It might be assumed that managers with higher Weighted Average Spreads (WAS) tend to carry a higher collateral risk profile and, on average, experience greater realised and unrealised principal losses when adjusted for vintage. Conversely, more conservative managers with lower WAS often demonstrate greater resilience, leading to lower levels of principal loss, also adjusted for vintage. However, a lower WAS does not always indicate a cleaner US BSL CLO collateral pool.
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