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2021 EU Deals: First Reported Portfolio Margin vs Modelled Margin (Breakdown by Dealers)

2021 EU Deals: First Reported Portfolio Margin vs Modelled Margin (Breakdown by Dealers) Given that CLO deals can be priced to perfection, the underlying modelled collateral spreads (at inception) are important for equity investors as they are key in determining CLO equity tranche issue prices. If a deal were to reveal a much lower first…

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