CLO mezzanine notes at widest point this year to date; AAAs mostly stable; deals in pipeline

By Cristal Cody

Tupelo, Miss., Oct. 5 – Mezzanine spreads remain at their widest of the year, according to BofA Merrill Lynch.

“The global risk-off sentiment continued to loom over the CLO market,” the analysts said in a market note. “Similar to what happened over the last few weeks, AAA 2.0/3.0s are holding in relatively well. On the contrary, mezzanine spread levels are now at YTD wides.”

U.S. BWIC volumes totaled about $800 million over the previous week with the bulk in AAA and BB tranches, the note said.

CLO BB-rated and B-rated notes were quoted 25 basis points to 50 bps wider earlier in the previous week.

BBs widened 50 bps to 800 bps by the end of the week, according to BofA Merrill Lynch.

“Senior mezzanine spreads widened by 10-20 [bps] to 235, 335 and 475 [bps] from double-A to triple-B,” the BofA Merrill Lynch analysts said. “Triple-A spreads remained more or less unchanged at 160 [bps].”

Looking to the primary market, Credit Suisse Asset Management, LLC is expected to price $819.25 million of notes due Oct. 22, 2026 in the Atrium XII/Atrium XII LLC offering. Credit Suisse Securities (USA) LLC is the placement agent.

Eaton Vance Management also is in the pipeline with $408.23 million of notes due Oct. 20, 2026 in the Eaton Vance CLO 2015-1 Ltd./Eaton Vance CLO 2015-1, LLC deal via Wells Fargo Securities LLC.

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