24/3 US CLOs (2018): Investment Performance Of Higher Interest Return Deals US CLOs (2018 vintage)Alpha (Annualised)Alpha (MV)Alpha (Interest)No of deals with over 20bp interest return alphaTotal annualised return (report date) – 16 dealsTotal annualised return (report date) – 73 dealsTier 10.7%0.5%0.1%35.0%4.8%Tier 20.4%0.4%0.0%24.7%4.7%Tier 30.3%0.3%0.0%34.6%4.5%Tier 40.2%0.3%-0.1%0NA4.5%Tier 50.1%0.0%0.0%24.4%4.4%Tier 60.0%-0.1%0.1%34.2%4.3%Tier 7-0.2%-0.2%-0.1%0NA4.1%Tier 8-0.6%-0.7%0.1%33.5%3.7%Average0.1%0.0%0.0%164.4%4.4% Source: CLO Research, Intex, LPC, LCD, an…
