*US vs EU CLO Deals – The Collateral Return vs Cost Of Funding Picture*

CLO arbitrage refers typically to the excess spread (say 200bp) of a portfolio of loans generated to the weighted average cost of capital. Unfortunately, it is only part of the arbitrage picture.  The actual CLO arbitrage picture was not as rosy as what the excess spread had implied due to underperforming collateral NAV return. That said, a handful…

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