Secondary CLOs fell sharply in May, say researchers

Secondary CLO prices fell markedly in May, according to recent bank research reports. Morgan Stanley calculates that prices for triple A tranches fell by around two points during the month, with triple B tranches recording a 10-11 point decline.

According to Wells Fargo’s CLO Market Update, US double As are now trading at between 70-80 points, compared to 75-83 in April. It puts the range of original triple B prices at between 45 and 60 cents in the dollar, down from 50 to 65 in April.