US CLOs (2016): Is The Weighted Average Spread Metric A Good Indicator Of Risk? 2016 US CLOsAlpha (Annualised)Alpha (MV)Alpha (Interest)Average Alpha (LTM)Worse alpha (LTM)Reported WAS (Average)*Tier 1 (10 deals)0.6%0.4%0.2%0.3%0.1%3.66Tier 2 (11 deals)0.3%0.3%0.0%0.2%-0.1%3.54Tier 3 (11 deals)0.2%0.1%0.0%-0.1%-0.4%3.58Tier 4 (10 deals)0.1%0.1%0.0%-0.2%-0.5%3.53Tier 5 (10 deals)0.0%-0.1%0.0%-0.3%-0.7%3.64Tier 6 (10 deals)-0.3%-0.1%-0.2%-0.4%-0.7%3.44Average0.15%0.1%0.0%-0.1%-0.4%3.57 Source: Intex, CLO Research, LPC, LCD, an offering of S&P Global…
