Recent primary US CLO and reset prints at the AAA–BBB levels suggest that these levels are largely consistent with historical averages.
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 from 390 to 420 basis points (bp), matching today’s level, the average tranches at AAA/AA/A/BBB were priced at 146/197/249/363 bp respectively.
Recent top-tier primary and reset deals were priced at 148-153 bp at the AAA level, 190-205 bp at the AA level, 230-240 bp at the A level, and 330-375 bp at the BBB level.
Notably, recent pricing for AAA tranches appears to be slightly wider than the historical average. In contrast, pricing for the single A tranche is marginally tighter than its historical average. For a more detailed range of historical pricing data across various market conditions, please refer to this premium article.
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The information, research, data, research related opinions, observations and estimates contained in this document have been compiled or arrived at by CLO Research Group, based upon sources believed to be reliable and accurate, and in good faith, but in each case without further investigation. None of CLO Research Group or its service providers; authorised personnel, or their directors make any expressed or implied presentation or warranty, nor do any of such persons accept any responsibility or liability as to the accuracy, timeliness, completeness or correctness of such sources and the information, research, data, research related opinions, observations and estimates contained in this document. All information, research, data, research related opinions, observations, and estimates in this document are in draft form as of the date of this document and remain subject to change and amendment without notice. Neither CLO Research Group nor any third-party providers shall be subject to any damages or liability for any errors, omissions, incompleteness or incorrectness of this document. This article is not and should not be construed as an offer, or a solicitation of an offer, to buy or sell securities and shall not be relied upon as a promise or representation regarding the historical or current position or performance of any of the deals or issues mentioned in it.
