Sofr away from me – basis puts new CLO triple As in dire straits

By Dan Alderson

Wednesday, October 26, 2022

A relative value gap has opened between secondary and primary market CLO triple A tranches, with the former looking attractive as volatility heightens and the basis grows between Libor and Sofr. This presents an additional problem for managers hoping to do new business

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TAGS: Europe Research Structured credit CLO Secondary market Barclays Pricing Primary market North America

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