To the dismay of several investors, Merrill Lynch brought the triple-A's on Franklin Templeton's $550 million arbitrage, cashflow CLO at a tight 41 basis over the three-month Libor. From the investor vantage point, the 9.1-year average life tranche was visibly the most expensive CLO print of the year.

The double-A notes were also expensive at 68 basis points over three-month Libor with a 12.1-year average life. One CLO investor, who buys from the mezzanine all the way down equity, quipped at the pricing: "Triple-As ought to be 20 basis points over Libor, there's no risk in these deals we're told."

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