2018 EU CLO Deal Alpha And Performance Attribution EU CLO 2018Alpha (Total annualised)Alpha (NAV)Alpha (Interest)Total annualised return (26 Feb 2021)MV annualised return (26 Feb)Interest annualised return (26 Feb)WACC (incl. mgmt fees)Tier 10.7%0.4%0.3%4.0%-0.1%4.1%2.2%Tier 20.3%0.1%0.2%3.6%-0.3%3.9%2.1%Tier 30.1%0.0%0.2%3.5%-0.4%3.9%2.1%Tier 4-0.1%-0.5%0.3%3.2%-0.9%4.1%2.0%Tier 5-0.5%-0.7%0.2%2.8%-1.1%4.0%2.0%Average0.1%-0.1%0.2%3.4%-0.5%4.0%2.1% Source: CLO Research, LCD, an offering of S&P Global Market Intelligence, LPC, Intex A sample of 48 deals closed…
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