Recently, Golub Capital CLO 71 (M) was priced at 195/260/325/510 for its AAA/AA/A/BBB tranches, respectively. Given the size of the deal, achieving these pricing levels was impressive.
To provide context for the discount margin (DM) 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 (bps), matching today’s level, the average tranches at AAA/AA/A/BBB were priced at 198/264/363/486 bps, respectively.
Notably, Golub’s AAA/AA prints were marginally tighter than the historical averages. Its single-A print was at a much tighter level compared to the historical trend. Only its BBB print was wider than the historical average.
Related article
Historical Pricing of US MM CLO AAA–BBB Across Various Market Conditions
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