The recent pricing of Neuberger Berman Loan Advisers CLO 59 appears to establish a new milestone in the 2.0 CLO market. The AAA tranche was priced at 129 bps, while the BB tranche was priced at 480 bps. Based on a sample of non-short-dated deals priced since 2012, the DM differential between AAA and BB has now reached a new low of 351 bps.
This suggests that demand for BB tranches is outpacing supply, leading to tighter spreads for BB tranches compared to AAA. The current higher interest rate environment has undoubtedly played a role, as investors are attracted by the appealing all-in yields.
Please email info@clopremium.co.uk if you come across a tighter AAA-BB differential pricing than 351 bps in the 2.0 US BSL CLO market.
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