2024 Primary US CLO Deals: Discrepancy Between Modeled and Ramped Portfolio Weighted Average Spreads (WAS)

The underlying modeled collateral spreads are crucial for equity investors, as these modeled spreads are key in determining the issue price of CLO equity tranches. If a deal reports a significantly lower first reported collateral spread, the original attractiveness of the equity investment at a certain price may change as a result.

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2024 Primary US CLO Deals: Discrepancy Between Modeled and Ramped Portfolio Weighted Average Spreads (WAS)

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2024 Primary US CLO Deals: Discrepancy Between Modeled and Ramped Portfolio Weighted Average Spreads (WAS)

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