Relative value leads CLO mezz tighter, but risk retention vexes

Pricing of mezzanine tranches in new CLOs has tightened in recent weeks as the asset class’s relative value has increased, and the pipeline of deals looking to get done before the Thanksgiving holiday is bulging. But as lawyers wrangle with the details of risk retention rules, investors say they are already discriminating between managers based on how they plan to deal with the rules.