Dear Team – Company has come up with CLO in 2020 and so far we haven’t seen MtM (Mark-to-Market) on those CLOs, underlying for CLO is Loan portfolio. Could you please help me to understand why CLO won’t have MtM and how investor would be putting faith and their money if there is no Market price attached to it. Also, please let me know how this CLO will help to have Credit Risk RWA relief.
Any example here are much appreciated.