CLO AAA spreads continue to tighten in early 2018

Spreads for U.S. CLO AAA notes continue to tighten in early 2018 with the average AAA discount margin dipping south of 110bp in mid-February down from 113bp at the end of December. Thinner pricing has been led by Zais Group’s US$460m CLO which came to market in early February and priced the AAA tranche at 95bp.