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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.
Yesterday saw 11 US BSL CLO BB tranches on BWIC, with cover bids ranging from a tight 464 DM to 738 DM.
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.
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.
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...
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.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 12 September 2025.
A number of AA tranches traded via BWIC last week, with covered DMs ranging from 155 bps to as wide as 191 bps. As shown in the table below, to enable a like-for-like comparison...
The reset of OCPE CLO 2023-7 for Onex Credit Partners, priced by Citi, came through impressively with its AAA tranche at 130 bps. This reset was accretive, extending the deal’s reinvestment end date from April 2028 to October 2030 and lowering its cost of funding from 218.7 bps to 195.5 bps.
The reset of Sycamore Tree CLO 2023-4 saw its AAA tranche priced at 133 bps, a competitive level relative to...
On 9 September 2025, the secondary market saw a relatively long list of US BSL CLO BB tranches on BWIC, spanning a wide range of MVOCs and reinvestment end-dates.
