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US CLOs: Implied Annual Default and Recovery Rates Incorporating Distressed and Trading Losses

US CLOs: Implied Annual Default and Recovery Rates Incorporating Distressed and Trading Losses What default rates and recovery rates should one use for CLO cashflow modelling? How best to capture net credit losses due to distressed sales and trading in the default and recovery rates assumptions? Estimating a long-term annual default rate and an average…

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