Evaluating the Performance of 5 Recently Redeemed US CLO Equity Tranches
April 29, 2023
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It is worth noting that even though deals 1 and 2 had a similar healthy initial arbitrage or net interest margin (portfolio weighted average spread net of cost of funding), they ended up experiencing completely different IRRs. This suggests that having a good initial arbitrage metric is not always a reliable indicator of a deal's future performance.
