CLO Research

A sample of 1,630 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

Among the top 20 global CLO managers by collateral assets under management (as of 30 June 2025), 11 have no exposure (or only minimal exposure) to First Brands in either their US or EU CLOs. Notably, some global managers show exposure in their US CLOs but not in their EU CLOs (or only minimal exposure), and vice versa.

This article examines how US CLO managers’ performance has been affected by their exposure to First Brands. Around 991 deals across 67 US CLO managers have exposure to First Brands, with a median deal exposure of 0.51%. For 90% of these deals, exposure falls between 0.16% and 1.26%.

Around 193 deals across 23 EU CLO managers have exposure to First Brands, with median deal exposure of 0.62%. The impact on MVOC rankings differs by manager. The table below highlights changes in rankings for these 23 managers since 5 September 2025.

A sample of 543 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.

A large minority CLO equity note was on a BWIC yesterday, and the tranche traded well. The deal, originally priced with a closing date of 28 June 2023, recently completed a reset that extended its reinvestment end date from 20 July 2028 to 20 July 2030. The reset also reduced its WACC by around 74 bps, more than offsetting the decline in collateral WAS of roughly 63 bps.

Birch Grove CLO 7’s highly accretive reset reduced its WACC by 90.8 bps, from 252.6 bps to 161.8 bps, and extended its reinvestment period by two years. The funding cost savings more than offset the decline in its reported WAS since first reporting—down by around 50.6 bps to the latest figure of 322.3 bps.

A sample of 1,630 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.

Yesterday saw 11 US BSL CLO BB tranches on BWIC, with cover bids ranging from a tight 464 DM to 738 DM.

Among 2025 EU CLOs, the median WAS compression since inception was about 8 bps. A quarter of deals saw at least 14 bps of compression, while around 16–17% managed to maintain or improve their WAS.

Since closing, the deal’s reported WAS has declined from 415 bps to 370 bps as at 29 August 2025. However, its recent reset offset the impact of asset spread compression, cutting WACC by roughly 31.2 bps while extending the RP by 1.5 years.

The table below presents the average annualised prepayment rates for each seasoned manager during the first, second, third, and fourth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024. Deals that were called or reset are also included, reflecting their pre-call and pre-reset historical post-RP prepayment rates.

AVOCA 31X SUB traded with a cover bid of 79.02 (source: SCI). This 2024 deal closed on 6 September 2024, with its non-call period ending on 5 March 2026 and a reinvestment end date of 15 April 2029. Its current WACC stands at 196 bps, with the AAA tranche priced at Euribor +125 bps.

Loan Repricing Pressures Persist with Rising Par-and-Above Bucket

Otranto Park CLO’s reset was notable, with the AAA tranche pricing at 130 bps. The reset extended the reinvestment end date from November 15, 2026, to April 15, 2030, while reducing the WACC by about 6 bps, from 203.3 bps to 197.2 bps. Although the deal had to pay up for its reset AAA given the current CLO AAA market, the cost savings from the AA through single-B tranches more than offset the wider AAA pricing.