Tag Archives: BB-rated Tranche

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Historical Pricing of US BSL CLO BB Tranches Across Various Market Conditions

To provide context for the DM (discount margin) figures, consider the following: when the spread of the 4-week Morningstar LSTA U.S. B/BB Ratings Loan Index ranged between 390 and 420 basis points (bp) – which aligns with today’s level – the average pricing for the BB tranche was at 699 bp, with the median at 701 bp, as shown in the table below. This data is derived from a sample of 503 deals, managed by 20 US BSL managers, spanning from 2012 to 2023.

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CLO Market Musings: New Issue BB Pricing

Recent primary CLO and reset prints at the BB level suggest that demand for BB is very strong. Anecdotally, it appears that numerous investors in the market have a preference for the risk-return ratio of the BB tranche. The carry is solid, and the BB tranche has demonstrated resilience across various credit cycles.