Listen to the latest episode of Credit Exchange with Lisa Lee
Published in London & New York
10 Queen Street Place, London
1345 Avenue of the Americas, New York
Creditflux is an
company
© Creditflux Ltd 2025. All rights reserved. Available by subscription only.
News Investor’s Corner
‘CLO equity isn’t very attractive at the moment’
Creditflux: What are the kinds of metrics you typically use to assess manager performance?
David Altenhofen: We do both a quantitative and a qualitative analysis. On the quantitative analysis, we rank each manager in Europe on the credit quality of the underlying portfolios, based on 15 variables. We rank them every month, and we can see where all the manager’s CLOs are, compared to the rest of the market. On the quantitative analysis, we meet the managers and the analysts, look at any specific write-ups and credits they have done, and we also look at the ESG side.
CF: What factors do you additionally consider when you are looking at debutant managers?
DA: We like managers that have had experience with leveraged loans in the past; preferably also some private equity experience. We like to see a large team with experienced analysts, and the capital for at least four to five deals.
Tier two or three are still very capable managers
David Altenhofen
Head of investments
Accunia Credit Management
CF: Where do you see as most attractive in relative value terms at the moment?
In the end, the manager can make a difference, but I think it’s more in relation to the equity and maybe the single Bs. That’s where we worry a lot. Higher up, it is less of an issue.
We don’t think CLO equity is very attractive at the moment, and if you were ramping a portfolio at close to par, or par and a quarter, how do you build any par in such a situation?
DA: I think right now the issue is that tier-one managers, which we like, are printing pretty tight, with triple Bs at 280-290. We are more into the next layer of managers, say tier two or three, where we still feel comfortable and there are still very capable managers.
CF: What are the main market risks you see at the moment?
ER: I definitely think we are seeing more risks. Default correlation is falling, but at the same time we see increasing dispersion, and names like First Brands going from 90s to 30s over the course of a week. I also get the impression that some managers are a little bit nervous, because of the fundamentals, the geopolitical risks, the recession ghost — all these headwinds looming.
With the weighted average spread getting tighter and tighter, and triple As not really moving that much, it seems difficult to make equity attractive as things are now. Especially with the rise in tail risks.
