Arb ‘works again’ for euro CLOs after knockout CVC pricing

By Tom Brown
26 Nov 2020

Arranger Barclays priced its €378.7m CVC Cordatus Loan Fund XIX at 106bp on Wednesday, the tightest senior spread since March, making the arbitrage between assets and liabilities attractive again for equity investors.

Triple-A CLO tranches had been waiting to breach the 110bp pricing barrier since vaccine efficacy announcements from Pfizer, BioNTech, Moderna and the University of Oxford sent equity markets soaring in early November.

The CLO secondary market jumped on the news, with the market tighter by 40bp-50bp for BBBs ...

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