KBRA Assigns Ratings to the Class A Notes, Class B Notes and Class C Notes issued by Binney Park Capital, LLC

KBRA assigns a BBB (sf) rating to the Class A Notes, a BB- (sf) rating to the Class B Notes, and a B (sf) rating to the Class C Notes (together, the “Rated Notes”) issued by Binney Park Capital, LLC (in such capacity, the “Issuer”). Proceeds of the Rated Notes along with the Subordinated Notes will be used by the Issuer to purchase Limited Partnership Interests ("LP Interests") in private capital funds and service future capital calls.

Key Credit Considerations

Asset Coverage: When fully funded, asset coverage for the Class A Notes, Class B Notes and Class C Notes will be 400% (25% LTV), 182% (55% LTV), and 143% (70% LTV), respectively. The Subordinated Notes will be fully funded at closing with the Rated Notes funding on a pro rata basis as subsequent capital calls are issued by the general partners managing the underlying collateral.

Transaction Structure: The transaction consists of structural features which contribute positively to the credit risk of the Rated Notes. These include the Interest Reserve Account which may be drawn to meet ongoing expenses and accrued and unpaid interest on a timely basis, LTV Tests which accelerate the repayment of the tested tranche of Rated Notes when breached before interest obligations on more junior classes and a sequential paydown structure in effect from transaction close with no repayments to the Subordinated Notes until the Rated Notes are repaid in full

Exposure to a Concentrated Portfolio: Noteholders are exposed to collateral that is somewhat diverse by general partner (“GP”) exposure, vintage, and asset concentration, but relatively more concentrated when compared to comparable transactions. Further, the transaction is concentrated heavily in growth equity and venture focused investment strategies which KBRA recognizes as being a more volatile asset when compared to private credit or buyout focused strategies.

Vulnerability to Uncertain Cash Flow: The payment of interest and principal to Noteholders depends heavily on realizations from private assets, which, as alternative investments, do not generate cashflow on a fixed schedule nor in predetermined amounts.

Funding Profile & Associated Counterparty Risk: The Rated Notes are held by Security Benefit Life Insurance Company (“SBLIC”), and the Subordinated Notes are held by Brook Creek Portfolio Trust, LLC (“Brook Creek”), an indirectly wholly-owned subsidiary of Sherwood Park, Incorporated which itself is a subsidiary of Security Benefit Corporation. In KBRA’s view, the credit quality of SBLIC and Brook Creek are sufficient relative to the funding obligations and operational responsibilities of these investors going forward and in line with the ratings assigned.

Quality of Underlying Assets: The collateral consists of passive, illiquid investments in private capital funds with substantial exposure to venture and growth strategies which, in KBRA’s view, are more volatile and carry greater performance uncertainty when compared to other private capital sectors. These assets are also considered to carry uncertain value due to their complexity and illiquidity.

Permitted Dispositions: The Servicer may sell collateral up to an aggregate value no greater than 25% of the Adjusted NAV at closing. Any disposition must be made to an unaffiliated third-party purchaser for no less than fair market value or, if sold to the Servicer, an affiliate thereof, or any other account over which the Servicer has discretionary voting authority, for no less than the greater of Adjusted NAV and fair market value. All proceeds from such dispositions are distributed pursuant to the Priority of Payments and there will be Rating Agency Notification prior to any disposition.

Rating Sensitivities

Underperformance of Fund Collateral: A rating downgrade may occur if there is deterioration in portfolio valuation or a trend of collateral cash flows that are notably lower than current forecasted performance.

Counterparty Exposure: A rating downgrade may occur if there is a change to the credit quality of key counterparties including but not limited to the Rated Noteholders, Servicer or Subordinated Noteholders.

Funding of Capital Calls: A rating downgrade may occur if there are delays or failures to meet capital calls on the collateral driven by exhaustion of available liquidity and / or a failure to fund from the Rated or Subordinated Noteholders.

Exposure to Concentrated Collateral Pool: A rating downgrade may occur if the Notes are exposed to a more concentrated collateral pool, either through a reduction in asset value or drawing of the Notes later into the transaction life, without a commensurate and significant deleveraging of the Notes.

Asset Coverage: A rating upgrade may occur if there is significant de-leveraging of the Rated Notes that decreases LTV coupled with stable or better than expected performance.

Investment Fund Debt Rating Determinants

Quantitative Determinants

Asset Quality: The portfolio largely consists of LP interests in closed-end fund vehicles, which KBRA views as having equity or equity-like risk. KBRA has assigned an asset quality score commensurate with this view.

Asset Coverage: Asset coverage for the Class A Notes, Class B Notes and Class C Notes is 400% (25% LTV), 184% (55% LTV), and 143% (70% LTV), respectively.

Liquidity: KBRA does not consider liquidity to be a meaningful quantitative consideration for the purposes of this analysis. In KBRA’s view, the liquidity of the collateral is considered as part of cash flow analysis and qualitatively through the ability to liquidate LP interests.

Duration: KBRA does not consider duration to be a meaningful quantitative consideration for the purposes of this analysis.

Cash Flow Analysis: KBRA constructed various stress scenarios to test the resiliency of the Transaction’s structure and the ability of the Rated Notes to withstand changes in collateral performance and distribution timing. The observed levels of performance resiliency are consistent with the ratings assigned to the Class A Notes, Class B Notes, and Class C Notes.

Qualitative Factors

Manager Review: Panagram is a wholly owned subsidiary of Eldridge. Their team has been working together since 2014, and was previously at Eldridge. With approximately $15.7 billion of AUM, they specialize in Collateralized Loan Obligations, with strategies including CLO Debt, CLO Equity, ABS and other private solutions.

Other Factors: The portfolio has notable exposure to more volatile private capital sectors such as venture and growth, and there is notable concentration by GP. In addition, the Transaction permits draws on the Rated Notes in the later years against a likely more concentrated portfolio, which creates uncertainty regarding the concentration of LP interests and single asset exposure over time.

ESG Considerations

KBRA typically analyzes Environmental, Social, and Governance (ESG) factors through the lens of how management teams plan for and manage relevant ESG risks and opportunities. More information on KBRA’s approach to ESG risk management when evaluating funds can be found here. Over the medium-term, funds and other financial institutions will need to prioritize ESG risk management and disclosure with the likelihood of expansions in ESG-related regulation and rising investor focus on ESG issues.

KBRA analyzes many sector- and issuer-specific ESG issues but our analysis is often anchored around three core topics: climate change, with particular focus on greenhouse gas emissions; stakeholder preferences; and cybersecurity. Under environmental, as the effects of climate change evolve and become more severe, issuers are increasingly facing an emerging array of challenges and potential opportunities that can influence financial assets, operations, and capital planning. Under social, the effects of stakeholder preferences on ESG issues can impact the demand for an issuer’s product and services, the strength of its global reputation and branding, its relationship with employees, consumers, regulators, and lawmakers, and, importantly, its cost of and access to capital. Under governance, as issuers continue to become more reliant on technology, cybersecurity planning and information management are necessary for most issuers, regardless of size and industry.

Environmental Factors: Environmental factors have the potential to affect Investment Fund Debt ratings, but their relevance can vary depending on the characteristics of the underlying collateral, the structural features of the Rated Notes, and/or qualitative aspects of the transaction.

Social Factors: An analysis of social factors, such as how the issuer aligns its internal policies and procedures with investor expectations and preferences on ESG issues, is often a key part of KBRA’s assessment.

Governance Factors: Governance is a key component in KBRA’s Investment Fund debt rating methodology. Typical governance analysis includes a manager review and an assessment of the legal framework that may direct a manager’s actions in each individual transaction.

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Methodologies