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MM CLOs: Tight Pricing Across the Stack Compared to Historical Norms

The table below shows the estimated historical median new issue MM CLO pricing DMs for AAA/AA/A/BBB when the four-week moving average of the Morningstar LSTA U.S. B/BB Ratings Loan Index’s discounted spread was in the range of 380-400 bps.  Given that the loan index’s discounted spread was around 392 bps at the time of the…

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