Tag Archives: Beta

Weakness in the loan market has led to a broad-based widening of discount margins across the CLO capital structure, with lower mezzanine tranches exhibiting the greatest spread sensitivity — reflecting their structurally leveraged exposure to underlying credit risk. By contrast, senior tranches (AAA/AA) of top-tier primary CLOs show a beta of less than 0.3 to loan market movements, indicating more muted spread volatility in response to changes in collateral spreads. Trinitas Euro CLO IX priced particularly well, achieving a WACC of just 205 bps, supported by solid pricing on the AAA and AA tranches.

Weakness in the loan market has led to a broad-based widening of discount margins across the U.S. CLO capital structure. Lower mezzanine tranches have shown the greatest sensitivity to spread movements, reflecting their structurally leveraged exposure to underlying credit risk. In contrast, senior tranches (AAA/AA) and the single-A tranche exhibit a beta of less than 1.0 to loan market movements, indicating more moderate spread volatility in response to changes in collateral spreads.

As anticipated, weakness in the loan market results in a broad-based widening of discount margins across the CLO capital structure, with lower mezzanine tranches exhibiting the highest spread sensitivity — reflecting their structurally leveraged exposure to underlying credit risk. By contrast, senior tranches (AAA/AA) typically display a beta of less than 1.0 to loan market movements, indicating more muted spread volatility in response to changes in collateral spreads.

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