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KBRA Affirms the Ratings Assigned to the Liquidity Facility, Class A Debt, Class B Debt, and Class C Debt Issued by Nassau CFO 2022, LLC

30 Sep 2026   |   New York

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KBRA has affirmed the ratings on the Liquidity Facility, Class A Debt, Class B Debt, and Class C Debt (the “Rated Debt”) issued by Nassau CFO 2022, LLC (the “Issuer”).

Nassau CFO 2022, LLC is a collateralized fund obligation (CFO) backed by a diversified portfolio of private equity, private credit, and other private capital LP interests in alternative investments. Proceeds from the issuance of the Rated Debt were used to acquire LP interests, fund the acquisition of liquid assets, fund the interest reserve account, and finance various transaction costs. The Liquidity Facility may be used to bridge periods of illiquidity, fulfill capital calls, and meet other obligations of the Issuer.

Key Credit Considerations

  • Asset Coverage: The Class A Debt, the Class B Debt, and the Class C Debt were issued to draw on a pro-rata basis at the initial ratios of 50.0%, 15.0%, and 5.0%, respectively. The Class A Debt, Class B Debt, and the Class C Debt, could be drawn up to a maximum LTV ratio of 50.0%, 65.0% and 70.0%, respectively, equivalent to asset coverage ratios of 200.0%, 153.8% and 142.9%, respectively. As of May 2026, the LTV ratios and asset coverage ratios for the Class A Debt, Class B Debt, and Class C Debt at the time of this review equate to 47.1%/212.5%, 61.2%/163.4% and 66.1%/151.3%, respectively. The Class C LTV calculation includes the deferred interest.
  • Transaction Structure and Key Protective Features
    • i. Interest Reserve Account (+): At issuance, approximately $26.9 million of the transaction proceeds were deposited into a Reserve Account, with a targeted ongoing aggregate balance of (i) six months of interest due on the Class A Debt and Class B Debt and (ii) one year of ongoing fixed fees. As of August 17, 2026, the Reserve Account had a balance of approximately $25.0 million, compared with a Target Reserve Balance of approximately $25.0 million, with no Reserve Shortfall.
    • ii. Liquid Assets Account (+): At issuance, approximately $82.7 million of the transaction proceeds were deposited in the Liquid Assets Account. The initial balance of the Liquid Assets Account was the result of excess cash raised by the issuance of the Rated Debt. The Liquid Assets Account was intended to be used to meet ongoing capital calls from the underlying portfolio. The Liquid Assets have since been used to meet capital calls and the account is currently depleted, as intended. The transaction does not require the Liquid Assets Account to be replenished.
    • iii. Amortization Profile (+): During years 1-3 of the transaction, funds on deposit within the Payment Account were utilized to first maintain the LTV on the Class A Debt, Class B Debt, and Class C Debt of 50%, 65%, and 70%, respectively, prior to any permitted distributions to the holders of the Subordinated Notes. Beginning in November 2025 through August 2027 (the “Controlled Amortization Period”), an additional 50%, 15%, and 5% of excess proceeds in the Payment Account following the payment of Class A Debt interest, Class B Debt interest, and Class C Debt interest respectively and LTV-driven principal payments will be used to pay down the Rated Debt balances further. The Issuer entered the Controlled Amortization Period in November 2025, which runs through August 2027. As of the August 17, 2026, Distribution Date, the Class A, Class B and Class C Debt had outstanding balances of approximately $248.4 million, $74.5 million and $24.8 million, respectively, representing approximately 92.0% of their original principal balances. During the August 2026 Distribution Date, approximately $1.4 million, $0.4 million and $0.1 million of principal was repaid on the Class A, Class B and Class C Debt, respectively, pursuant to the Controlled Amortization provisions. August principal repayments were not driven by LTV tests: the August LTVs were 47.86%, 62.22%, and 67.01%, below the respective 50%, 65%, and 70% thresholds.
    • iv. Lender Credit Quality (+): The Liquidity Facility lenders (the “Lenders”) must maintain a short-term rating of at least “A-2” and a long-term rating of at least “BBB” or equivalent. In the event a Lender’s rating falls below the ratings criteria, such Lender will be deemed a “Downgraded Lender.” A Downgraded Lender is required to assign its position to a qualified replacement Lender within 30 days of it becoming a Downgraded Lender. Additionally, no Lender is permitted to assign its loans or commitment under the Liquidity Facility without the prior written consent of the Issuer and the Manager unless a payment or bankruptcy Event of Default has occurred.
  • Portfolio Diversification: As of June 30, 2026, the portfolio consisted of 52 LP interests managed by 35 unique GPs across seven investment strategies and 12 annual vintages. Adjusted NAV Herfindahl-Hirschman Index (HHI) for July 2025 was 31.1 by LP interest and 22.1 by GP concentration, whilst in June 2026, the HHI was 28.1 by LP interest and 18.9 by GP concentration. The largest GP and LP by exposure are both approximately 11% and 8% of the allocation.
  • Vulnerability to Uncertain Cash Flow: The payment of ultimate interest and ultimate principal on the Rated Debt depends heavily on realizations from private assets, which, as alternative investments, do not generate cash flow on a fixed schedule nor in predetermined amounts. Risks associated with this are partially mitigated by the Reserve Account, Liquidity Facility, as well as the ability of Preferred Investors to make contributions to support funding requirements. However, KBRA does not give credit to Preferred Contributions in its cash flow analysis. Further, approximately 34% of the Adjusted NAV represents interests in private credit strategies which carry a relatively more predictable realization profile when compared to private equity strategies, which are 30.6%.
  • Issuer Overcommitment Exposes Investors to Liquidity Risk: As of June, 2026, the Issuer has unfunded commitments in the amount of $96.8 million and a fully undrawn $50 million Liquidity Facility resulting in a net commitment coverage shortfall of approximately $46.8 million. Transaction investors bear the risk of these additional capital calls and thus rely either on (i) the timely and stable distribution of collateral cash flows or (ii) the Preferred Contributions from Nassau Life Insurance Company (“NNY”), PHL Variable Insurance Company (“PHL”), Nassau Life and Annuity Company (“NLA”), and The Nassau Companies (“NC” and collectively, the “Nassau Investors”) to meet any funding requirements in excess of the available liquidity at closing. PHL entered rehabilitation proceedings in the Connecticut Superior Court in May 2024. In December 2025, the rehabilitation plan as originally contemplated was determined to be not feasible and PHL would transition to a court-supervised liquidation process. The liquidation process may further constrain PHL’s ability to provide Preferred Contributions. At issuance, KBRA’s cash flow scenarios did not give credit to Preferred Contributions and assumed capital calls would be fulfilled through distributions from the underlying collateral, Liquid Assets, or the Liquidity Facility. KBRA's cash flow scenarios did not give credit to Preferred Contributions and all capital calls are expected to be fulfilled by distributions from the underlying collateral, the Liquid Assets, or the Liquidity Facility. KBRA notes that the Liquid Assets were used to meet capital calls and are currently depleted as intended. KBRA will continue to monitor PHL but does not expect the Issuer to request Preferred Contributions.
  • Quality of Underlying Assets: The collateral consists of passive, illiquid investments in private capital funds which are considered to carry uncertain value due to their complexity and illiquidity. Mitigating this risk is (i) the quality and track record of the third-party GPs managing these funds, ranging from 5 to 50+ years with performance generally in the first or second quartile and (ii) the vintage diversification of the collateral across 12 years, which creates a more predictable realization profile and reduces valuation-related performance volatility.
  • Exposure to NAI as Manager, and the Nassau Investors as Retention Provider and Preferred Investor: Strong alignment of interests is evidenced by the fact that Nassau Alternative Investments LLC (“NAI”) serves as transaction’s investment manager and the Nassau Investors as Risk Retention Holder and Preferred Investor. Post-closing, Nassau Alternative Investments’ portfolio management team continues to monitor and manage the collateral. NAI has a 10+ year track record of alternatives investing with broad and diverse LP and GP relationships and demonstrated capital markets access. In addition, Nassau Investors will serve as Preferred Investor with the ability to provide liquidity to the structure to meet capital calls and other funding obligations. In KBRA’s view, NAI’s credit quality is sufficient in regard to the ratings assigned and in consideration of its role for this transaction.
  • Manager: The Manager, Nassau Alternative Investments LLC, was founded in 2019 and is part of the broader Nassau Asset Management platform, which was established in 2016. NAI is headquartered in New York, while the broader Nassau platform has offices in Los Angeles, Des Moines, Grand Cayman, Philadelphia, Hartford, Darien and London. As of March 31, 2026, Nassau Asset Management employs approximately 101 full-time employees, including 60 investment professionals, of whom six are dedicated to NAI. NAI manages approximately $1.4 billion in assets under management (“AUM”) as of March 31, 2026. The Manager primarily focuses on private equity and other diversifying private markets investments, with an emphasis in North American middle and lower middle market transactions. The Manager has more than 25 years of experience investing in private markets. As of March 31, 2026, NAI has committed approximately $910 million across 43 funds and 34 co-investments/direct investments, which includes all investments in-line with the NAI investment strategy and underwritten by NAI under current leadership in place since June 2020. Its track record comprises approximately $657 million of invested capital, $151 million of realized proceeds, $748 million of unrealized value, and $900 million of total value. NAI reported a 14.0% gross IRR and 1.4x gross MOIC, and a 12.4% net IRR and 1.3x net MOIC.

Rating Sensitivities

  • Underperformance of Collateral: A rating downgrade may occur if the collateral exhibits sustained underperformance, a change in investment strategy or a change in key personnel.
  • Counterparty Exposure: A rating change may occur if there are changes to the credit quality of key counterparties including but not limited to the Sponsor, Liquidity Facility lenders, or Transaction administrators.
  • Funding of Capital Calls: Any delays or failures to meet capital calls in the underlying funds driven by delays in realizations or exhaustion of available liquidity may result in a rating downgrade.
  • Changes in Asset Coverage: A rating upgrade may occur if the structure has de-levered and asset coverage has increased, coupled with stable asset performance. Conversely, a rating downgrade may occur if asset coverage has decreased resulting from asset underperformance.

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.

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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