Pricing post-crisis: pricing methodologies for legacy and 2.0 CLOs Panel:
A webinar to analyse the differences between pre- and post-crisis pricing methodologies as well as pricing differences for legacy/2.0 deals
James Linacre, Deputy Editor, SCI
Oliver Wriedt, Head of Capital Markets & Distribution at CIFC
Cynthia Sachs, Global Head of BVAL
Jesse Knapp, MD, Kanerai
Scroll down to download the webinar file.
Different methodologies for 1.0 and 2.0 deals
Why are different methodologies needed?
What are the major differences?
Detailed look at methodology for 1.0
How to price a US legacy CLO
Impact of features such as reinvestment periods, deal extensions
Considerations for European 1.0 deals
Detailed look at methodology for 2.0
How to price a US 2.0 CLO
How post-crisis changes such as shorter reinvestment periods affect pricing
How call risk affects pricing
Considerations for European 2.0 deals
Turning theory into practice
Comparing pricing for 1.0 and 2.0 deals
Identifying relative value