Citigroup has sold a $1 billion CLO for Guggenheim Investment Management, according to a source familiar with the situation.
The 5180 CLO, the largest issued so far this year, includes a $600 million triple-A tranche priced at Libor plus 175 basis points and a $120.5 million equity portion.
Yields on triple-A CLO debt were at Libor plus 250 on Oct. 27, according to Morgan Stanley data.
Last month spreads hit 265 basis points, the widest since December 2009, according to the data. The measure peaked at 725 basis points more than benchmark rates seven months after the collapse of Lehman Brothers Holdings in September 2008.
The 5180 CLO also includes a $63.7 million tranche rated 'AA' priced at Libor plus 320 basis points; a $116.4 million A-rated slice at Libor plus 450 basis points; a $64.3 million triple-B rated tranche at Libor plus 620 basis points; and a $48.2 million double-B piece at Libor plus 865 basis points.