KBRA Affirms and Subsequently Withdraws the Rating Assigned to a Subscription Facility Provided to BNP Paribas Agility Co-Invest 2 S.L.P.
23 Jun 2026 | London
KBRA UK (KBRA) affirms and subsequently withdraws the A+ rating assigned to a subscription facility provided to BNP Paribas Agility Co-Invest Fund 2 S.L.P. ("Agility 2" or the "Fund"). The rating and withdrawal were requested by BNP Paribas ("BNPP" or the "Lender") as the sole lender in the transaction. The rating action reflects the Fund's stable performance and stable credit quality of the Included Limited Partner (LP) base since previous surveillance.
The Facility is a bilateral secured subscription facility, comprising (i) a €200 million committed term loan facility (“Facility A”) and (ii) a €90 million uncommitted multicurrency revolving credit facility (“Facility B”), for a maximum Facility size of €290 million. Facility A has a three-year term and is scheduled to mature in December 2026, while Facility B has a five-year term and is scheduled to mature in December 2028, both with options to extend for additional 12-month periods. The purpose of the Facility is for working capital, making investments, hedging, fees and other uses consistent with the Fund’s investment policies and as otherwise permitted under the Fund documents.
Agility 2 is the second vintage of BNP Paribas Asset Management's (“BNPP AM” or the "Manager") 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 target 30 to 50 investments in companies with enterprise values over €50 million, with each investment ranging from €10 million to €50 million.
Key Credit Considerations
Financial Covenants and Structural Features: The primary collateral and source of repayment for the Facility is the uncalled committed capital (UCC) of the Fund from the underlying LPs. At all times, the Fund is required to maintain UCC from the Included LPs in an amount equal to or greater than 1.50x of Total Financial Indebtedness, stepping down to 1.20x once more than 50% of total LP commitments have been drawn. Additionally, the Fund is required to comply with a gross asset value (GAV) test, requiring the sum of the UCC of the Included LPs and Fund's investment value to cover the Fund's total financial indebtedness by an amount greater than 2.50x. A failure to remedy a breach of these covenants within 15 Business Days will result in an Event of Default. The Lender also has the right to issue capital calls on behalf of the Manager further to a continuing Event of Default. As of the most recent information provided by BNPP as of December 2025, the Borrower is in compliance with the financial covenants.
Alignment of Interests: A failure to fulfil a capital call can result in the defaulting LPs losing rights to distributions from the Fund and restrictions from investing in future private capital opportunities. Furthermore, in the event an LP defaults with respect to their obligation to meet capital contributions, the defaulting LP is subject to the application of various default provisions. Such provisions include but are not limited to (i) suspension of consent and voting rights; (ii) offering whole or part of the defaulting LPs’ interest; and (iii) suspending distributions to the defaulting LPs. These provisions are strong incentives for LPs to meet capital calls.
Credit Quality of LP Commitments: KBRA's assessment of the credit quality of the LPs comprising the Fund was evaluated using (i) for rated entities, the ratings assigned to the relevant investor or parent entity by KBRA or where a KBRA rating is not available, the public rating assigned by another rating agency and (ii) for unrated entities, KBRA's evaluation of the relevant investor's credit quality. Overall, credit quality across the total LP base weakened compared to the previous surveillance, with the percentage of commitments equivalent to investment grade credit quality declining from 84.9% to 61.4%, following additional closes that included a greater proportion of high-net-worth individuals and other unrated investors. However, the percentage of commitments equivalent to investment grade credit quality from the included LP remains in line with the previous surveillance.
Diversification of LP Commitments: The diversification of the LPs’ commitments is determined utilising an adjusted Herfindahl-Hirschman Index (“adjusted HHI”). The diversification of the LP base has improved since the previous surveillance, due to additional closes which has increased the total numbers of LPs from 69 LPs to 115 LPs.
Additional Claim to Distributions/Illiquid Assets: To the extent that some or all of the LPs default on their obligation to fulfil capital calls and repay the Facility, the Lender may have recourse to other assets of the Fund (as an unsecured creditor of the Fund). While this is credit positive and offers a secondary repayment source for this Facility, the assets of the Fund consist of private equity investments which KBRA views as complex and illiquid relative to other asset classes and there is no certainty with regards to the ability of the Fund to sell and realise sufficient value from these assets.
Quantitative Rating Determinants
Asset Quality: KBRA determined the asset quality based on the blended quality of the LPs’ credit quality and the equity risk of the distributions. This blended approach to derive the weighted average asset quality reflects the idiosyncratic nature of LP capital commitments and distributions to the Fund’s LPs, as well as the primarily investment grade LP base and the exposure to equity. Offsetting this asset quality determination is the asset base which would support the repayment of the Facility, as discussed in the asset coverage determinant.
Asset Coverage: Asset coverage is calculated assuming the maximum permitted Facility draw, in compliance with the covenants of the Facility Agreement. The Facility requires financial indebtedness to be covered by at least 250% in uncalled commitments from Included LPs and Fund's investment value. Under these assumptions, Asset Coverage is 250%.
Liquidity: As the Fund makes investments, the principal source of collateral value and debt service shifts from the UCC (which is considered more liquid, with known contractual value and short time to fund) earlier in the Fund’s life to a greater reliance on the investment value of assets in the Fund itself (considered less liquid, with limited price transparency, greater complexity and uncertain realisation timing).
Duration: Duration has been determined based upon the remaining term of Facility A, maturing in December 2026 subject to extensions.
Cash Flow Analysis: The primary source of repayment for subscription facilities consists of LP pledges to pay commitment amounts; the Lender is paid only when the LPs remit their payments. In any case, should an LP fail to pay, the Limited Partnership Agreement places the burden of payment on the remaining LPs on a pro rata basis. Therefore, KBRA analyses repayment capacity in the context of the quantitative determinants described above.
Qualitative Factors
Manager Review: BNPP AM is BNPP’s asset management arm. Following the integration of AXA Investment Managers and BNP Paribas Real Estate Investment Management, BNPP AM operates as a unified asset management platform under the BNPP AM brand. As of 31 March 2026, BNPP’s Investment & Protection Services division reported €2.5 trillion of assets under management (AUM), of which 67% was in Asset Management, with approximately €1.7 trillion of AUM for the Asset Management business. BNPP AM serves institutional, corporate, retail and wealth clients worldwide, with professionals across approximately 40 countries.
Other Qualitative Factors: There have not been any changes since the previous surveillance.
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