CLO Market Musings 15: Collateral Spreads and Equity NAV
It is encouraging to witness the year-to-date (YTD) upward trend in collateral floating spreads for EU CLOs in relation to...
It is encouraging to witness the year-to-date (YTD) upward trend in collateral floating spreads for EU CLOs in relation to...
CLO Equity NAV does not mean a third-party valuation of a CLO equity tranche. Rather it means the 'liquidation value' of the equity tranche. Basically, CLO Equity NAV is calculated by dividing the residual collateral value (MV collateral net of total CLO debt notional) by the equity tranche notional.