US CLOs: 2017 Vintage – Initial ‘Arbitrage’ Spreads Vs Actual Net Collateral Margin And Investment Performance

I attribute my success to this: I never gave or took any excuse. –Florence Nightingale US CLOs: 2017 Vintage – Initial Arbitrage Spreads Vs Actual Net Collateral Margin And Investment Performance The initial target ‘arbitrage’ spreads metric (collateral spreads minus running weighted average cost of liabilities) is a key metric for CLO equity investors. The…