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 loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest deal-level par-weighted DM (WACC) among qualifying deals is identified each week, and the average of the three tightest weekly observations in each month is used as the monthly benchmark.

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Tags:Arbitrage

US BSL CLOs: Monthly Arbitrage Snapshot

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