior Lien Refunding Bonds, Series 2026A.

On February 17, 2026, Blue Owl Capital Corp. II (“OBDC II” or “the company”) (KBRA Issuer/ Senior Unsecured Debt ratings of BBB+/Stable outlook) filed a Form 8-K disclosing entry into loan sale agreements totaling $600 million at 99.7% of par including unfunded commitments. The transactions are expected to generate approximately $538 million of proceeds after fees, which the company intends to use to repay secured debt and to distribute approximately 30% of total net assets to shareholders on a pro-rata basis. OBDC II’s direct lending investment sales are part of Blue Owl's broader $1.4 billion asset sale to institutional investors, including public pension plans and insurance companies. The broader transaction also includes assets from Blue Owl Capital Corporation (KBRA Issuer/ Senior Unsecured Debt ratings of BBB+/Stable) and Blue Owl Technology Income Corp. (KBRA Issuer/ Senior Unsecured Debt ratings of BBB/Stable).

KBRA assigns preliminary ratings to ten classes of mortgage-backed certificates from Angel Oak Mortgage Trust 2026-2 (AOMT 2026-2), a $272.8 million non-prime RMBS transaction. The underlying collateral, comprised of 585 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. All the loans are either classified as non-qualified mortgages (Non-QM) (52.1%) or exempt (47.9%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes. Angel Oak Mortgage Solutions and Emporium TPO are the largest originators, comprising 24.8% and 10.1% of the pool respectively, with no other originator comprising more than 10% of the collateral.

KBRA assigns preliminary ratings to eight classes of mortgage-backed notes from Aspire Mortgage Trust 2026-1 (SPIRE 2026-1), a $391.3 million non-prime RMBS transaction. The underlying collateral, comprising 752 residential mortgages, is characterized by fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs), which make up 99.2% and 0.8% of the pool, respectively. The loans are classified as Qualified Mortgages – Safe Harbor (APOR) (QM: Safe Harbor (APOR)) (27.3%), Qualified Mortgages – Rebuttable Presumption (APOR) (QM: Rebuttable Presumption (APOR)) (3.4%), Non-Qualified Mortgages (Non-QM) (16.8%), or exempt (52.5%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to origination for non-consumer loan purposes.

KBRA releases research examining the credit characteristics and loss profiles of securitized home improvement (HI) loans by product type (promotional versus traditional) and provides an update on ABS issuance trends and credit performance.

KBRA releases its prime RMBS default study, which analyzes over 455,000 loans representing $292.3 billion in original balance from nearly 640 prime transactions issued between 2010 and 2025. This report examines performance dynamics across key loan attributes—including vintage, combined loan-to-value (CLTV) ratio, credit score, occupancy, loan purpose, product type, and borrower reserves—and identifies how layered risk factors impact credit outcomes.

KBRA is pleased to announce the assignment of preliminary ratings to nine classes of BSPDF 2026-FL3, a managed CRE CLO securitization with the ability to reinvest principal proceeds for 30 months including a 180-day ramp-up period.

KBRA releases research examining trends in key auto loan ABS origination metrics—including loan-to-value (LTV), payment-to-income (PTI), annual percentage rate (APR), and original term—to assess how underwriting standards have evolved across originators and borrower credit segments over time. Auto loan ABS credit performance has softened in recent years (see U.S. Auto Loan ABS Indices) as borrowers navigate higher interest rates, persistent inflationary pressures, and elevated vehicle prices. At the same time, the post-pandemic rebound in origination volumes may have coincided with some easing in select underwriting metrics among certain lenders.

KBRA releases its latest 12 Things in Credit report, highlighting timely credit market themes drawn from our weekly podcast, 3 Things in Credit, hosted by KBRA’s Chief Strategist, Van Hesser. Among the wide-ranging topics Van discusses in this issue are considerations related to massive hyperscaler debt issuance, differing views on the strength of retail sales, and the outlook for already high corporate margins.

KBRA assigns a long-term rating of AA- with a Stable Outlook to the Pennsylvania Turnpike Commission Turnpike Revenue Bonds, Series A of 2026 and Turnpike Revenue Refunding Bonds, First Series of 2026.

KBRA is pleased to announce the assignment of preliminary ratings to 15 classes of Benchmark 2026-B42, an $729.2 million CMBS conduit transaction collateralized by 62 commercial mortgage loans secured by 123 properties. The collateral properties are located throughout 43 MSAs, of which the three largest are New York (33.9% of pool balance), Phoenix (11.0%), and Washington - NoVA - MD (4.1%). The pool has exposure to most major property types, with four types representing more than 10.0% of the pool balance: retail (30.3%), self-storage (24.3%), office (21.2%), and multifamily (13.0%). The loans have in-trust principal balances ranging from $997,810 to $70.0 million for the largest loan in the pool, 215 Park Avenue South (9.6%), a 346,216 sf, Class-B office building located in the Gramercy neighborhood of New York City's borough of Manhattan. The five largest loans, which also include Gilbert Gateway Towne Center (8.2%), U-Haul Portfolio (5.3%), 525 7th Avenue (4.8%) and 50 West 23rd Street (4.1%), represent 32.0% of the initial pool balance, while the top 10 loans represent 50.6%.

KBRA assigns preliminary ratings to 10 classes of mortgage pass-through certificates from ADMT 2026-NQM2, a $602.7 million non-prime RMBS transaction sponsored by Atlas A&D Opportunity Fund III LP, with the majority of the loans being originated by A&D Mortgage, LLC or one of its qualified correspondents. The underlying collateral, comprising 1,793 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. Borrowers in the subject pool possess a non-zero WA original credit score of 748 and exhibit notable equity in each mortgaged property, with a WA combined LTV (CLTV) ratio of 68.6%. Notably, 4.8% of the loans are second-lien loans.

KBRA releases research that examines the use of paid-in-kind (PIK) interest in corporate portfolio finance.

KBRA assigns preliminary ratings to ten classes of mortgage pass-through certificates from CROSS 2026-NQM2 Mortgage Trust, an RMBS transaction issued under the CROSS shelf, where Hildene-CCC Loan Acquisition II, LLC and CrossCountry Capital are the co-sponsors. This $612.2 million transaction is collateralized by a pool of 1,232 residential mortgages, including a meaningful concentration of collateral that KBRA considers to be “non-prime” (71.0%), with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 89.8% and 10.2% of the pool, respectively. Most loans are either classified as non-qualified mortgages (Non-QM; 61.1%) or exempt (37.7%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes.

KBRA assigns preliminary ratings to 21 classes of mortgage-backed notes from RCKT Mortgage Trust 2026-CES2 (RCKT 2026-CES2).

The 30+ day delinquency rate among KBRA-rated U.S. private label commercial mortgage-backed securities (CMBS) increased to 8.1% in January from 7.6% in December, while the distress rate (which reflects delinquent plus current-but-specially-serviced loans) increased to 10.7% from 10.4%.

KBRA assigns an A+ long-term rating to the City of Chicago (the City) Chicago O'Hare International Airport (O'Hare) General Airport Senior Lien Revenue Bonds (O'Hare GARBs), Series 2026A (Non-AMT). Concurrently, KBRA affirms the A+ rating on the City's approximately $10.8 billion of Chicago O'Hare International Airport General Airport Senior Lien Revenue Bonds. The Outlook is Stable.

KBRA announces the assignment of preliminary ratings to seven classes of WFCM 2026-1250B, a CMBS single-borrower securitization.

KBRA assigns preliminary ratings to 10 classes of mortgage-backed notes from New Residential Mortgage Loan Trust 2026-NQM3 (NRMLT 2026-NQM3), a $475.8 million non-prime RMBS transaction sponsored by Rithm Capital Corp. (formerly New Residential Investment Corp.), a publicly traded (NYSE: RITM) real estate investment trust (REIT). The underlying mortgages in the subject pool were primarily originated by NewRez LLC (57.5%). In addition, all loans will be serviced by NewRez LLC.

KBRA assigns preliminary ratings to seven classes of debt issued by VCP RRL ABS V, LLC (VCP V), a securitization backed by a portfolio of recurring revenue and middle market corporate loans.

KBRA assigns preliminary ratings to 14 classes of mortgage-backed notes from OBX 2026-NQM3 Trust, a $840.8 million non-prime RMBS transaction. The underlying collateral, comprising 1,547 residential mortgages, is characterized by fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 92.7% and 7.3% of the pool, respectively. A majority of the loans are either classified as non-qualified mortgages (Non-QM; 49.2%) or exempt (43.3%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes. There were no originators comprising over 10% of the pool.

KBRA releases its fourth-quarter 2025 U.S. Bank Compendium, providing the latest view of the U.S. banking industry and analysis of 4Q25 results for publicly traded U.S. banks with KBRA ratings.

KBRA announces the assignment of preliminary ratings to five classes of PLYM 2026-IND, a CMBS single-borrower securitization. The collateral for the transaction is a $1.46 billion floating rate, interest-only mortgage loan. The loan is expected to have an initial two-year term with three, one-year extension options and require monthly interest-only payments. The loan will be secured by the borrower's fee simple interests in 145 industrial properties (227 individual buildings) encompassing a total of 32.1 million sf. The properties are located in 11 states, the five largest of which are Ohio (60 properties, 36.9% of allocated loan amount), Tennessee (25 properties, 15.4%), Indiana (21 properties, 12.4%), Georgia (14 properties, 11.2%), and Florida (five properties, 11.0%). As of December 2025, the portfolio was 92.3% leased to more than 500 unique tenants.

KBRA assigns a long-term rating of AA+ to the following series of bonds of the Metropolitan Government of Nashville and Davidson County, TN ("Metro"):

KBRA assigns a preliminary rating to one class of notes issued by Sabal Issuer 2026-1 LLC. The transaction is collateralized by a diversified pool of 21,882 leases and power purchase agreements (PPAs) associated with residential solar photovoltaic installations (PV Systems), some of which have energy storage equipment. The total aggregate discounted solar asset balance (ADSAB) based on a discount rate of 7.5%, consisting of the discounted payments of the leases and PPAs is approximately $583.9 million. The securitization share of the ADSAB is approximately $526.4 million.

KBRA releases research examining the role of anticipated repayment dates (ARD) in whole business (WBS) transaction structures. The report also reviews the upcoming ARD schedule across the KBRA-rated WBS population and provides an evaluation of potential refinancing challenges and issuer strategies.

KBRA releases updated research on the 5% of 1,903 levered middle-market borrowers assessed in 2024 that were identified as being at an elevated risk of future payment default.

KBRA announces the assignment of preliminary ratings to seven classes of BX 2026-XL6, a CMBS single-borrower securitization. The collateral for the transaction is a $1.2 billion floating rate, interest-only mortgage loan. The loan is expected to have an initial two-year term with three, one-year extension options and require monthly interest-only payments. The loan will be secured by the borrower’s fee simple interests in 56 industrial assets and five office assets. In total, the portfolio contains 7.4 million sf and the properties are located across eight states, the five largest of which are California (42.7%), New Jersey (30.1%), Texas (12.2%), Arizona (9.7%), and Tennessee (1.8%). As of January 2026, the portfolio was 90.7% leased to 169 unique tenants.

KBRA assigns preliminary ratings to 10 classes of mortgage pass-through certificates from GCAT 2026-NQM1 Trust, a $375.7 million non-prime RMBS transaction. The underlying collateral, comprising 668 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. Borrowers in the subject pool possess a non-zero WA original credit score of 751 and exhibit modest equity in each mortgaged property, with WA LTV and combined LTV (CLTV) ratios of 70.0% and 70.0%, respectively.

KBRA is monitoring One New York Plaza Trust 2020-1NYP, a CMBS single-asset single-borrower transaction, due to the transfer of the underlying loan to the special servicer on December 18, 2025 for imminent maturity default, ahead of its maturity date. The floating-rate, interest-only loan had an initial term of two years with three one-year extension options resulting in a fully extended maturity date of January 9, 2026.

KBRA assigns preliminary ratings to Sprite 2026-1 Limited and Sprite 2026-1 US LLC (Sprite 2026-1), an aviation ABS transaction. Sprite 2026-1 represents the third aviation ABS transaction sponsored by World Star Aviation Limited (World Star or the Company). Since inception, the Company has completed 482 aircraft transactions and currently holds a fleet of 99 aircraft and 66 engines, making it the third largest freighter lessor globally.

KBRA assigns preliminary ratings to 6 classes of mortgage-backed certificates from GS Mortgage-Backed Securities Trust 2026-DSC1 (GSMBS 2026-DSC1), a $301.8 million RMBS transaction sponsored by Goldman Sachs Mortgage Company (Goldman Sachs) solely backed by collateral underwritten to debt-service coverage ratio (DSCR) guidelines. The underlying pool ($301.8 million), comprising 1,331 rental property mortgages as of the February 1, 2026 cut-off date. The mortgage loans are seasoned approximately 5 months with United Wholesale Mortgage, LLC (24.7%) as the largest contributing originator. The collateral is characterized mostly by fully amortizing, fixed-rate mortgages (FRMs) with 30-year (98.3%) terms. All the loans in the pool were categorized as exempt from the ATR/QM rule due to being originated for business purposes.

KBRA assigns preliminary ratings to ME Funding, LLC, Series 2026-1 (Massage Envy 2026-1), a whole business securitization (WBS). Massage Envy 2026-1 represents the Issuer’s third securitization following the establishment of the master trust in 2019. KBRA anticipates withdrawing the ratings on the Issuer’s Series 2024-1, Class A-1-VFN, Class A-1-LR and Class A-2 Notes in conjunction with the issuance of the Series 2026-1 Notes, whose proceeds are being used to fully refinance the Series 2024-1 notes and pay related transaction fees and expenses. The transaction collateral includes existing and future franchise and development agreements, regional development agreements, vendor contracts, related franchisee payments and securitization intellectual property (IP).

KBRA assigns preliminary ratings to 102 classes of mortgage pass-through certificates from Sequoia Mortgage Trust 2026-3 (SEMT 2026-3), a $384.7 million prime RMBS transaction. The pool is comprised of 305 first-lien, fully amortizing fixed rate mortgages with mostly 30-year maturity terms. The collateral is characterized by a weighted average (WA) original credit score of 782 and moderate borrower equity, with a WA original LTV of 71.8% and WA original CLTV of 71.8%.

KBRA assigns preliminary ratings to two classes of notes issued by TIP Solar ABS 2026-1 Issuer LLC. The transaction is collateralized by a diversified pool of 7,812 leases and power purchase agreements (PPAs) associated with residential solar photovoltaic installations (PV Systems). The total Aggregate Discounted Solar Asset Balance (ADSAB) based on a discount rate of 7.5%, consisting of the discounted payments of the leases and PPAs, is approximately $226.6 million.

KBRA assigns preliminary ratings to five classes of notes issued by Purchasing Power Funding 2026-A, LLC (“PPWR 2026-A”), a $225.00 million consumer installment receivable ABS transaction. PPWR 2026-A is a revolving ABS securitization with an initial securitization value of approximately $256.1 million and is collateralized by a pool of retail installment sales contracts (“Receivables”) originated by Purchasing Power, LLC (the “Company” or “Purchasing Power”).

KBRA assigns preliminary ratings to 64 classes of mortgage pass-through notes from OBX 2026-INV1 Trust, a $346.3 million prime investor RMBS transaction. The underlying collateral, comprising 883 residential mortgages consisting primarily of 30-year fixed-rate mortgages (FRMs) that are collateralized by investment properties (77.3%) and second homes (22.7%). PennyMac Loan Services, LLC (PennyMac; 45.6%) and Rocket Mortgage, LLC (Rocket; 22.6%) are the only originators comprising over 10% of the pool.

KBRA assigns preliminary ratings to ten classes of mortgage-backed certificates from Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2 (MSRM 2026-NQM2). MSRM 2026-NQM2 is an RMBS transaction sponsored by Morgan Stanley Mortgage Capital Holdings LLC as seller/sponsor and includes a meaningful concentration of collateral that KBRA considers to be “non-prime.” The $439.3 million RMBS transaction is collateralized by a pool of 953 residential mortgages, with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 98.3% and 1.7% of the pool, respectively.

KBRA announces the assignment of preliminary ratings to seven classes of LEX 2026-450, a CMBS single-borrower securitization. The collateral for the transaction is a $407.5 million non-recourse, first lien mortgage loan. The floating rate, interest-only loan has an initial two-year term with three, one-year extension options. The loan is secured by the borrower’s leasehold interest in 450 Lexington Avenue, a 40-story, Class-A, LEED Gold certified office building containing 950,269 sf. The building is located in the Grand Central submarket of Midtown Manhattan in New York City. As of January 2026, the property was 99.9% leased to 12 tenants. The five largest tenants at the property include Davis Polk & Wardell LLP (DPW) (52.5% of base rent), Warburg Pincus (29.8%), PSP (4.0%), American Industrial Partners (3.9%), and Chaincode Labs (3.6%). Together, these top five tenants account for 93.7% of total base rent and 96.5% of the total sf.

KBRA assigns preliminary ratings to five classes of notes issued by RKTL Trust 2026-1 (“RKTL 2026-1”), an asset-backed securitization collateralized by unsecured consumer loans. This transaction represents RockLoans Marketplace LLC (“RockLoans”, “Rocket Loans”, or the “Company”) third 144A unsecured consumer loan ABS securitization.

KBRA assigns a long-term rating of AA- to Lee County, Florida's (the County) Aviation Revenue Bonds Series 2026A-1 (AMT); Airport Revenue Bonds Series 2026A-2 (Put Bonds) (AMT); and Airport Revenue and Refunding Bonds Series 2026B (Non-AMT) issued for Southwest Florida International Airport (the Airport). Concurrently, KBRA affirms the AA- long-term rating on the County's approximately $862.8 million outstanding Aviation Revenue Bonds. The Outlook is Stable.

KBRA assigns preliminary ratings to Castlelake Aircraft Structured Trust 2026-1 (CLAS 2026-1), an aviation ABS transaction. CLAS 2026-1 represents the 12th aviation ABS transaction sponsored by Castlelake, L.P. (Castlelake, or the Company). CLAS 2026-1 will be serviced by Castlelake Aviation Holdings (Ireland) Limited (the Servicer), which is a wholly owned subsidiary of Castlelake. Since inception, the Company has invested more than $22 billion of fund equity in aviation secured financing and has raised approximately $8 billion of ABS debt across multiple financings. A company managed by Castlelake will retain the equity position in CLAS 2026-1 at closing, as it has done in its previous securitizations.

KBRA assigns preliminary ratings to MAST 2026-1 Limited and MAST 2026-1 LLC, an aviation ABS transaction. MAST 2026-1 represents the second ABS Issuance by Marathon Asset Management, LP (Marathon, or the Company). Funds managed by Marathon Asset Management, LP and its affiliates will retain 100% of the equity of the subject transaction at closing. The transaction is the inaugural aviation ABS serviced by Orix Aviation Systems Limited (Orix, the Servicer). Additionally, four aircraft within the ABS will be serviced by Airborne Capital Limited or Arena Aviation Capital (together, the Sub-Servicers).

KBRA releases the January 2026 issue of CMBS Trend Watch.

KBRA assigns a long-term rating of AAA with a Stable Outlook to the State of Wisconsin General Obligation Refunding Bonds of 2026, Series 1 and General Obligation Refunding Bonds of 2027, Series 1 (Forward Delivery).

KBRA releases a recap of the Fund Finance Association’s (FFA) 15th Annual Global Fund Finance Symposium held at the Fontainebleau in Miami Beach on February 2-4. The event was well attended with over 3,000 registrants, attracting market participants including investors, fund managers, bankers, lawyers, and credit rating agencies.

KBRA releases research presenting data and observations to help frame the potential risks artificial intelligence (AI) may pose to the direct lending landscape, in the context of recent market volatility.

KBRA assigns preliminary ratings to 10 classes of mortgage-backed notes from BRAVO Residential Funding Trust 2026-NQM2 (BRAVO 2026-NQM2). The $519.4 million RMBS transaction is collateralized by a pool of 996 residential mortgages, with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 99.6% and 0.4% of the pool, respectively. Most loans are classified as exempt (52.8%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes, with the remaining loans classified as either non-qualified mortgages (Non-QM) (42.9%), safe-harbor QM (4.3%) or rebuttable-presumption (0.1%). KBRA considers the loans in the subject pool to be non-prime due to certain loan or borrower characteristics, which include borrowers with blemished credit history and the use of bank statements and other forms of alternative documentation to document income.

KBRA assigns preliminary ratings to eight classes of notes issued by Pagaya AI Debt Grantor Trust 2026-R1 and Pagaya AI Debt Trust 2026-R1 (collectively “PAID 2026-R1”), an unsecured consumer loan ABS transaction. PAID 2026-R1 has initial hard credit enhancement levels of 47.00% for the Class A Notes to 5.85% for the Class E Notes. Credit enhancement is comprised of overcollateralization, subordination (except for the Class E Notes), cash reserve accounts funded at closing, and excess spread.

KBRA assigns preliminary ratings to 24 classes of mortgage pass-through certificates from Morgan Stanley Residential Mortgage Loan Trust 2026-INV1 (MSRM 2026-INV1). The transaction consists of 749 fixed-rate mortgages (FRMs) with an aggregate principal balance of $310.2 million as of the February 1, 2026 cut-off date. The underlying pool consists of loans that are collateralized by investment properties (74.2%) and second homes (25.8%).

KBRA assigns preliminary ratings to six classes of notes issued by Avant Loans Funding Trust 2026-REV1 (“AVNT 2026-REV1”), an unsecured consumer loan ABS transaction. AVNT 2026-REV1 has initial hard credit enhancement levels of 67.38% for the Class A Notes to 3.24% for the Class F Notes. Credit enhancement consists of overcollateralization, yield supplement overcollateralization, subordination (except for the Class F Notes), a cash reserve account funded at closing, and excess spread.

KBRA assigns preliminary ratings to 96 classes of mortgage pass-through certificates from Sequoia Mortgage Trust 2026-2 (SEMT 2026-2), a $792.2 million prime RMBS transaction. The pool is comprised of 620 first-lien, fully amortizing fixed rate mortgages with mostly 30-year maturity terms. The collateral is characterized by a weighted average (WA) original credit score of 776 and moderate borrower equity, with a WA original LTV of 73.6% and WA original CLTV of 73.6%.

KBRA is pleased to announce the assignment of preliminary ratings to eight classes of ACORE 2026-FL1, a managed CRE CLO securitization with the ability to reinvest principal proceeds for 30 months.

KBRA assigns a long-term rating of AAA to Round Rock Independent School District's (the "District's" or "RRISD's") Series 2026A and Series 2026B Unlimited Tax School Building Bonds and Variable Rate Unlimited Tax School Building Bonds, respectively. Additionally, KBRA affirms the District's outstanding unlimited tax obligations at AAA. The Rating Outlook is Stable for the new and existing unlimited tax obligations.

KBRA announces the assignment of preliminary ratings to seven classes of LBTY 2026-225L, a CMBS single-borrower securitization. The collateral for the transaction will be a $800.0 million fixed rate, interest-only mortgage loan. The loan is expected to have an initial five-year term and will require monthly interest-only payments. The loan will be secured by the borrower’s leasehold interest in 225 Liberty, a 44-story, Class-A, LEED Gold certified office tower containing 2.4 million sf. The building is located in the Financial District of New York City’s borough of Manhattan. The property was developed in 1987 and acquired by the sponsors in 1996 and as of November 2025, the property was 90.1% leased to 19 unique tenants. The five largest tenants by base rent consist of Brookfield (27.0%), Confidential Tenant (14.9%), People Inc (13.3%), Invesco (10.1%), and Bank of America (6.7%). Together, these top five tenants account for 72.1% of total base rent and 65.8% of the total sf.

KBRA assigns preliminary ratings to 57 classes of mortgage-backed notes from PMT Loan Trust 2026-INV2 (PMTLT 2026-INV2), a prime RMBS transaction sponsored by PennyMac Corp. (PennyMac), an indirect, wholly-owned subsidiary of PennyMac Mortgage Investment Trust (PMT). PMTLT 2026-INV2 comprises 1,087 fixed-rate mortgages (FRMs) with an aggregate principal balance of $423.8 million as of the February 1, 2026 cut-off date. The underlying pool consists of agency-eligible loans that are collateralized by investment properties (72.8%) and second homes (27.2%). The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 73.9%. The weighted average original credit score is 775, which is well within the prime mortgage range.

KBRA announces the assignment of preliminary ratings to six classes of BX 2026-CSMO, a CMBS single-borrower securitization.

KBRA assigns preliminary ratings to 10 classes of mortgage-backed notes from New Residential Mortgage Loan Trust 2026-NQM2 (NRMLT 2026-NQM2), a $508.0 million non-prime RMBS transaction sponsored by Rithm Capital Corp. (formerly New Residential Investment Corp.), a publicly traded (NYSE: RITM) real estate investment trust (REIT). The underlying mortgages in the subject pool were primarily originated by NewRez LLC (67.6%). In addition, all loans will be serviced by NewRez LLC.

KBRA assigns a long-term rating of A to the Port Neches-Groves Independent School District, TX: Unlimited Tax School Building Bonds, Series 2026. The Outlook is Stable.

KBRA assigns preliminary ratings to five classes of notes (seven tranches) issued by GLS Auto Receivables Issuer Trust 2026-1 (“GCAR 2026-1”), an auto loan ABS transaction.

KBRA is pleased to announce the formation of a global team dedicated to the continued growth of its private credit direct lending feeder note, collateralized loan obligation (CLO), and credit facility ratings.

KBRA assigns preliminary ratings to 58 classes from Connecticut Avenue Securities Trust 2026-R01 (CAS 2026-R01), a credit risk sharing transaction with a total note offering of $661,674,000. The pool is characterized by loans with original loan-to-value (LTV) ratios that are greater than 80% and less than or equal to 97%.

KBRA releases new research examining the intersection of life/annuity insurers with asset managers. In early 2022, KBRA highlighted the challenges faced by insurers and the different solutions offered by private equity and alternative asset managers (PE/AAM), as well as the resulting growth in mergers and acquisitions (M&A) and reinsurance activity. Activity during that period also included acquired insurers and start-ups that were transformed into fast-growing annuity writers fueled by higher new business volumes. Since then, the types of transaction structures between investment firms and life/annuity insurers, participant profiles, and strategic rationales have broadened. KBRA believes these arrangements will continue to evolve, likely supporting long-term stability within the sector.

KBRA releases its quarterly report highlighting our Chief Strategist Van Hesser’s view on key economic indicators, as well as what he identifies as the most influential factors driving credit markets in the upcoming quarter. The report also examines credit market valuations in the context of current and future market conditions.