KBRA Affirms and Subsequently Withdraws the Rating of BNP Paribas' Participation in a Subscription Facility to HPS Specialty Loan Fund VI - Levered

KBRA UK (KBRA) affirms and subsequently withdraws the A+ rating assigned to BNP Paribas' participation in a committed and secured capital call facility (the “Facility”) to HPS Specialty Loan Fund VI-L SCSp and HPS Specialty Loan International Fund VI-L SCSp (together the “HPS SLF VI Levered Fund” or the “Fund”). The Facility matures in April 2026 and the Outlook is Stable. The Facility is provided by a consortium of lenders including BNPP. The rating assigned was requested by BNPP as a participating lender in the transaction. Neither HPS Investment Partners nor any of its associates has requested this report or the rating, and the surveillance report has not been prepared for or approved by any of them. BNP Paribas has committed $100 million to the $1,543 million Facility.

Key Credit Considerations

Financial Covenants and Structural Features: The primary collateral and source of repayment for the Facility is the total uncalled committed capital ("UCC") of the Fund from the underlying limited partners ("LPs"). The Available Commitment is defined as the lesser of: (i) the Maximum Commitment then in effect; and (ii) the Borrowing Base (minus, in each case, deducting the applicable FX reserve amount in effect from time to time). The Borrowing Base is calculated with varying advance rates which consider the LP quality, with concentration adjustments based on investor type. Assuming a fully drawn Facility, and taking into account the current weighted average advance rate and concentration adjustments, the minimum Asset Coverage for the Fund is approximately 138.9% based on uncalled capital, which remains largely in line with ratings issuance.

Alignment of Interests: A failure to fulfil a capital call can result in the defaulting limited partner (“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) judicial proceedings and the sale of the LPs interests in the Fund; (ii) a penalty rate; (iii) forfeit of the defaulting LP’s distributions; and (iv) a reduction of LP interest. All of 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 was evaluated using (i) for rated entities (approximately 79.5% 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, 83.7% of the Fund’s commitments have been evaluated to be equivalent to investment grade credit quality, in line with issuance.

Diversification of LP Commitments: The diversification of the LPs’ commitments is determined utilising an adjusted Herfindahl-Hirschman Index (“adjusted HHI”). The adjusted HHI is 36.2 which represents a relatively diverse LP base, in line with ratings issuance.

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 Investments: A decrease in the Fund’s NAV due to underperformance of the Fund’s underlying 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: KBRA has incorporated an analysis of the Facilities’ advance rate into its determination of the transaction’s Asset Coverage. Asset Coverage used in the determinant grid represents the asset coverage level of the Facilities assuming a maximum draw. This coverage level is represented by taking the inverse of the effective advance rate of 72.0% and adds an assumed maximum full draw on the Facilities which are invested into assets. Under these assumptions, Asset Coverage is approximately 238.9% for HPS SLF VI Levered Fund.

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 Factors

Manager Review: Founded in 2007, HPS Investment Partners, a part of BlackRock, is a leading global investment firm. In July 2025 BlackRock and HPS have formed a private financing solutions business unit creating an integrated franchise with approximately $370 billion in client assets, over 590 investment professionals and 1,300+ staff worldwide as of September 2025.

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Methodologies