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Monitor: US BSL CLO New Issue Arb Trend

Monitor: US BSL CLO New Issue Arb Trend The loan index’s moving 4-week average discounted spreads are used as a proxy for the US BSL CLO portfolios’ discounted spreads. Arbitrage refers to the index’s discounted spread net of the cost of funding, based on discount margins (of AAA–BB tranches) rather than spreads. New issue upfront…

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