Last week, GoldenTree achieved a notable AAA print of 150 bp, marking the tightest level since May 2022. This achievement can be attributed to the manager’s established track record, its tier-one status, and the strong demand for AAA.
While 150 bp appeared very solid at the time of pricing, the corresponding 4-week Morningstar LSTA U.S. B/BB Ratings Loan Index’s moving average loan spread was also at a tight level of 409 bp. This indicates that the 150 bp is in alignment with historical pricing trends. For more details on these trends, please refer to the article ‘US CLO AAA Spreads: A 2023 Review and 1H 2024 Outlook.’
Therefore, the tight print does not appear to be a result of an unusual imbalance of demand and supply, nor the presence of an aggressive AAA control buyer. In other words, the tight AAA print simply reflects the current conditions of the loan market.
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