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US CLOs: Latest ‘Arb’ Returns by Vintage

US CLOs: Latest Arb Returns by Vintage A sample of 417 deals (2016–2020 vintage) is included in this study.The arbitrage (arb) metric is defined as the underlying CLO annualized collateral return net of the WACC.Total annualized collateralized return refers to each CLO collateral pool’s annualized return calculated from their closing date to 11 March 2022.WACC…

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