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EU CLOs: Quarterly Average Discounted Spread-to-Maturity Less Weighted Average DM in Graph

EU CLOs: Quarterly Average Discounted Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the EU CLO arb picture over time. Arb is calculated by taking the quarterly average S&P European Euro Denominated Loan Index’s discounted spread-to-maturity net of the average WADM (weighted average discount margin) for CLO deals priced in the same quarter. Deals…

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