KBRA Affirms and Subsequently Withdraws the Rating Assigned to a Subscription Facility to Crown Secondaries Special Opportunities II S.C.S.

KBRA UK (KBRA) affirms and subsequently withdraws the AA- rating to a subscription facility to Crown Secondaries Special Opportunities II S.C.S. (“CSSO II”, the “Fund” or the “Borrower”). The Facility is a $60 million revolving credit facility provided by BNP Paribas. The Facility size was reduced from $120 million to $100 million in September 2024, and then further reduced to $60 million in April 2025, alongside extension of the Facility by one year from April 2025 to April 2026, with further extensions subject to Lender's consent. The Fund is a 2019 vintage fund which invests in a portfolio of globally diversified private equity investments through minority equity investments and secondary private equity investments. The Fund's investment period ended in March 2025. The rating action reflects the stable credit quality and diversification of the limited partner (“LP”) base, reduction in the Facility commitment, and continued stable performance of the Fund’s investments since last surveillance.

Key Credit Considerations

Financial Covenants and Structural Features: The primary collateral and source of repayment for the Facility is the uncalled capital commitments (“UCC”) of the Fund from the underlying LPs. At all times, the Borrower is required to maintain a minimum coverage level of UCC from Included LPs relative to the amount of total Financial Indebtedness of 1.3x. There is also an Investment Cover Ratio, which requires the sum of the UCC of the Included LPs and the Fund’s Net Asset Value (“NAV”) to cover the Fund’s total Financial Indebtedness by an amount greater than 2.0x. A failure to remedy a breach of these covenants within ten 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.

Alignment of Interests: A failure to fulfil a capital call can result in the Defaulting LP 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) cancelling all or part of the Defaulting LP’s available commitment; (ii) selling or assigning the Defaulting LP’s interest; and (iii) suspending rights to distributions to the Defaulting LPs. These provisions are strong incentives for LPs to meet capital calls.

Credit Quality of LP Commitments: KBRA assessed the credit quality of the LPs comprising the Fund as of June 2025. KBRA’s assessment of the credit quality of the LPs was evaluated using (i) for rated entities (approximately 40.7% of commitments), the ratings assigned to the relevant LP 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 LP's credit quality. Overall, 69.8% of the total fund commitments and 85.5% of Included fund commitments have been evaluated to be equivalent to investment grade credit quality, in line with last surveillance of the rating.

Diversification of LP Commitments: The diversification of the LPs’ commitments is determined utilising an adjusted Herfindahl-Hirschman Index (“adjusted HHI”). As of June 2025, the Fund had received commitments from 329 LPs which includes 45 Included LPs. The adjusted HHI is 35.6 for the total LPs and 23.1 for Included LPs respectively, which represents a relatively diversified LP base. The diversification of the LP base remains in line with last surveillance of the rating.

Rating Sensitivities

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.

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: The asset coverage assumes the maximum Facility draw permitted to remain in compliance with the covenants set forth in the Facility Agreement. This determinant is represented by calculating the ratio of the most recently reported UCC of the investors plus the Fund’s NAV to the current borrowed amount under the Facility. As of the most recent reporting, the asset coverage is greater than 300% and remains in line with last surveillance.

Liquidity: As the Fund makes investments, the principal source of collateral value and debt service shifts from the remaining capital commitments (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 the Facility, maturing in April 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 LPA 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 Factor

Manager Review: LGT Capital Partners is an alternative investment specialist offering a wide range of investment programs focusing on private markets, liquid alternatives and multi-asset class solutions. The core team began investing in private markets in 1997, and in November 2000, they founded LGT CP, based in Pfaeffikon, Switzerland. As of June 2025, LGT CP has approximately $110 billion in assets under management, with offices across Switzerland, New York, Dublin, London,Vaduz, Paris, Frankfurt, The Hague, Luxembourg, Dubai, Beijing, Hong Kong, Tokyo, San Francisco and Sydney. LGT’s CP's team consist of over 880 professionals, who serve more than 700 institutional clients in 50 countries.

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