4 August 2021Investor interest rising in private equity fund-of-fundStructured Finance
Investorsecuritisations interest rising in private equity fund- of-fund securitisations
Private equity continues to attract a considerable amount of capital spurred by the sustained low-yield environment and despite the pandemic. Private equity fund Analysts (PEF) securitisations1 are poised to re-emerge as a way of gaining indirect and diversified exposure to this market. Analysing the risk of private equity funds and Mirac Ugur PEF securitisations requires a specific approach as the amount and timing of cash +49 69 6677389 73 flows in the form of capital calls and distributions are subject to considerable [email protected] uncertainty. Analysis must rely on robust assumptions on the expected return of Benoit Vasseur the strategies, the market environment and the manager’s ability. +49 69 6677389 40 Securitisations of funds of PEFs have recently started again to draw investor appetite [email protected] and volumes have seen a modest uptick. PEF securitisations attract institutional investors whose ability to directly invest in fund equity is significantly more restricted than Team leader debt. Such transactions follow the standard framework, where a special purpose vehicle David Bergman (SPV) issues fixed or floating-rate notes to purchase a portfolio of PEFs. [email protected]
Figure 1: Volume of PEF securitisations Media Keith Mullin [email protected]
Related Research Direct lending funds risk assessment February 2020
Source: Scope Ratings This report tracks the history of PEF securitisations and summarises the common structural characteristics of vintage transactions. We focus on the key risk drivers of PEF and illustrate them with a short example of a quantitative representation of a private equity fund, projecting cash flows based on assumptions that could be used to quantify these key risk drivers
Scope Ratings GmbH Neue Mainzer Straße 66-68 D-60311 Frankfurt am Main
Phone +49 69 66 77 389 0
Headquarters Lennéstraße 5 10785 Berlin
Phone +49 30 27891 0 Fax +49 30 27891 100
[email protected] www.scoperatings.com
Bloomberg: SCOP 1 We use the concept of ‘PEF securitisations’ to only refer to funds of funds structures.
4 August 2021 1/14
Investor interest rising in private equity fund-of-fund securitisations
History of PEF securitisations PEF securitisations first emerged in the early 2000s and most were invested during the 2008 Global Financial Crisis (GFC), leaving them exposed to negative returns. Investors in the senior debt portions did not ultimately suffer any losses given the post-GFC rally in equity markets. But a large proportion of these debt instruments has suffered rating downgrades at some point in their lifetime.
Post-GFC initial ratings much Post-GFC PEF securitisations feature similar structural enhancements as pre-GFC lower than pre-GFC transactions transactions, such as liquidity facilities and large amounts of credit enhancement in the form of subordinated equity. Both pre and post-crisis transactions feature credit enhancement ranging from 50% to 70% for the most senior notes. Liquidity facilities can be used as short-term loans to avoid frequent capital calls and to offset non-periodic cash flows from the PEFs. Therefore, their notionals are a function of the size of the uncalled capital commitments and interest payment for the most-senior notes. However, market participants have recently taken a more prudent approach towards these investments: senior debt is yielding more, and initial ratings achieved are significantly lower than those pre-GFC.
Figure 2: History of PEF securitisations
Source: Scope Ratings, Fitch Ratings
PEF securitisations as a gateway to equity for debt investors Private Equity Funds (PEFs) A private equity fund is an investment vehicle aimed at purchasing private companies or acquiring public companies and taking them private. A PEF is formed around a general partner (GP) responsible for investment decisions, and limited partners (LPs) who provide the bulk of the capital. PEFs are usually closed-end funds with a lifetime of 10 to 15 years. The capital committed by the LPs can be drawn over the first initial years of the transaction, known as the commitment period. The investment process varies in terms of drawdowns and distributions, since it is driven by market opportunities. At legal maturity, the fund must be totally liquidated in the form of cash distributions.
4 August 2021 2/14
Investor interest rising in private equity fund-of-fund securitisations
Investors can indirectly access the private equity market via funds of funds. Here, PEFs are aggregated in a pool to provide diversification in terms of manager, strategy, geography and business sector. A fund of funds may include PEFs of different vintages to mitigate the exposure to economic downturns.
Risks of PEF securitisations PEF securitisations follow the PEF securitisations share elements of private debt fund securitisations2 and traditional securitisation securitisations of fund strategies. The issuer, incorporated as an SPV, finances the framework purchase of the portfolio of PEFs and the set-up costs of the structure by issuing debt and equity. Private debt and PEF securitisations are sponsored. The sponsors of mainly fund managers seeking to raise capital, or PEF investors looking to refinance (e.g. sovereign wealth funds, insurance companies)3. Sponsors usually retain the equity position, providing for an alignment of interests
To ensure beneficial tax treatment, the PEFs are owned by one or many asset-owning companies (AOC). The AOCs are fully controlled by the issuer and transfer capital distributions as they arise. The issuer pledges the ownership in the AOCs as collateral to secure notes and equity issued to investors. Other transaction parties include the investment manager (usually the sponsor or an affiliate), the liquidity facility provider, the trustee, and fund and collateral administrators.
Figure 3: Typical transaction structure of a PEF securitisation
ponsor
n est ent anager, rustee etc. otes oteholders P ssuer i uidity Facility E uity ponsor
nership
Asset ning o pany
apital alls apital istributions
PE Funds
Source: Scope Ratings PEF securitisations differ from standard securitisations and part of the market-value securitisation realm since the underlying collateral is equity rather than debt. The higher risks of these securitisations include high cash-flow uncertainty, asset-price volatility, sensitivity to market downturns and very low or no recoveries in case of loss. Liquidity facilities and reserves decrease cash-flow risk, which is even higher if rated debt instruments have contractual coupons. Ratio-based triggers protect against swift deterioration of asset performance. Longer maturities help against market stress, but larger credit enhancement is typically still needed to counter potential losses.
2 See our report “Assessing the credit risk of direct lending funds”, February 2020 3 For instance, Temasek Holdings, Singaporean holding company owned by the Government of Singapore, is the parent of the sponsor of the Astrea transactions. SVG Capital, a private equity and investment management firm, is the sponsor of the SVG Diamond transactions.
4 August 2021 3/14
Investor interest rising in private equity fund-of-fund securitisations
To balance these risks, PEF securitisations share some common structural and protective features4 in addition to credit enhancement.
Structural feature I: liquidity facility Uncertainty in capital The underlying funds within a PEF securitisation are typically of various vintages so drawdowns and distributions distributions from PEFs of older vintages (three to five years) can be used to fund capital makes liquidity reserves calls from the PEFs of newer vintages. mandatory Despite vintage diversification, PEF securitisations can also include additional sources of liquidity in the form of a credit facility or a reserve account to meet capital calls if organic cash distributions are not sufficient, or investors cannot meet capital calls in a timely manner. The size of the liquidity facility is usually derived from the size of any unfunded commitments (i.e. possible capital calls) and coupon payments on the senior notes. Liquidity facilities are strong measures that improve the credit profile of the securitisation from a cash flow perspective.
Figure 4: Liquidity protection in recent PEF securitisations
Transaction Liquidity Facility Total Exposure at issuance
Funded Unfunded
SWC At issuance: USD 50m USD 432m USD 84m Funding After: 50% of unfunded commitments + one year of interest on senior notes
Astrea V At issuance: USD 238m USD 1,325m USD 215m After: 50% of the unfunded commitments + fixed amount
At issuance: USD 30m Nassau After: 25% of unfunded commitments + one USD 375m USD 75m year of interest on senior notes
Source: Scope Ratings, Fitch Ratings, transaction documents
Structural feature II: clean-up amortisation Performance triggers can stop Clean-up amortisation is a protective measure against under-performance of the assets cash leakage if needed leading to principal losses on the notes. Clean-up amortisation is similar to performance triggers in standard performing securitisations and effective to the extent that the losses can be reflected in a timely manner in NAV.
Transactions feature loan-to-value ratio triggers, which are hit once the net asset value falls to a certain level due to losses in the underlying PEFs. More concretely, the total amount of the notes is usually expected to be less than half the in est ents’ combined NAV. If the LTV trigger is breached, reinvestment stops and payments are redirected to the notes in order of seniority to prevent any further cash leakage. This feature is present in both pre and post-crisis deals, such as SWC Funding and Astrea transactions.
Structural feature III: long maturity and market sale of funds Structures usually offer PEF securitisations usually have a long amortisation period and issue debt with a sufficient time for the portfolio to correspondingly long maturity (typically 15 years) to provide sufficient time to recover amortise from a potential market downturn and avoid a forced liquidation at maturity. In some transactions, the fund manager also has the right to dispose of fund investments in the market subject to conditions and up to a certain amount, usually between 10% and 35% of the portfolio NAV. Long maturities are beneficial but only slightly so, since asset prices tend to recover earlier if there is a chance to recover. If not the losses are persistent.
4 In the appendix we introduce the SVG Diamond transaction as an example that contains most of the common characteristics of PEF securitisations.
4 August 2021 4/14
Investor interest rising in private equity fund-of-fund securitisations
Key risk drivers of private equity Figure 5: Key risk drivers of private equity funds
How can the key risk drivers materialise and what are the main considerations that Risk could enhance or mitigate them? Track record of investments: - success of the manager at:
- generating outsized returns from risky early-stage investments in young
companies (Venture Capital) risk - finding most attractive candidates in terms of growth (Growth Capital) - steering transformational changes and efficiency gains into target companies (Buyouts) - reversing financial distress (Distressed debt and turnaround strategies) Business Exits: - preferred strategy to monetise investments - handling of exit when realised returns are below expectations Origination strategy: - potential investment pipeline and expectation in market volumes
- protection against adverse portfolio migration
Positioning and market access: risk - arket dyna ics of the fund’s targeted investment strategies
- steps taken to ensure relevance and access to assets in a market with increased Reinvestment Reinvestment competition
Prices:
- asset-price expectations in funds’ targeted strategies - expected price discount in a distressed sale scenario in the secondary market Exposure to FX and interest rate moves:
Market risk Market - hedging agreements and strategy in place - evolution of any outstanding residual exposure is left given the origination strategy Historical track record in ramping up funds and meeting investment criteria: - achievement of the manager to commit capital according to the envisaged timeline - achieved diversification of the managed portfolio compared to the investment criteria
Evolution of AuM and financial performance:
- ability of the manager to invest in the coming years in people, technology and infrastructure - drift in origination strategy caused by size, source and strategy of fundraising? - presentation of financial performance and focus on particular metric History and stability of the investment team: - experience of the investment team - presence of a key person risk
Asset risk manager Asset Alignment of interest: - managers’ own capital contributions to the fund - managers incentive to monetise underlying assets or rather stay invested to keep the assets under management in the absence of a follow-up fund
- fee structure in comparison to market practices for the envisaged strategy ity ity Funding: - mitigants against capital shortfalls in case of li ited partners’ inability to meet their
risk obligations Liquid
4 August 2021 5/14
Investor interest rising in private equity fund-of-fund securitisations
A short model of private equity fund5 The performance of a PEF is essentially measured by the excess and timing of distributions from the committed capital. Main drivers are as follows:
Capital drawdowns6 We assumed that capital Typically, capital drawdowns can be measured as drawdowns decrease over time 퐶 = 퐷푡 + 푈푡
where committed capital is denoted as a constant 퐶, the total cumulative draw 퐷푡 at any
time 푡 and undrawn capital 푈푡. During the commitment period [0, 푇푐] when the fund can draw capital, committed capital is the sum of drawn and undrawn capital.
Current capital drawdowns can be assessed with a rate of contribution 훿푡. Capital drawn for a period equals to undrawn capital multiplied by this rate:
푑퐷푡 = 훿푡(퐶 − 퐷푡)푑푡 퐰퐡퐞퐧 푡 ≤ 푇푐 (investment period)
The rate of contribution 훿푡 describes what percentage of 푈푡 is drawn at time 푡, and it can vary from a constant rate to a fluctuating rate with zero contribution at some intervals. As the rate of drawdown is over undrawn capital, capital drawdowns will realistically decrease over time. This matches what PEFs commonly practice, as most of their capital is deployed in the early years to give the investments the chance to pay off within the contemplated life of the fund.
Capital distributions
Cumulative distributions 푅푡 can also be assessed with a similar logic. Unlike drawdowns,
these cash outflows can occur at any time within the legal lifetime 푇푙 of the fund. Furthermore for simplicity, our example assumes that cash is always distributed back to
LPs and not reinvested. If 푅푡 is distributed at a non-negative rate 𝜌푡 of the net asset value
(NAV) of the fund 푉푡 between time 푡 and 푡 + 푑푡, then we can write:
푑푅푡 = 𝜌푡푉푡푑푡 푡 푅푡 = ∫ 𝜌푠 푉푠푑푠 퐰퐡퐞퐧 푡 < 푇푙 0
𝜌푇푙 = 1 (NAV is fully distributed before or at 푇푙)
In this case, 푑푅푡 can be seen as instantaneous distributions to investors. The sum of
instantaneous distributions until time 푡 is equal to 푅푡. All remaining value of the fund is also distributed at or before the end of the legal lifetime.
Returns Empirical drawdown rates and distribution rates can typically be derived from historical data, but we simplify and assume in this example that they are deterministic. In a context
where the drawdown rate 훿푡 and the distribution rate 𝜌푡 are deterministic, the simulation
boils down to modelling the PEF NAV 푉푡. For instance, we can assume that the
instantaneous change in PEF NAV 푑푉푡 follows the below process:
휇 푑푉푡 = 푉푡(휇푡푑푡 + 𝜎푡푑푊푡 ) + 푑퐷푡 − 푑푅푡
휇 where 휇푡 is the expected return, 𝜎푡 a volatility parameter and 푊푡 is a Brownian noise. The change in NAV is then measured as a function of current NAV 푉푡, cash inflows and
5We benefit from two academic papers: de Malherbe, E. (2004). Modeling private equity funds and private equity collateralised fund obligations. International Journal of Theoretical and Applied Finance. Buchner, A. (2017). Risk management for private equity funds. Journal of Risk 6 We use the ords “capital dra do ns” and “capital calls” interchangeably.
4 August 2021 6/14
Investor interest rising in private equity fund-of-fund securitisations
outflows and the return assumptions expressed by (휇푡, 𝜎푡) capturing the asset anager’s ability and the market environment.
Practical example For this example, we consider a time horizon of 20 years with an investment period of
10 years. We assume a constant drawdown rate (훿푡 = 50%). Distributions flow in after the fourth period and are assumed to be linearly increasing. Returns are also expected to 7 have a constant mean (휇푡 = 10%) and standard deviation (𝜎푡 = 5%) . Figure 6: Cash Flow Summary of a PEF simulation
Time Periodic Total Periodic Total Change NAV Undrawn Periodic Total Cash Drawdown Drawdown Distribution Distribution in NAV Capital Cash Flow Flow
0 0.0 0.0 0.0 0.0 0.0 0.0 100.0 0.0 0.0
1 50.0 50.0 0.0 0.0 50.0 50.0 50.0 -50.0 -50.0
2 25.0 75.0 0.0 0.0 29.4 79.4 25.0 -25.0 -75.0
3 12.5 87.5 0.0 0.0 26.6 106.1 12.5 -12.5 -87.5
4 6.2 93.8 7.7 7.7 17.2 123.3 6.2 1.5 -86.0
5 3.1 96.9 16.5 24.2 8.5 131.8 3.1 13.4 -72.7
6 1.6 98.4 26.5 50.7 9.6 141.4 1.6 25.0 -47.7
7 0.8 99.2 33.3 84.0 -8.3 133.1 0.8 32.5 -15.3
8 0.4 99.6 32.8 116.8 -28.0 105.1 0.4 32.4 17.2
9 0.2 99.8 29.8 146.6 -25.7 79.3 0.2 29.6 46.8
10 0.2 100.0 24.5 171.0 -23.4 55.9 0.0 24.3 71.0
11 0.0 100.0 20.2 191.3 -15.5 40.5 0.0 20.2 91.3
12 0.0 100.0 14.1 205.3 -15.5 25.0 0.0 14.1 105.4
13 0.0 100.0 8.7 214.1 -11.1 13.9 0.0 8.7 114.1
14 0.0 100.0 4.6 218.7 -7.2 6.7 0.0 4.6 118.7
15 0.0 100.0 1.9 220.6 -4.1 2.6 0.0 1.9 120.6
16 0.0 100.0 0.9 221.5 -1.4 1.1 0.0 0.9 121.5
17 0.0 100.0 0.3 221.8 -0.8 0.4 0.0 0.3 121.8
18 0.0 100.0 0.0 221.9 -0.3 0.0 0.0 0.0 121.9
19 0.0 100.0 0.0 221.9 0.0 0.0 0.0 0.0 121.9
20 0.0 100.0 0.0 221.9 0.0 0.0 0.0 0.0 121.9
Source: Scope Ratings
Total cash flow follows a J-curve In this example drawdowns peak around the sixth period when distributions begin to emerge. Total cash flow follows the well-known J-curve of PEFs8. Figure 7 illustrates the simulated processes.
7 This simulation has the main aim to illustrate the underlying logic behind the model. Therefore, the assumptions are simplistic and differ from what would be observed in the market historically. 8 Pierre-Yves Mathonet & Thomas Meyer: (2007): “J-Curve Exposure – Managing a Portfolio of Venture Capital and Private Equity Funds”, John Wiley & Sons, Chichester
4 August 2021 7/14
Investor interest rising in private equity fund-of-fund securitisations
Figure 7: Drawdowns, Distributions and NAV
Source: Scope Ratings Beyond return assumptions, the timing of drawdowns and distributions are crucial to the
fund’s perfor ance. This is illustrated by Figure 8 where we test different distribution (𝜌푡) or drawdown rates independently. Due to the constant positive return assumption, slower drawdowns end up generating lower returns while slower distributions lead to more cashflows for the investor.
4 August 2021 8/14
Investor interest rising in private equity fund-of-fund securitisations
Figure 8: Total Cash Flow under Different Drawdown and Distribution Rates
An in-depth analysis of the risk profile of a PEF requires a bottom-up approach where individual components and timing of cash flows are modelled explicitly. Relying only on commonly used measures such capital multiples or internal rates of return (IRRs) can lead to flawed conclusions when assessing PEF performance, in particular when the robustness of flows is of major interest. While multiples like Total Value to Paid-in-Capital (TVPI) totally ignore the timing of cash flows, IRR heavily favours early successful exits, since it theoretically assumes that early capital distributions to LPs will be reinvested at a similar rate as generated through the initial exit.9
Extended return framework Market return assumptions can A common extension of the above is to use a standard single-factor model to represent be extended to include the the expected return instead of assuming constant mean fund returns, as per the below manager’s alpha example:
휇푣 = 훼푣 + 푟푓 + 훽푣(휇푚 − 푟푓)
where 푟푓 represents the risk-free rate (e.g. US treasury bonds), 휇푚 the market return and
therefore, 휇푚 − 푟푓 the market premium. Beta (훽푣) is an indicator of systematic risk which represents the relative volatility of a PEF’s returns compared to the overall market return.
Conversely, alpha (훼푣) is primarily a measure of the fund anager’s skill in investing in the right companies, exploiting market inefficiencies, benefiting from superior market access and building a network, etc.
9 More information on these measures and their use can be found here.
4 August 2021 9/14
Investor interest rising in private equity fund-of-fund securitisations
The single-factor model for returns provides a relatively simple framework while capturing the essential parameters such as time value, market risk and idiosyncratic risk ( anager’s pre iu ). Furthermore, the odel’s good co erage in academic literature makes estimates available for calibration even if data is limited.
To achieve more granular analysis, one further development would be to categorise investment funds according to their strategy (e.g. growth, venture capital or buyout), their geographic focus and vintage. For instance, investments belonging to a certain category
can be assessed with a similar exposure to systematic risk 훽푣 while abnormal returns 훼푣 would also be a function of the manager´s experience and skill in the particular segment.
Correlations and aggregation of a fund of funds The above examples ignore any correlation between PEFs and the market, even though PEFs are strongly procyclical, as evidenced by the academic literature10. Adding a stochastic noise to the market return, the distribution and drawdown processes of PEFs can be a practical way to create inter-dependency with market returns and between PEFs in the context of a fund of PEFs.
10 More reference on this can be found in the appendix.
4 August 2021 10/14
Investor interest rising in private equity fund-of-fund securitisations
Appendix I. Focus on a transaction: SVG Diamond SVG Diamond Private Equity is representative of pre-GFC PEF securitisations, one of the first transactions that issued multiple debt instruments of different seniority to securitise managed PE LP interests from a range of different vintages and strategies. The portfolio had a three-year ramp-up period and proceeds could be reinvested for a period of seven years, subject to reinvestment criteria.
The transaction closed in 2004 and issued EUR 400m in liabilities: EUR 260m in the form of senior and mezzanine notes and EUR 140m in preferred equity. The preferred equity remained undrawn at the closing date and was used essentially as a source of contingent capital to meet capital calls or pay non-deferrable obligations of the fund. To ensure availability of the funds when needed, SVG Diamond required preferred equity holders to have a minimum credit rating of A+. In addition, it featured a liquidity facility of up to EUR 100m.
The asset portfolio had the following concentration limits: • Min 70% buyout funds; • Max 10% venture capital; • Max 15% mezzanine funds; • Max 4% single fund concentration; • Min 40%/Max 60% Europe originated, and Min 40%/Max 60% US originated; and • Max 20% concentration of single vintage. Figure 9: SVG Diamond Structure at closing
Class Rating Amount Coupon % of total Legal maturity Expected maturity CE
A AAA/Aaa/AAA11 EUR 85m 6-Month Libor + 0.9% 21.25% 2026 2013 78.75%
B AA/Aa2/AA EUR 80m 6-Month Libor + 1.6% 20% 2026 2014 58.75%
C A/A2/A EUR 15m Floating Rate.12 3.75% 2026 2014 55%
M NR/Baa2/BBB EUR 80m Floating Rate. 20% 2026 2015 35%
To protect the senior instruments in times of stress, the structure also featured a set of effective performance covenants and conditions. These included requirements on liquidity that stopped reinvestment when insufficient, on commitment capacity and performance tests on subordination geared towards protection against poor performance. There were restrictions on commitments as well if returns were poor. Despite these protective measures, the transaction’s rating de eloped in line with peers.
All rated tranches were downgraded by two to three notches in 2009; rating agencies citing deterioration in the economic environment reflected in revised performance expectations. The sharp increase in equity valuations and leverage for buyout transactions between 2005 and 2007 was of major concern. It was expected that buyout equity performance would suffer as they would not generate returns comparable to the performance of the assets bought in 2000-2002. Even though these concerns crystallised during the GFC, the transaction benefited from significant credit enhancement which was even higher than closing values due to the accumulated NAV gains. In summary, rating downgrades mainly stemmed from a change in base-case asset- return assumptions.
In 2012, the rated notes were upgraded, however still below their original ratings, as asset values had improved and most of the class A notes had been paid off. All class A, B and C notes were repaid in full by September 2014.
11 &P/ oody’s/Fitch 12 We could not find the coupon information for Class C and M notes.
4 August 2021 11/14
Investor interest rising in private equity fund-of-fund securitisations
Appendix II. Academic evidence on PE returns The literature on private equity performance is extensive. Kaplan and Schoar (2005) is a starting point. Using Venture Economics data, they show average fund returns (net of fees) are roughly equal to S&P 500 returns. Additionally, they document that more established funds perform better than younger funds. In a similar study using the same data, Phalippou and Gottschalg (2009) reported under-performance of private equity funds compared to public market benchmarks. Harris et al. (2014) showed that those studies used seriously biased data (Thomson Venture Economics) that underestimated private equity fund performance. Using a more comprehensive dataset, Harris et al. (2014) found that private equity funds outperform S&P averages by more than 3% annually assuming equivalent cash flows. They also showed that fund performance is negatively related to aggregate capital flows in the ramp-up period, perhaps due to stiff competition, while fund size had no performance impact. Net cash flow is procyclical since both capital calls and distributions rise with public equity valuations. When capital flows are high, there is a lot of competition for attractive deals. As attractive deals dry up, GPs drift towards buyouts with weaker metrics, e.g. higher EV/EBITDA multiples, bringing down expected returns on investments in these periods. According to Pitchbook benchmark data, IRRs are lower for the funds that invested most of their capital in periods leading to a recession. We observe that funds of pre-crisis vintage years generate lower returns than post-crisis vintage years. This is more pronounced for larger funds as they tend to be more affected by market conditions. Figure 10 shows that median IRRs (red dots) across private equity funds are lower for the 1997-1999 vintages compared to later period. The same is true for 2004-2007 vintages. In summary, the ‘ oney chasing’ nature of pri ate e uity is a ell-documented phenomenon. An increase in the allocation of money towards a particular fund type is negatively associated with performance.
Figure 10: Global PE returns by vintages13, 14
13 Top and bottom points represent the top and bottom deciles of IRRs across funds for a vintage year. The red dots are medians while the bar shows the interquartile range. 14 2018 vintage data is not representative of realized performance because it still mostly contains unrealized investments.
4 August 2021 12/14
Investor interest rising in private equity fund-of-fund securitisations
Source: Pitchbook, Scope Ratings Bibliography Harris, R.S., Jenkinson, T., Kaplan, S.N., 2014. Private equity performance: What do we know? The Journal of Finance 69, 1851– 1882. Kaplan, S.N., Schoar, A., 2005. Private equity performance: Returns, persistence, and capital flows. The journal of finance 60, 1791–1823. Phalippou, L., Gottschalg, O., 2009. The performance of private equity funds. The Review of Financial Studies 22, 1747–1776.
4 August 2021 13/14
Investor interest rising in private equity fund-of-fund securitisations
Scope Ratings GmbH
Headquarters Berlin Frankfurt am Main Paris Lennéstraße 5 Neue Mainzer Straße 66-68 23 Boulevard des Capucines D-10785 Berlin D-60311 Frankfurt am Main F-75002 Paris Phone +49 30 27891 0 Phone +49 69 66 77 389 0 Phone +33 1 8288 5557
Oslo Madrid Milan Karenslyst allé 53 Edificio Torre Europa Via Nino Bixio, 31 N-0279 Oslo Paseo de la Castellana 95 20129 Milano MI E-28046 Madrid Phone +47 21 62 31 42 Phone +39 02 30315 814 Phone +34 914 186 973
Scope Ratings UK Limited 111 Buckingham Palace Road London SW1W 0SR Phone +44020-7340-6347
[email protected] www.scoperatings.com
Disclaimer © 2021 Scope SE & Co. KGaA and all its subsidiaries including Scope Ratings GmbH, Scope Ratings UK Limited, Scope Analysis GmbH, Scope Investor Services GmbH, and Scope ESG Analysis GmbH (collectively, Scope). All rights reserved. The information and data supporting cope’s ratings, rating reports, rating opinions and related research and credit opinions originate from sources Scope considers to be reliable and accurate. Scope does not, however, independently verify the reliability and accuracy of the infor ation and data. cope’s ratings, rating reports, rating opinions, or related research and credit opinions are pro ided ‘as is’ ithout any representation or arranty of any kind. n no circu stance shall cope or its directors, officers, employees and other representatives be liable to any party for any direct, indirect, incidental or other damages, expenses of any kind, or losses arising fro any use of cope’s ratings, rating reports, rating opinions, related research or credit opinions. Ratings and other related credit opinions issued by Scope are, and have to be viewed by any party as, opinions on relative credit risk and not a statement of fact or recommendation to purchase, hold or sell securities. Past performance does not necessarily predict future results. Any report issued by Scope is not a prospectus or similar document related to a debt security or issuing entity. Scope issues credit ratings and related research and opinions with the understanding and expectation that parties using them will assess independently the suitability of each security for in est ent or transaction purposes. cope’s credit ratings address relative credit risk, they do not address other risks such as market, liquidity, legal, or volatility. The information and data included herein is protected by copyright and other laws. To reproduce, transmit, transfer, disseminate, translate, resell, or store for subsequent use for any such purpose the information and data contained herein, contact Scope Ratings GmbH at Lennéstraße 5 D-10785 Berlin.
4 August 2021 14/14