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Bank CIO returns to US CLO triple-As after 18 months
Charlie Dinning
+Tanvi Gupta
â˘2 min read
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Citi'schief investment officeis understood to have returned to US CLO investing with the bank said to have bought into KKR CLO 44, which priced today, according to sources.
The KKR deal marks the first primary CLO investment made by Citi CIO, which invests in triple-A rated CLO tranches, in 18 months, sources tell 9fin. US banks in general have been mostly absent from the primary CLO market this year, but there is hope that they will return en masse soon. Adrienne Butler, co-head of Barings' US high yield business and head of US CLO funds, discussed this with 9fin about it earlier this month.
KKR 44 printed its senior triple-A tranche at 185bps and attached the tranche at 38%. With this, the last four five-year reinvestment period, two-year non-call CLOs have priced their seniors at 185bps. The other three are Centerbridge, Empower and Trinitas.
KKR 44 also has a junior triple-A tranche that pays 205bps for a blended triple-A spread of 185.63bps.
KKR 44
The double and single-B tranches have been discounted with all other debt sold at par. The double-B discount margin is 850bps from an 822bps coupon, and the Moodyâs-rated single-B tranche priced with a 925bps DM from a 734bps coupon. Disclosing the spread on a Moodyâs single-B tranche is rare.
KKR 44 is 10.2x leveraged and its weighted average cost of capital is 252.2bps and it is the managerâs fourth US CLO new issue of the year to take its new issuance in 2023 to $1.6bn.
Citi did not respond to a request for comment by deadline.
