Last Thursday saw a remarkable surge in activity, with around US$1.5 billion of US CLO AAAs traded across 62 tranches — averaging around US$24 million per line item and underscoring the market’s deep liquidity.
The table below presents the estimated historical median pricing DMs for AAA, AA, A, BBB, and BB tranches when the...
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Despite the fast pace of primary CLO issuance in Q2 2024, the net senior AAA supply for BSL CLOs was...
Due to the slower pace of amortization during the post-reinvestment period, net senior AAA supply for EU CLOs was positive in Q2-to-date, contrasting with US BSL counterparts. Despite these differing supply dynamics, senior AAA spreads tightened by approximately 13 bps and 16 bps for top-tier US CLO and EU CLO managers, respectively, during this period.
The picture of the senior AAA flows of EU CLOs is quite different from their US counterparts, due to much slower amortization rates during the post-reinvestment period.
