A sample of 696 fully repaid EU CLO AA floating-rate and fixed-rate tranches with disclosed issue prices or DMs is included in this study. Overall, the floating-rate tranches have outperformed their fixed-rate counterparts.
BBAM European CLO IV’s reset was recently priced, with its AA tranche coming in at 190 bps.
The table below presents the estimated historical median pricing DMs for AAA, AA, A, BBB, and BB tranches when the...
Please refer to the tables below for historical new issue pricing data of US BSL CLO IG (Investment Grade) tranches across various market conditions.
The overall average IRR of redeemed EU CLO AA tranches stood at 2.10% (with an average WAL of 2.49 years). The median AA tranche registered a 2.06% IRR.
