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A relatively small list of EU CLO AAA bonds, including some odd lots, was traded yesterday. Despite their size, they still provide useful reference points for the term structure of AAA DMs, as summarised in the table below.
Yesterday was a busy day, with significant trading activity at the BB level. A total of 22 line items, amounting to around USD 59 million of US BSL BB bonds, were on the list, with just over 55% of notionals traded. Meanwhile, 12 line items totalling around EUR 28 million of notionals were listed, all of which were traded.
The table below presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 958 deals.
The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for EU CLOs.
Yesterday was a busy day, with significant trading activity at the BB level. A total of 22 line items, amounting to around USD 59 million of US BSL BB bonds, were on the list, with just over 55% of notionals traded. Meanwhile, 12 line items totalling around EUR 28 million of notionals were listed, all of which were traded.
