US BSL CLOs: Monthly Arbitrage Snapshot

A sample of six top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined portfolios are rebalanced monthly. Loans priced below 92 are excluded from the combined portfolio. On the liability side, the average DM of the three tightest deals is used as the monthly benchmark DM.

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US BSL CLOs: Monthly Arbitrage Snapshot

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US BSL CLOs: Monthly Arbitrage Snapshot

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