Debt Paid at Par, Equity IRRs Strong as Carlyle 2015-1 Resets
The reset of Carlyle Global Market Strategies Euro CLO 2015-1 priced yesterday. The deal, originally closed in March 2015, was refinanced in April 2017 and first reset in February 2020.
The reset of Carlyle Global Market Strategies Euro CLO 2015-1 priced yesterday. The deal, originally closed in March 2015, was refinanced in April 2017 and first reset in February 2020.
A review of 65 CLO deals from the 2017–2018 vintages shows that realised WALs for senior AAA tranches averaged 5.65 years, around 0.15 years longer than modelled at issuance. While some deals delivered shorter WALs—benefiting investors given the typically upward-sloping AAA term curve—others faced significant extensions to the disadvantage of AAA holders.
Last Friday saw several seasoned EU CLO AAA tranches trade, with cover bids ranging from 79 DM to 101 DM, corresponding to WALs of 0.85 to 2.8 years. A spread difference of around 22 bps for roughly two years’ difference in WAL highlights the important role WAL plays in AAA pricing.
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.