Performance gap opens in CLO primary, secondary

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By Tom Brown
28 Sep 2020

A gap in tranche performance has opened up between the secondary and primary market for triple-A rated CLO notes in euros, after rapid selling of double-B and triple-B rated notes forced spread compression off the back of worsening macro conditions and end-of-quarter capital requirements.

Secondary triple-A CLO spreads are about 195bp, up by 5bp from last week, according to a Bank of America research note, whereas primary spreads have tightened to about 110bp.

“One wonders if the rally on the primary is drawing near its end,” said the bank.

Spreads in the secondary market ...

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