KBRA Affirms the Rating to BNP Paribas' Capital Call Facility for BNP Paribas Agility Co-Invest 2 S.L.P.

KBRA UK (KBRA) affirms the A+ rating assigned to BNP Paribas' capital call facility in the form a single currency term loan committed facility ("Facility A") and multi-currency revolving loan uncommitted facility ("Facility B") provided to BNP Paribas Agility Co-Invest Fund 2 S.L.P. ("Agility 2" or the "Fund"). The Outlook is Stable. The rating was requested by BNP Paribas as the sole lender in the transaction.

The rating action reflects the stable credit quality and improved diversification of the limited partners (LP) base as a result of subsequent LP closes since issuance of the rating. As of March 2025, the Fund had received €524.1 million commitments from 69 LPs, compared to €282 million from two LPs at issuance. The credit quality of the Included LPs remains broadly in line year-on-year. Approximately 99.7% of Included LPs are evaluated to be equivalent to investment grade credit quality, compared to 100% at issuance. The LP base comprises institutional investors including insurance companies, asset managers, as well as family offices and high net worth individuals in Europe and Asia. While the diversification of the LP base remains relatively concentrated, it has improved compared to issuance as reflected in the improvement of the HHI score to 3.7 from 1.2 at issuance. In addition, the Fund has now called approximately 31.5% commitments, compared to 0% called at issuance. The Fund’s investment portfolio has grown from two assets to 13 assets year-on-year. KBRA considers that the combination of these factors results in an increase in incentive of the LPs to continue meeting future capital calls for repayment. In June 2025, the Fund has received additional commitments, bring total commitments to €692 million, but the borrowing base is yet to be finalised by the Lender.

Agility 2 is the second vintage of the Firm’s co-investment strategy, targeting private equity investments in European companies across diverse sectors, with a focus on France, the Netherlands, Germany, Switzerland, the United Kingdom, the Nordics, Iberia and Italy. The Fund will invest in 30 to 50 investments, with each investment ranging from €10 million to €50 million and target enterprise value over €50 million. The Fund is targeting a final fund size of €700-900 million and is yet to have its final close.

BNPP AM Europe is BNP Paribas’ asset management arm, with approximately €602 billion of assets under management as of March 2025. The Firm employs over 3,300 employees in more than 30 countries. BNPP AM Europe serves individual, corporate and institutional clients in 67 countries across Europe and Asia Pacific. The Firm has offerings across five capabilities: High Conviction Active Strategies, Emerging Markets, Private Assets, Systematic, Quantitative & Index, and Liquidity Solutions. The Private Assets division has over €21 billion of asset under management and employs over 100 investment professionals and offers investment opportunities across a broad range of private assets including private equity, private debt, venture capital, real assets and portfolio solutions.

Key Credit Considerations

Investment fund ratings are based on quantitative and qualitative factors. The five key quantitative determinants are as follows:

1. In the Asset Quality determinant, KBRA generally measures the quality of the collateral based on a weighted average scoring. For Subscription Facilities (“Sublines”), this includes an assessment using a matrix-based approach that reflects the creditworthiness of the Fund’s Limited Partner (“LP”) base.

2. The Asset Coverage determinant measures the relative sufficiency of the pledged collateral value to repay the principal amount of the rated debt. For Sublines, this includes an evaluation of the covenants included in the Facility linked to uncalled committed capital (“UCC”) and net asset value (“NAV”) of the Fund, and/or advance rates applied to the UCC.

3. The Liquidity determinant reflects KBRA’s assessment of the relative price discount that the underlying collateral may incur if the assets are subject to conversion into cash in order to meet scheduled or accelerated debt service requirements. Under the Liquidity determinant, KBRA considers three factors (type, complexity and price discovery / transparency) and scores these factors individually on a scale of zero to two, with two being the most liquid.

4. In the Duration determinant, KBRA examines the tenor profile of the pledged collateral relative to the rated debt, and the associated vulnerability to changes in price of collateral over time.

5. When appropriate, KBRA will perform a cash flow analysis in order to test the transaction’s ability to meet its rated interest and principal payment obligations under various economic, financial, and market scenarios. This is not applicable to Subscription Facilities, as LP capital calls typically occur on a non-periodic basis and the primary source of repayment for Sublines is the Fund’s UCC so once a capital call is issued, the LP is typically required to meet the capital call within a short window. Therefore, repayment capacity is analysed in the context of the prior rating determinants.

The above quantitative determinants produce a quantitative rating outcome. In addition to the above quantitative determinants, KBRA’s analysis considers a variety of qualitative factors, which can lead to upward or downward adjustments in the final rating outcome and these are assessed in the context of: (i) Manager Review; (ii) Legal Review, and (iii) Other Factors including alignment of interests, incentives to fund future capital calls and diversification within the LP base.

Rating Sensitivities

It should be noted that many aspects, including but not limited to, the rating sensitivities listed below, macroeconomic factors, market conditions, competitive landscape, and a fund manager’s investment acumen can impact the performance of the fund and influence KBRA’s rating decisions. If performance of the transaction differs meaningfully from the expected levels, KBRA may consider making a rating change.

Decline in LP Credit Quality

A decline in the credit quality of the Fund’s LPs as a result of: (i) deterioration in the credit quality of underlying LPs; (ii) transfer of interests to LPs of lower credit quality characteristics; (iii) inclusion of LPs with weak credit quality characteristics; and (iv) weaker than expected LP diversification, may result in negative rating changes.

Improvement in LP Credit Quality

An overall higher credit quality of the Fund’s LPs as a result of: (i) improvement in the credit quality of underlying LPs; (ii) transfer of interests to LPs with better credit characteristics; (iii) inclusion of LPs with strong credit quality characteristics; and (iv) stronger than expected LP diversification, may result in positive rating changes.

Underperformance of Fund Assets or Investments

A decrease in the Fund’s NAV due to underperformance of the Fund’s underlying assets or investments may jeopardise debt repayment as the deterioration of the Fund may, for example, elicit hesitation of the Fund’s LPs to fund their respective capital calls regardless of their contractual obligations to do so and the underlying LPs’ security and protections to the Lender.

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Methodologies