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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