Measuring Repricing Damage to Funds/CLOs

Kellerhals, Richard
March 2011
High Yield Report;3/14/2011, Vol. 22 Issue 11, p21
The article assesses the damage caused by repricing, particularly on close-end funds and collateralized loan obligations (CLOs). Statistics on the performance of closed-end funds are presented for the month ending March 8, 2011, and for the period March 8, 2010 and March 8, 2011. The impact of repricing is discussed in terms of lower coupon and yield, and lower break prices. Its negative impact on CLOs is explained in relation to senior financing and yield on other assets.


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