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KBRA Affirms All Ratings for Alp CFO 2024, L.P.

24 Oct 2025   |   New York

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KBRA affirms the ratings on the Class A, Class B, and Class C Notes (collectively, the "Secured Notes") issued by Alp CFO 2024, L.P. (the "Issuer"). The outlook on all ratings is Stable. This transaction is classified as a GP-led collateralized fund obligation ("GP CFO").

Since issuance, the performance of the transaction remains stable, with deployment aligning with initial expectations. The LTV on the Secured Notes is lower than the initial advance rate, due to appreciation in value of the underlying LP Interests. As of July 2025, the performance and diversification of the underlying collateral remains largely consistent with initial expectations.

Key Credit Considerations

  • Asset Coverage: As of July 2025, the Class A Notes, Class B Notes, and Class C Notes have an LTV/Asset Coverage of 46.0%/217.5%, 59.8%/167.3%, and 69.0%/145.0%, respectively. The improvement in LTV is driven by NAV appreciation of the underlying LP interests and portfolio investments. The Liquidity Facility remains undrawn since issuance. At issuance, the Class A Notes, Class B Notes, and Class C Notes had an initial LTV/Asset Coverage of 50.0%/200.0%, 65.0%/153.8%, and 75.0%/133.3%.
  • Transaction Structure: The transaction considers several key structural features, further described below:
    • LTV Trigger: Holders of the Secured Notes benefit from a Loan-to-Value Ratio (“LTV”) test, which prevents distributions to the Subordinated Notes to the extent the LTV breaches any of the test levels in a respective year following the close of the transaction. The LTV is equal to (I) the sum of (x) the Aggregate Outstanding Amounts of the Secured Notes, (y) the aggregate amount of the Deferred Interest then Outstanding and (z) the aggregate principal amount of the Liquidity Loans Outstanding under the Liquidity Loan Facility, divided by (II) the Borrowing Base where this equals the sum of (i) all cash on deposit in any account (other than a reserve account for tax distributions), (ii) the NAV of the Private Assets and (iii) the NAV of the Liquid Assets. Over time, the maximum permitted LTV decreases from 75.0% at the closing of the transaction to 50.0% in year 6 and to 0% after year 7.
    • Amortization Test: Whilst the Secured Notes are outstanding, the amortization test is satisfied if the principal amount of the Secured Notes due as per the amortization schedule at the Payment Date, along with any Deferred Interest, is repaid as of that respective Payment Date. Any amounts not paid would not be considered an event of default and would rollover to be paid in the next year. Class A Notes are targeted to be 100% amortized by 2029. With respect to Class B Notes, its amortization schedule is subject to compliance with the amortization schedule with respect to the Class A Notes and is targeted to be 100% amortized by 2030. Class C Notes amortization schedule is subject to compliance with the amortization schedules with respect to the Class A Notes and Class B Notes and is targeted to be 100% amortized by 2031.
    • Interest Reserve Account: The Reserve Account was funded on the Closing Date by the Target Balance which is at least 4% of the aggregate outstanding amount of the Secured Notes as long as some Secured Notes remain outstanding. On each Payment Date in accordance with the Priority of Payments, proceeds will be deposited into the Reserve Account to the extent required so that the balance equals the Target Balance. Reserve Account deposits can be used to meet Fund Obligations, invest into Liquid Assets or to meet timely interest and fee payments on the Liquidity Facility and the Secured Notes.
  • Evolving Portfolio of Private Asset Collateral: The funds of the Private Assets are identified at closing. The commitments into certain existing funds are substantially funded already and so the collateral is mostly certain. However, the commitments into newer fund vintages are subject to blind pool risk as a portion of the investments are not yet made and so the portfolio is less certain.
  • Alignment of Interests: In certain strategies of the Private Assets, and particularly with respect to GP-Centered Investments, AlpInvest seeks sizeable personal investments from the GP. Moderate fees and tiered carried interest waterfalls as well as management incentive plans are aligned to AlpInvest’s entry price for both the GP and underlying management teams.
  • Vulnerability to Uncertain Cash Flow: Whilst the initial pool of Liquid Assets provides reliable cash flow for debt service in the early years of the transaction, the payment of ultimate interest and principal on the Secured Notes in the later stages of the transaction depends heavily on realizations from Private Assets, which, as alternative investments, do not generate cashflow on a fixed schedule nor in predetermined amounts. This risk is partially mitigated through ongoing allocations to Liquid Assets and access to a three-year Liquidity Facility, which provides a cushion to cover unanticipated liquidity shortfalls before the Private Assets begin to generate positive cashflow. The borrowers of the Liquidity Facility can request one-year extensions on each anniversary of the Closing Date to maintain a three-year tenor.
  • Issuer Overcommitment: The Issuer raised $1,000 million to purchase LP interests at approximately $350 million and service an estimated unfunded commitment of $1,057 million. The reason for this overcommitment is to ensure that most, if not all, the Notes’ proceeds will be deployed into the Private Assets. The Issuer expects that distributions in the early periods of the transaction will be recycled and used to fulfill capital calls in lieu of Notes’ proceeds. AlpInvest estimates approximately 54% of the capital commitments will be called. This, combined with a $150 million Liquidity Facility, would cover all potential commitments. However, any capital called beyond this would have to be serviced by any excess cash from distributions in various accounts, the Liquid Assets or the Reserve Account.
  • Quality of Private Assets: The Private Assets are considered to have greater price volatility, inherent illiquidity, and more idiosyncratic risk than the Liquid Assets. On a blended basis over the life of the transaction, KBRA views the expected overall asset quality of the collateral to reflect quality consistent with equity-like risk.
  • Quality of Liquid Assets: The Liquid Assets, of which any excess cash from the initial drawn Notes as well as future distributions may be invested into before they are recycled into capital calls from the Private Assets, pose several risks:
    • No Concentration or Diversity Limitations: No single obligor limits apply to Liquid Assets so there could be several investments concentrated in any particular asset or industry.
    • Obligor Risk: Aside from performance related reasons, the value of investments may decline for reasons directly related to the respective obligor such as management performance, financial leverage or just a reduced demand for the obligor’s goods or services. KBRA does not have reasonable insight into who these obligors are to carry out any meaningful analysis on them.
    • Credit Ratings Requirements: The Liquid Assets are subject to Liquid Asset Required Ratings such that any obligation or security has both a long-term and short-term credit rating from Moody’s of Aa3 or higher and P-1 or higher, respectively, or just a long-term credit rating at least equal to or higher than the current Moody’s long-term rating of the U.S Government debt. Downgraded assets would be liquidated and new assets that are in compliance would be acquired. Credit ratings do not evaluate the risks of fluctuations in market value and so KBRA considers this risk in its cash flow analysis.
  • Events of Default Linked to the Manager: The Notes include Events of Default linked to the Issuer General Partner, the Manager or any Permitted Subsidiary, including bankruptcy or insolvency, or if a court of competent jurisdiction appoints a liquidator of the Issuer General Partner or Manager. As such, an Event of Default on the Notes could be triggered following an adjudication of insolvency of the Manager, without any significant deterioration on the performance of the underlying assets. KBRA recognizes that The Carlyle Group Inc. is a publicly rated entity and has an AUM of $465 billion, while the Manager is a wholly-owned subsidiary of The Carlyle Group Inc. with AUM of approximately $96 billion with its affiliated AlpInvest advisor entities, as of June 30, 2025. However, a deterioration of the credit worthiness of the Manager could impact the ratings assigned to the Notes as a result of these non-standard Events of Default.
  • Manager Review and Track Record: AlpInvest is a global private equity asset manager with $96 billion in assets under management and over 200 professionals across six offices globally. As of June 30, 2025, AlpInvest’s parent company, Carlyle, reported $465 billion in AUM. AlpInvest is a core part of the Carlyle platform, representing approximately 20% of Carlyle's total AUM. The strategies employed by AlpInvest include (i) primary investments & co-investments, launched in 2000, (ii) secondary investments, launched in 2002, and (iii) portfolio finance, launched in 2018. As of June 30, 2025, AlpInvest has completed 245+ secondary and portfolio finance investments, and 425+ co-investments, with over $43 billion and $26 billion in assets under management, respectively.

Rating Sensitivities

  • Significant Underperformance of Fund Collateral: Significant deterioration in portfolio valuation or a trend of collateral cash flows that are notably lower than current forecasted performance.
  • Asset Coverage: Significant de-leveraging of the Secured Notes coupled with stable performance that decreases LTV.
  • Deterioration of Manager, Issuer General Partner, or Permitted Subsidiary Financials: In the event of significant deterioration in the financials of the Manager or the Issuer General Partner or Permitted Subsidiary, to include a bankruptcy or insolvency, KBRA would consider a downgrade ratings revision.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publication

Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union and by Kroll Bond Rating Agency UK Limited for use in the UK. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

The Manager is, or has a relationship with, one or more of KBRA Europe/KBRA UK shareholders that is required to be disclosed under applicable credit rating agency regulation in the EU and/or the UK. Please review KBRA’s shareholder disclosures, which are updated periodically.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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