CLO Research

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Historical Pricing of US BSL CLO BB Tranches Across Various Market Conditions

To provide context for the DM (discount margin) figures, consider the following: when the spread of the 4-week Morningstar LSTA U.S. B/BB Ratings Loan Index ranged between 390 and 420 basis points (bp) – which aligns with today’s level – the average pricing for the BB tranche was at 699 bp, with the median at 701 bp, as shown in the table below. This data is derived from a sample of 503 deals, managed by 20 US BSL managers, spanning from 2012 to 2023.

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US BSL CLOs: Latest OC (BB) Test Cushions by Vintage

Excess CCC buckets, defaults, discount obligations, and losses from trading can all reduce the OC ratio. Typically, OC test cushions decrease over time as deals mature. The tables above display the OC (BB) test cushions, segmented by vintage year, based on Intex runs from January 22, 2024, and previously from November 17, 2023.

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