ABS & ABF
Anatomy of an ABS
ABS may seem complex, but much of that complexity arises from embedded features intended to protect investors. In this example, $100 of collateral assets produce $7.65 in interest income that pays $0.45 in SPV fees and $5.90 in coupon interest to CLO debt holders. If there is no trigger breach, the remaining $1.89 excess spread is paid to the equity holders.
The Palmer Square CLO Senior Debt Index is also a rules-based observable pricing and total return index for CLO debt for sale in the United States, rated at the time of issuance as AAA or AA or equivalent rating. Such debt is often referred to as the senior tranches of a CLO.
The Palmer Square CLO Debt Index is a rules-based observable pricing and total return index for collateralized loan obligation debt for sale in the United States, original rated A, BBB, or BB or equivalent rating.
RESOURCES
The ABCs of Asset-Backed Finance
Life Insurers’ Role in the Intermediation Chain of Public and Private Credit to Risky Firms
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