CLO Research

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.

Three US BSL CLO BB tranches traded last Friday. One older deal saw a wide cover bid near 1,000 DM, weighed down by a low MVOC and negative clean equity NAV. Another tranche cleared around 900 DM, supported by an MVOC of about 101% and a slightly positive equity NAV. By contrast, a more recent tranche attracted an above-par cover bid, with DM-to-call and DM-to-maturity in the high 500–600 bps range.

To the satisfaction of AAA investors, the reset of RRE 1 Loan Management CLO proved accretive, as they were repaid at par on the reset date rather than waiting for quarterly prepayments, which would ordinarily have taken many quarters to return the full principal. The deal was originally priced in 2019 and was later refinanced, closing on 15 April 2021, with the AAA tranche printing at just 82 bps.

2025 is on course to be another record-breaking year. This article explores some of the key ingredients behind strong primary issuance.

AIMCO 1 was priced with a closing date of April 8, 2021, and a reinvestment end date of April 20, 2026. Its original AAA tranche priced at 125.161 bps over SOFR (equivalent to 99 bps over LIBOR). With this reset, the WAL of the original AAA would be reduced to 4.5 years, compared with the originally modeled WAL of about 6.4 years.

While the headline levels may appear tight, the tranche offers strong value to AAA investors...

Yesterday saw active trading in CLO equity. Blackstone, RBC BlueBay, Alcentra, and PGIM See Equity Tranches Stand Out in BWICs

Last week, Palmer Square European Loan Funding 2025-3, a static deal, priced its AAA tranche at 93 DM with a WAL of around 1.9 years. On Monday, a relatively broad list of seasoned AAA tranches changed hands; a selected set of benchmark levels, albeit in small notionals, is shown in the table below. CARPK 2021-1X A1 could likely have cleared at a slightly wider DM had it been a par or above-par bond.

A sample of 1,661 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.