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Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM

Graph: US and EU Arb Based on Discounted Loan Spreads and CLO DM Arb (US) is calculated by taking the quarterly average S&P/LSTA U.S. B/BB Ratings Loan Index’s discounted spread-to-maturity net of the average WADM* (weighted averaged discount margin) for US CLO deals priced in the same quarter. Arb (EU) is calculated by taking the…

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