Why senior CLO paper is so cheap

By Owen Sanderson
27 Mar 2020

European triple-A rated CLO spreads have blown out further and faster than other securitized products, and further than may be justified by the collapse in leveraged loan prices. That may mean more of these bonds have found their way to leveraged investors than market studies assumed.

Since the coronavirus panic engulfed markets, the price collapse in European CLO senior debt has gone further and deeper than almost anyone expected. The tightest print of the year was 92bp over Euribor, but there has been at least 260bp of spread widening since then, with spreads now ...

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