KBRA released updated research that examines the resilience of its ratings for fund finance structures and rated notes employed by middle market corporate lending funds.

The private credit market, in particular the direct lending and infrastructure segments, continues to grow at a rapid pace, as reflected in the number of KBRA-rated private credit transactions. As of June 30, 2024, KBRA has assigned ratings to 220 tranches of debt across 122 private credit transactions to middle market credit funds, infrastructure funds, and private credit fund-of-funds.

This report focuses on KBRA’s rated portfolio with direct exposure to middle market corporate credit—consisting of 138 tranches across 87 feeder funds and credit facilities, totaling $22.5 billion of rated debt. We examine the key inputs that drive rating outcomes at issuance, including but not limited to initial loan-to-value ratio, portfolio quality, and modeled cash flow outcomes. We also examine issuance volume and structural trends, as well as rating performance for the existing portfolio since inception.

Click here to view the report.